A bias correction to the Akaike information criterion, AIC, is derived for regression and autoregressive time series models. The correction is of particular use when the sample size is small, or whenâ€¦ (More)

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, inâ€¦ (More)

We propose a direct and convenient reduced-bias estimator of predictive regression coefficients, assuming that the regressors are Gaussian first-order autoregressive with errors that are correlatedâ€¦ (More)

We consider semi-parametric estimation of the memory parameter in a long memory stochastic volatility model. We study the estimator based on a log periodogram regression as originally proposed byâ€¦ (More)

We propose a new hypothesis testing method for multi-predictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test isâ€¦ (More)

We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returnsâ€¦ (More)

For long-memory time series, we show that the Toeplitz system Î£n(f)x = b can be solved in O(n log n) operations using a well-known version of the preconditioned conjugate gradient method, where Î£n(f)â€¦ (More)

We consider a fractional exponential, or FEXP estimator of the memory parameter of a stationary Gaussian long-memory time series. The estimator is constructed by Â®tting a FEXP model of slowlyâ€¦ (More)

We prove the consistency of the averaged periodogram estimator (APE) in two new cases. First, we prove that the APE is consistent for negative memory parameters, after suitable tapering. Second, weâ€¦ (More)

We consider the asymptotic behavior of log-periodogram regression estimators of the memory parameter in long-memory stochastic volatility models , under the null hypothesis of short memory inâ€¦ (More)