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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2108/349
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| 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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| SSRN-id967397.pdf | | 901Kb | Adobe PDF | View/Open |
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