In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares estimators, which are equivalent to conditional quasi-maximum likelihood estimators, in parametric fractional time series models driven by conditionally homoskedastic...

We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroskedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in...

Bootstrap‐based methods for bias‐correcting the first‐stage parameter estimates used in some recently developed bootstrap implementations of co‐integration rank tests are investigated. The procedure constructs estimates of the bias in the original parameter estimates by using the average...

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...