Marco Avarucci (SEFeMEQ, University of Rome “Tor Vergata”) Domenico Marinucci (Department of Mathematics, University of Rome “Tor Vergata”)
Abstract
In this paper we consider polynomial cointegrating relationships between 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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Publisher Info
Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number
99.
Length: 24 Date of creation: 05 Mar 2007 Date of revision: Handle: RePEc:rtv:ceisrp:99
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