Polynomial Cointegration among Stationary Processes with Long Memory
Statistics Theory
2008-06-06 v1 Statistics Theory
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
Cite
@article{arxiv.math/0607150,
title = {Polynomial Cointegration among Stationary Processes with Long Memory},
author = {Marco Avarucci and Domenico Marinucci},
journal= {arXiv preprint arXiv:math/0607150},
year = {2008}
}
Comments
25 pages, 7 figures. Submitted in August 2005