Fractional cointegration is viewed from a semiparametric viewpoint as a nar
rowband phenomenon at frequency zero. We study a narrow-band frequency doma
in least squares estimate of the cointegrating vector, and related semipara
metric methods of inference for testing the memory of observables and the p
resence of fractional cointegration. These procedures are employed in analy
sing empirical macroeconomic series; their usefulness and feasibility in fi
nite samples is supported by results of a Monte Carlo experiment. (C) 2001
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