Root-N-Consistent Estimation of Weak Fractional Cointegration

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Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “For comparison, Table 10 presents the results of the Johansen (1991) cointegration rank trace tests with unrestricted constant and trend terms (Panel A) and the Breitung & Hassler (2002) fractional trace tests with estimated mean and trend in levels (Panel B).”
Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “r existing semiparametric estimators of cointegrating vectors in the bivariate case (see, e.g., [19] and the discussion in [3]), but not as fast as the parametric rate obtained by Hualde and Robinson [7] of Op(n−1/2) in the bivariate asymptotically stationary case if the diﬀerence (α1) between the m”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “Empirical evidence of this, with nonstationary observables, was found by Robinson and Marinucci (2003), and it has been further discussed by Hualde and Robinson (2007).”