Econometrics Paper
Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: 'Time Series with Long Memory' (Oxford University Press).
D Marinucci and Peter M Robinson
The concept of cointegration has principally been developed under the assumption that the raw data vector zt is I(1) and the cointegrating residual et is I(0), but is also of interest in more general, including fractiona...Read more...