The aggregation procedure when a sample of length N is divided into blocks of length m=o(N), m--[infinity] and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu et al. (1995, Fractals, 3, 785-798), and Teverovsky and Taqqu (1997, J. Time...

This paper introduces and analyses a setting with general heterogeneity in regression modelling. It shows that regression models with fixed or time-varying parameters can be estimated by OLS or time-varying OLS methods, respectively, for a very wide class of regressors and noises, not covered by...

Parametric estimation is discussed in a variety of models exhibiting longrange dependence

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

type="main" xml:id="jtsa12056-abs-0001"This article presents a general method for studentizing weighted sums of a linear process where weights are arrays of known real numbers and innovations form a martingale difference sequence. Asymptotical normality for such sums was established in Abadir et...

The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated...

This paper deals with the estimation of the long-run variance of a stationary sequence. We extend the usual Bartlett-kernel heteroskedasticity and autocorrelation consistent (HAC) estimator to deal with long memory and antipersistence. We then derive asymptotic expansions for this estimator and...

A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given....