This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard...

Recently, Shimotsu and Phillips (2005, <italic>Annals of Statistics</italic> 33, 1890–1933) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter (<italic>d</italic>) in fractionally integrated processes. The ELW estimator has been shown to be consistent, and it has the same...