DSpace - Tor Vergata: Item 2108/349

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DC Field	Value	Language
contributor.author	Avarucci, Marco	-
contributor.author	Marinucci, Domenico	-
date.accessioned	2007-07-11T10:50:38Z	-
date.available	2007-07-11T10:50:38Z	-
date.issued	2007-03	-
identifier.uri	http://ssrn.com/abstract=967397	-
identifier.uri	http://hdl.handle.net/2108/349	-
description.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.	en
format.extent	923457 bytes	-
format.mimetype	application/pdf	-
language.iso	en	en
publisher	CEIS	en
relation.ispartofseries	CEIS Tor Vergata Research Paper; 100	en
subject	nonlinear cointegration	en
subject	long memory	en
subject	Hermite polynomials	en
subject	spectral regression	en
subject	diagram formula	en
subject.classification	SECS-P/05; Econometria	en
title	Polynomial cointegration between stationary processes with long memory	en
type	Article	en
subject.jel	C; Mathematical and quantitative methods	en
subject.ams	62M15; Spectral analysis	en
subject.ams	62M10; Time series, auto-correlation, regression, etc.	en
subject.ams	60G10; Stationary processes	en
Appears in Collections:	Research papers

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