We consider the semiparametric estimation of fractional cointegration ina multivariate process of cointegrating rank r amp;gt; 0. We estimate thecointegrating relationships by the eigenvectors corresponding to the rsmallest eigenvalues of an averaged periodogram matrix of tapered,differenced...

We consider a common components model for multivariate fractional cointegration, in which the s cedil; 1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces...

We propose a new complex-valued taper and derive the properties of a tapered Gaussian semiparametric estimator of the long-memory parameter d Atilde; Acirc; Atilde; Acirc; (-0.5, 1.5). The estimator and its accompanying theory can be applied to generalized unit root testing. In the proposed method,...