This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...

We consider estimation of the cointegrating relation in the stationary fractional cointegration model. This model has found important application recently, especially in financial economics. Previous research has considered a semiparametric narrow-band least squares (NBLS) estimator in the...