Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We … of inference for testing the memory of observables and the presence of fractional cointegration. These procedures are …

and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …

There are various competing procedures to determine whether fractional cointegration is present in a multivariate time …