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...

The purpose of the present paper is to relate two important concepts of time series analysis, namely, nonlinearity and persistence. Traditional measures of persistence are based on correlations or periodograms, which may be inappropriate under nonlinearity and/or non-Gaussianity. This article...