Fractional Integration and Cointegration: An Overview and an Empirical Application

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, background): “In Assumption 4 about the true values we include the condition that 0 ≤ d0 − b0 1/2, which appears to be perhaps the most empirically relevant range of values for d0 − b0, see e.g. Henry and Zaffaroni (2003), Gil-Alana and Hualde (2009), and the Likelihood inference for cofractional processes 10 r”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “As in Gil-Alana and Hualde (2009), we examine the matter of truncation, which is inherent to the modelling of (35)–(37). This model reflects the time when the data begins, and its misspecification could have an important effect on the degree of filtering applied to the series. This effect is moderat”