This paper considers inference in a broad class of nonregular models. The models considered are nonregular in the sense that standard test statistics have asymptotic distributions that are discontinuous in some parameters. It is shown in Andrews and Guggenberger (2009a) that standard fixed...

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...