We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator(NBLSE) of the cointegration parameter Atilde;ƒAcirc;ŽAtilde;‚Acirc;² in the framework of fractional cointegration.This tapered estimator is invariant to deterministic polynomial trends. In particular,...

We propose and derive the asymptotic distribution of a tapered narrow-band least squaresestimator (NBLSE) of the cointegration parameter Icirc;² in the framework of fractional cointegration. Thistapered estimator is invariant to deterministic polynomial trends. In particular, we allow for...