We suspect that most criticisms by Pujol (2017, hereafter, P17) were originated by a misunderstanding of our article (Gasperini et al., 2015) that the author himself frankly admits (“Some of the arguments made in the paper were not completely clear to the present author” p. 11) and maybe even by a misunderstanding of the textbook of Fuller (1987). In the following, we will discuss in general the main P17 criticisms, whereas detailed answers to all of them are reported in the Appendix.

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P17 repeatedly complains about the omission of subscript t as an index...

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