Shimotsu, Katsumi - In: Journal of Econometrics 169 (2012) 2, pp. 266-278
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (δ1/2) and nonstationary (δ≥1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle...