Polynomial cointegration among stationary processes with long memory

• Autores: Marco Avarucci, Domenico Marinucci
• Localización: Documentos de trabajo. Economic series ( Universidad Carlos III. Departamento de Economía ), Nº. 51, 2005
• Idioma: inglés
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• Resumen

  • In this paper we consider polynomial cointegrating relationships among 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.