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...

This paper develops the fixed‐smoothing asymptotics in a two‐step generalized method of moments (GMM) framework. Under this type of asymptotics, the weighting matrix in the second‐step GMM criterion function converges weakly to a random matrix and the two‐step GMM estimator is...

The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...

This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M=bT for some constant b is an element of (0, 1] and sample size T. It is shown that the nonstandard fixed-b...