Johansen, Søren; Nielsen, Morten Ørregaard - In: Journal of Econometrics 158 (2010) 1, pp. 51-66
This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...