Polynomial Cointegration between Stationary Processes with Long Memory
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- Marco Avarucci & Domenico Marinucci, 2007. "Polynomial Cointegration Between Stationary Processes With Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 923-942, November.
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- Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
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KeywordsNonlinear cointegration; Long memory; Hermite polynomials; Spectral regression; Diagram formula.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-13 (All new papers)
- NEP-ECM-2007-07-13 (Econometrics)
- NEP-ETS-2007-07-13 (Econometric Time Series)
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