Bivariate time series models are considered that are suitable for estimation, that have interpretable parameters and that can capture the general semi‐parametric formulation of bivariate long‐range dependence, including a general phase. The models also allow for short‐range dependence and fractional cointegration. A simulation study to test the performance of a conditional maximum likelihood estimation method is carried out, under the proposed models. Finally, an application is presented to the U.S. inflation rates in goods and services where models not allowing for general phase suffer from misspecification.

中文翻译：

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用一般相位对双变量长期依赖建模

双变量时间序列模型被认为适用于估计，具有可解释的参数，并且可以捕获双变量长期依赖的一般半参数公式，包括一般阶段。这些模型还允许短期依赖和分数协整。在所提出的模型下，进行了模拟研究以测试条件最大似然估计方法的性能。最后，向美国商品和服务的通货膨胀率提出了一个应用程序，其中不允许一般阶段的模型遭受错误指定。