This paper unifies two seemingly separate approaches to test weak exogeneity in dynamic regression models with Lagrange-mulptiplier statistics. The first class of tests focuses on the orthogonality between innovations and conditioning variables, and thus is related to the Durbin-Wu-Hausman...

Elements of Modern Asymptotic Theo y with Statistical Applications by Brendan McCabe and Andrew ~kemayne. Pp. xi+264. Manchester: Manchester University Press, 1993. (£50 cloth, £17.99 paper) WEB INFORMATION: www.man.ac.uk/mup/

In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches, and we consider both parametric and semiparametric estimation methods. The...