The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classicla R/S...

In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for which the appropriate bootstrap is a version of the wild bootstrap. Simulation results, obtained by a new very efficient methos, show that all wild bootstraps tests exhibit...

Recent results of Cribari-Neto and Zarkos show that bootstrap methods can be successfully used to estimate a heteroskedasticity robust covariance matrix estimator. We show that their bootstrap estimator can be calculated directly, without bootstrapping, and that inference based on it may not be...