We study a cluster-robust variance estimator (CRVE) for regression models with clustering in two dimensions that was proposed in Cameron, Gelback, and Miller (2011). We prove that this CRVE is consistent and yields valid inferences under precisely stated assumptions about moments and cluster...

In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...

We consider truncated (or conditional) sum of squares estimation of a parametric model composed of a fractional time series and an additive generalized polynomial trend. Both the memory parameter, which characterizes the behaviour of the stochastic component of the model, and the exponent...