and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …

Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper … uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of … that OLS based cointegration can yield spurious cointegration …