Polynomial Cointegration between Stationary Processes with Long Memory
Marinucci DomenicoAvarucci Marco
CEIS Research Paper
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.
Number: 99
Keywords: Nonlinear cointegration, Long memory, Hermite polynomials, Spectral regression, Diagram formula.
Date: Monday, March 5, 2007
Revision Date: Monday, March 5, 2007