Hualde Bilbao, JavierIacone, Fabrizio2020-09-162020-09-1620151467-989210.1111/jtsa.12113https://academica-e.unavarra.es/handle/2454/38136In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like Phillips (1991), analysed the so-called small-b asymptotic approximation to its sampling distribution. Recently, an alternative limiting theory (fixed-b asymptotics) has been successfully employed to approximate sampling distributions. With the purpose of comparing both approaches, we derive here the fixed-b limit of WC estimators in a fractional setting, filling also some gaps in the traditional (small-b) theory. We also provide some Monte Carlo evidence that suggests that the fixed-b limit is more accurate.20 p.application/pdfeng© 2015 Wiley Publishing Ltd.Fractional cointegrationFirst-stage methodsSmall-b and fixed-b asymptotic theoryinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccess