In this paper we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density matrix at frequency zero.

Marinucci, D., Avarucci, M. (2007). Polynomial cointegration between stationary processes with long memory.

Polynomial cointegration between stationary processes with long memory

MARINUCCI, DOMENICO;
2007-03-01

Abstract

In this paper we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density matrix at frequency zero.
mar-2007
Settore SECS-P/05 - ECONOMETRIA
Settore MAT/06 - PROBABILITA' E STATISTICA MATEMATICA
nonlinear cointegration
Marinucci, D., Avarucci, M. (2007). Polynomial cointegration between stationary processes with long memory.
Marinucci, D; Avarucci, M
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/349
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