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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/349

Title: Polynomial cointegration between stationary processes with long memory
Authors: Avarucci, Marco
Marinucci, Domenico
Keywords: nonlinear cointegration
long memory
Hermite polynomials
spectral regression
diagram formula
Issue Date: Mar-2007
Publisher: CEIS
Series/Report no.: CEIS Tor Vergata Research Paper; 100
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.
URI: http://ssrn.com/abstract=967397
http://hdl.handle.net/2108/349
Appears in Collections:Research papers

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