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Polynomial Cointegration among Stationary Processes with Long Memory

Marco Avarucci·Domenico Marinucci
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Abstract

n 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

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Marco Avarucci, Domenico Marinucci. 2006-07-06. Polynomial Cointegration among Stationary Processes with Long Memory. https://doi.org/10.1111/j.1467-9892.2007.00540.x

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