Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (d<1/2) and nonstationary (d>=1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle estimator of Robinson (2008) is...</1/2)>

An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that applies throughout the stationary and nonstationary regions of d and which does not rely on tapering or differencing prefilters. The...

This article analyzes the identifiability of k-variate, M-component finite mixture models in which each component distribution has independent marginals, including models in latent class analysis. Without making parametric assumptions on the component distributions, we investigate how one can...