Polynomial Cointegration among Stationary Processes with Long Memory

Details Polynomial Cointegration among Stationary Processes with Long Memory Polynomial Cointegration among Stationary Processes with Long Memory

2006-07-06

arxiv.org/abs/math/0607150v1

Journal of Time Series Analysis, 28(6) 923-942 (2007)

Mathematics

Statistics Theory

25 pages, 7 figures. Submitted in August 2005

Scientific paper

10.1111/j.1467-9892.2007.00540.x

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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