The finite sample properties of various parametric and semiparametric estimators of fractional integration are determined using Monte Carlo simulations. Previous work investigating the performance of fractional estimators relied on large sample sizes typical of economic and finance data sets....

Strong assumptions needed to correctly specify parametric binary choice probability models make them particularly vulnerable to misspecification. Semiparametric models provide a less restrictive approach with estimators that exhibit desirable asymptotic properties. This paper discusses the...