We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

We consider regressions of nonstationary fractionally integrated variables dominated by linear time trends. The regression errors can be short memory, long memory, or even nonstationary, and hence allow for a very flexible cointegration model. Our main contributions are two: First, we analyze...

We consider bivariate regressions of nonstationary fractionally integrated variables dominated by linear time trends. The asymptotic behaviour of the ordinary least square (OLS) estimators in this case allows limiting normality to arise at a faster rate of convergence than if the individual...

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...