Polynomial Cointegration among Stationary Processes with Long Memory

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dc.creatorAvarucci, Marco
dc.creatorMarinucci, Domenico
dc.date2006-07-06
dc.date.accessioned2026-07-07T09:42:53Z
dc.date.available2026-07-07T09:42:53Z
dc.descriptionn 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
dc.description25 pages, 7 figures. Submitted in August 2005
dc.identifierhttps://arxiv.org/abs/math/0607150
dc.identifierhttp://arxiv.org/abs/math/0607150
dc.identifierJournal of Time Series Analysis, 28(6) 923-942 (2007)
dc.identifierdoi:10.1111/j.1467-9892.2007.00540.x
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/162350
dc.subjectStatistics Theory
dc.subject62M15 (Primary), 62M10, 60G10 (Secondary)
dc.titlePolynomial Cointegration among Stationary Processes with Long Memory
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