A number of papers have looked at the bias in the fractional integration parameter, d using a variety of alternative estimation techniques. This paper supplements that literature by investigating the bias in both the short-term and long-term parameters for a range of ARFIMA models using a more...

This paper investigates the size and power of a number of unit root tests, currently in use in both applied macro and financial economics, when the data generating process is fractionally integrated. The long persistence characteristic of fractionally integrated processes lowers the power of...