We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long memory stochastic volatility models. It is known that though widely used among researchers, the Geweke and Porter-Hudak (1983; GPH) LP estimator violates the Gaussian or Martingale...

We consider a semiparametric log periodogram regression estimation of memory parameter $d$ for non-stationary fractional time series using wavelet transformation. We propose wavelet-based log periodogram regression estimator, and obtain the asymptotic mean squared error, consistency and...

There has been an increasing interest in hypothesis testing with inequality restrictions. An important example in time series econometrics is hypotheses on autoregressive conditional heteroskedasticity (ARCH). We propose a one-sided test for ARCH using the wavelet method, a new analytic tool...

As is well-known, a heteroskedasticity and autocorrelation consistent covariance matrix is proportional to a spectral density matrix at frequency zero and can be consistently estimated by such popular kernel methods as those of Andrews-Newey-West. In practice, it is difficult to estimate the...