Before revision:   We relate the model to the Beveridge-Nelson decomposition and derive a modified Kalman filter estimator for the fractional components.
After revision:  The model allows for an endogenous estimation of the integration order jointly with the other model parameters and, therefore, no prior specification tests with respect to persistence are required. We relate the model to the Beveridge-Nelson decomposition and derive a modified Kalman filter estimator for the fractional components.