The central limit theorem for nonparametric kernel estimates of a smooth trend,with linearly-generated errors, indicates asymptotic independence andhomoscedasticity across fixed points, irrespective of whether disturbances haveshort memory, long memory, or antipersistence. However, the...

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be...

Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory for semiparametric estimates forbids conditional heteroscedasticity. We show...

Employing recent results of Robinson (2005) we consider the asymptotic properties ofconditional-sum-of-squares (CSS) estimates of parametric models for stationary timeseries with long memory. CSS estimation has been considered as a rival to Gaussianmaximum likelihood and Whittle estimation of...

A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autovariances of time series generated by nonlinear transformation of Gaussian latent variates, and nonlinear functions of these, with special reference to long memory stochastic...

Asset returns are frequently assumed to be determined by one or more commonfactors. We consider a bivariate factor model, where the unobservable commonfactor and idiosyncratic errors are stationary and serially uncorrelated, but havestrong dependence in higher moments. Stochastic volatility...

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a different definition of nonstationary fractional time series. These various...

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown, asymptotic distribution theory for estimates of parameters, including the...

The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ? ? and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Teverovsky and Willinger (1995), Teverovsky and Taqqu (1997) introduced an...