We propose a new complex-valued taper and derive the properties of a tapered Gaussian semiparametric estimator of the long-memory parameter d Atilde; Acirc; Atilde; Acirc; (-0.5, 1.5). The estimator and its accompanying theory can be applied to generalized unit root testing. In the proposed method,...

Difficulties with inference in predictive regressions are generally attributed to strong persistence in the predictor series. We show that the major source of the problem is actually the nuisance intercept parameter and propose basing inference on the Restricted Likelihood,which is free of such...

The restricted likelihood ratio test, RLRT, for the autoregressive coefficient in autoregressive models has recently been shown to be second order pivotal when the autoregressive coefficient is in the interior of the parameter space and so is very well approximated by the chi-square...

The variance ratio test statistic, which is based on k-period differences of the data, iscommonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the variance ratio test statistic when the differencing period k is increasing...