We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three...

Fisher's equation for the determination of the real rate of interest is studied from a fresh econometric perspective. Some new methods of data description for nonstationary time series are introduced. The methods provide a nonparametric mechanism for modelling the spatial densities of a time...

Semiparametric estimation of the memory parameter is studied in models of fractional integration in the nonstationary case, and some new representation theory for the discrete Fourier transform of a fractional process is used to assist in the analysis. A limit theory is developed for an...

This paper develops a semiparametric method for estimating the nonrandom part V(.) of a random utility function U(v, omega) - V(v) + e(omega) from data on discrete choice behavior. Here v and omega are, respectively, vectors of observable and unobservable attributes of an alternative, and...

Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 < d < 1, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d. For d = 1, the limit distribution is mixed normal. For d > 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.

Estimation of the memory parameter in time series with long range dependence is considered. A pooled log periodogram regression estimator is proposed that utilizes a set of mL periodogram ordinates with L approaching infinity rather than m ordinates used in the conventional log periodogram...

Our subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia)...

Discrete Fourier transforms (dft's) of fractional processes are studied and an exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the...

In this paper we introduce a family of semi-parametric estimators, suggested by Manski's minimum mean-square distance from independence estimator. We establish the strong consistency, asymptotic normality and consistency of bootstrap estimates of the sampling distribution and the asymptotic...

Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series with d > (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 < d < 2 and is consistent when (1/2) < d = 1. For d > 1, the estimator is shown to converge in probability to unity.