Semiparametric fractional cointegration analysis

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 Elsevier Science S.A. All rights reserved.