We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in...

We make three contributions to using the variance ratio statistic at large horizons. Allowing for general heteroscedasticity in the data, we obtain the asymptotic distribution of the statistic when the horizon k is increasing with the sample size n but at a slower rate so that k=n ! 0. The test...

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in...

We make three contributions to using the variance ratio statistic at large horizons. Allowing for general heteroscedasticity in the data, we obtain the asymptotic distribution of the statistic when the horizon k is increasing with the sample size n but at a slower rate so that k=n ! 0. The test...

Abstract: Difficulties with inference in predictive regressions are generally attributed to strong persistence in the predictor series. We show that the major source of the problem is actually the nuisance intercept parameter and propose basing inference on the Restricted Likelihood, which is...

Difficulties with inference in predictive regressions are generally attributed tostrong persistence in the predictor series. We show that the major source of the problem is actually the nuisance intercept parameter and propose basing inference on the Restricted Likelihood,which is free of such...

We consider the semiparametric estimation of fractional cointegration ina multivariate process of cointegrating rank r amp;gt; 0. We estimate thecointegrating relationships by the eigenvectors corresponding to the rsmallest eigenvalues of an averaged periodogram matrix of tapered,differenced...

For long-memory time series, we show that the Toeplitz system sect;n(f)x = b can be solved inO(n log5=2 n) operations using a well-known version of the preconditioned conjugate gradient method, where sect;n(f) is the npound;n covariance matrix, f is the spectral density and b is a known vector....