For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, except for some specific cases, little is known about the estimation of the...

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

We discuss the covariance structure and long-memory properties of stationary solutions of the bilinear equation Xt=[zeta]tAt+Bt,(*), where are standard i.i.d. r.v.'s, and At,Bt are moving averages in Xs, st. Stationary solution of (*) is obtained as an orthogonal Volterra expansion. In the case...

The aggregation procedure when a sample of length N is divided into blocks of length m=o(N), m--[infinity] and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu et al. (1995, Fractals, 3, 785-798), and Teverovsky and Taqqu (1997, J. Time...

This paper introduces and analyses a setting with general heterogeneity in regression modelling. It shows that regression models with fixed or time-varying parameters can be estimated by OLS or time-varying OLS methods, respectively, for a very wide class of regressors and noises, not covered by...