This paper deals with polynomial cointegration, i.e. with the phenomenon that linear combinations of a vector valued rational unit root process and lags of the process are of lower integration order than the process itself (for definitions see Section 2). The analysis is performed in the state...

In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes. By multiple frequency I(1) processes we denote processes with unit roots at arbitrary points on the unit circle with the integration orders...

In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle. It is shown that the state space framework, which is -- in a certain sense made precise in the paper --...