We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has … methodology. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

fractional cointegration at some grid points when conditioning on the states …

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional … cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson …-run dynamics. We derive the asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary …

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

of the errors, and the cointegration vector. The estimator is semiparametric in the sense that it employs local … matrix. Thus, the estimates of the integration orders are asymptotically independent of the estimate of the cointegration …

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …