Polynomial Cointegration Between Stationary Processes With Long Memory

DOI10.1111/J.1467-9892.2007.00540.XMaRDI QIDQ3505338zbMATH OpenOpenAlexFDO

Authors Marco Avarucci, Domenico Marinucci

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607150

zbMATH Keywords

Hermite polynomialsnonlinear cointegrationspectral regression

Mathematics Subject Classification ID

Applications of hypergeometric functions (33C90) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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

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Cites work

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Cited in

(3)

• Spectral regression for cointegrated time series with long-memory innovations
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
• Likelihood based testing for no fractional cointegration

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