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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Abstract
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 |
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Status: | Published |
Refereed: | Yes |
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 |
ISSN: | 0143-9782 |
Published Online: | 11 October 2007 |
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