We propose a two step estimator equivalent to the local Whittle QMLE to jointly estimate the integration orders of the regressors and the errors and the cointegration vector in a stationary fractionally cointegrated model. The estimator employs only local assumptions on the joint spectral density matrix of the regressors and the errors near the zero frequency. We show that the estimator is asymptotically normal with block diagonal covariance matrix for the entire stationary region of the integration orders. Thus, the estimates of the integration orders are asymptotically uncorrelated with the estimate of the cointegration vector. Furthermore, our estimator of the cointegration vector is asymptotically normal for a wider range of integration orders than the narrow band frequency domain least squares estimator and is superior with respect to asymptotic variance. An application to financial volatility series is offered.