A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter amp;#957; are considered, one involving inverse spectral...

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, amp;#946;, between the integration order amp;#948; of observable time series, and the integration order amp;#947; of cointegrating errors, is less than 0.5. This includes circumstances when observables are...

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be...