Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

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Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “There is a large literature, based upon ( 26 ), aimed at developing (a semiparametric) estimation theory for fractional and cofractional processes, see for instance Robinson and Marinucci ( 2001 ), Chen and Hurvich ( 2003 ), or Nielsen and Shimotsu ( 2007 ) to mention a few.”
Exact local Whittle estimation of fractionally cointegrated systems (2012, background): “covariance matrix (except for Nielsen and Shimotsu (2007) ) have an additional diculty:”
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “Its asymptotic distribution could also be derived by application of the delta method; see Robinson (1995a) and Lobato and Velasco (2000).”