Polynomial Cointegration Between Stationary Processes with Long Memory
نویسندگان
چکیده
منابع مشابه
J ul 2 00 6 Polynomial Cointegration among Stationary Processes with Long Memory ∗
In 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 m...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.967397