Polynomial cointegration between stationary processes with long memory

Avarucci, M. and Marinucci, D. (2007) Polynomial cointegration between stationary processes with long memory. Journal of Time Series Analysis, 28(6), pp. 923-942. (doi: 10.1111/j.1467-9892.2007.00540.x)

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In this article we consider polynomial cointegrating relationships between stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and 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.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Avarucci, Dr Marco
Authors: Avarucci, M., and Marinucci, D.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Time Series Analysis
Published Online:11 October 2007

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