Polynomial cointegration among stationary processes with long memory

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dc.contributor.author Avarucci, Marco
dc.contributor.author Marinucci, Domenico
dc.date.accessioned 2006-11-09T11:38:48Z
dc.date.available 2006-11-09T11:38:48Z
dc.date.issued 2005-09
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/351
dc.description.abstract 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 matrix at frequency zero.
dc.format.extent 1549380 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Paper. Economics
dc.relation.ispartofseries 2005-23
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Polynomial cointegration among stationary processes with long memory
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.identifier.repec we055123
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