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...

This paper establishes the asymptotic distribution of extremum estimators when the true parameter lies on the boundary of the parameter space. The boundary may be linear, curved, and/or kinked. Typically the asymptotic distribution is a function of a multivariate normal distribution in models...

In this paper, we propose a simple bias--reduced log--periodogram regression estimator, "ˆd-sub-r", of the long--memory parameter, "d", that eliminates the first-- and higher--order biases of the Geweke and Porter--Hudak (1983) (GPH) estimator. The bias--reduced estimator is the same as the GPH...

This paper establishes the higher-order equivalence of the "k"-step bootstrap, introduced recently by Davidson and MacKinnon (1999), and the standard bootstrap. The "k"-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear...