In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

The analysis of cyclical macroeconomic phenomena is an important field of econometric research. In the recent past, research interests have de-emphasized quantitative forecasting exercises and have addressed the qualitative diagnosis of the relative stance of the economy regarding "upswing",...