In Andrews and Guggenberger (2003) a bias-reduced log-periodogram estimator d_{LP}(r) for the long-memory parameter (d) in a stationary long-memory time series has been introduced. Compared to the Geweke and Porter-Hudak (1983) estimator d_{GPH}=d_{LP}(0), the estimator d_{LP}(r) for r larger...

The moment conditions or estimating equations for instrumental variables quantile regression involves the discontinuous indicator function. We instead use smoothed estimating equations, with bandwidth h. This is known to allow higher-order expansions that justify bootstrap refinements for...

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...