Polynomial Cointegration among Stationary Processes with Long Memory

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 zeroComment: 25 pages, 7 figures. Submitted in August 200