Semiparametric Fractional Cointegration Analysis

29 Pages Posted: 21 Jul 2008

See all articles by D. Marinucci

D. Marinucci

affiliation not provided to SSRN

Date Written: July 2001


Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related semiparametric methods of inference for testing the memory of observables and the presence of fractional cointegration. These procedures are employed in analysing empirical macroeconomic series; their usefulness and feasibility in finite samples is supported by results of a Monte Carlo experiment.

JEL Classification: C13, C14

Suggested Citation

Marinucci, D., Semiparametric Fractional Cointegration Analysis (July 2001). LSE STICERD Research Paper No. EM420, Available at SSRN:

D. Marinucci (Contact Author)

affiliation not provided to SSRN