We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in...

Bootstrap‐based methods for bias‐correcting the first‐stage parameter estimates used in some recently developed bootstrap implementations of co‐integration rank tests are investigated. The procedure constructs estimates of the bias in the original parameter estimates by using the average...