Javier, Hualde; Fabrizio, Iacone - In: Journal of Time Series Econometrics 4 (2012) 1, pp. 1-32
In a fractionally cointegrated model, we analyze, both theoretically and by means of a Monte Carlo experiment, the performance of the most popular first stage estimation methods, including ordinary and narrow band least squares (Robinson, 1994), difference taper narrow band least squares (Chen...