We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.

Most hypotheses in binary response models are composite. The null hypothesis is usually that one or more slope coefficients are zero. Typically, the sequence of alternatives of interest is one in which the slope coefficients are increasing in absolute value. In this papar, we prove that the...

The optimal minimum distance (OMD) estimator for models of covariance structure is asymptotically efficient but has much worse finite-sample properties than does the equally-weighted minimum distance (EWMD) estimator. This paper shows how the bootstrap can be used to improve the finite-sample...