We consider semiparametric estimation in time-series regression in the presence of long-range dependence in both the errors and the stochastic regressors. A central limit theorem is established for a class of semiparametric frequency domain-weighted least squares estimates, which includes both...

Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with nonstandard limiting distributions. However, we demonstrate that when...

We derive a functional central limit theorem for the empirical spectral measure or discretely averaged (integrated) periodogram of a multivariate long range dependent stochastic process in a degenerating neighborhood of the origin. We show that, under certain restrictions on the memory...

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach uses a degenerating part of the periodogram near the origin to form a...

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

We model and forecast commodity spot and futures prices using fractionally cointegrated vector autoregressive (FCVAR) models generalizing the well-known (non-fractional) CVAR model to accommodate fractional integration. In our empirical analysis to daily data on 17 commodity markets, the...