Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new estimator employs the exact local Whittle approach developed by Shimotsu and Phillips (2003a) and estimates the two memory parameters jointly with the cointegrating vector. It permits both...

This paper considers likelihood-based testing of the null hypothesis of <em>m0</em> components against the alternative of <em>m</em>0+1 components in a finite mixture model. The number of components is an important parameter in the applications of finite mixture models. Still, testing the number of components has...

Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the...

The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. The test rejects the null...