Recently, Shimotsu and Phillips (2005, <italic>Annals of Statistics</italic> 33, 1890–1933) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter (<italic>d</italic>) in fractionally integrated processes. The ELW estimator has been shown to be consistent, and it has the same...

This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard...

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...