We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one-half. A special case is the stationary fractional cointegration model, which has found important...

Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The...