We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the log-spectrum of the short-memory component of the signal as well as that of the...

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d=1. It is shown that (i) each member of the family with d0 is consistent, (ii) the asymptotic distribution depends on d, and thus reflects...

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...