Semiparametric Frequency Domain Analysis of Fractional Cointegration

Abstract

Abstract Cointegration analysis has developed as a major theme of time series econometrics since the article of Engle and Granger (1987), much applied interest prompting considerable methodological and theoretical development during the past decade. Numerous empirical studies have investigated the possibility of cointegration in areas of economics in which a long-run relationship can be conjectured between nonstationary variables, including stock prices and dividends, consumption and income, wages and prices, short- and long-run interest rates, monetary aggregates and nominal GNP, exchange rates and prices, GNP and public debt, and many others.

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