I want to know how we deal fractional cointegration in R or any statistical software. I can't find any material regarding the analysis of fractional cointegration. Kindly help me to understand the concept.
I find this to be quite an useful introduction to the topic:
Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique
by Craig Ellis in International Review of Financial Analysis, Volume 8, Issue 1, 1999, Pages 53-65.
Thanks
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