Details about Liudas Giraitis

Access statistics for papers by Liudas Giraitis.

Last updated 2013-11-18. Update your information in the RePEc Author Service.

Short-id: pgi284

Working Papers

2012

1. Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
   See also Journal Article Adaptive forecasting in the presence of recent and ongoing structural change, Journal of Econometrics, Elsevier (2013) View citations (59) (2013)
2. Asymptotic Normality for Weighted Sums of Linear Processes
   Working Paper series, Rimini Centre for Economic Analysis

2010

3. An I(d) Model with Trend and Cycles
   Working Paper series, Rimini Centre for Economic Analysis
   See also Journal Article An I(d) model with trend and cycles, Journal of Econometrics, Elsevier (2011) View citations (10) (2011)

2009

4. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   See also Journal Article Mean and autocovariance function estimation near the boundary of stationarity, Journal of Econometrics, Elsevier (2012) View citations (5) (2012)

2008

5. Smoothing Local-to-Moderate Unit Root Theory
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   See also Journal Article Smoothing local-to-moderate unit root theory, Journal of Econometrics, Elsevier (2010) View citations (15) (2010)

2006

6. Consistent estimation of the memory parameterfor nonlinear time series
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (19)
   Also in Discussion Papers, Department of Economics, University of York View citations (29)
   See also Journal Article Consistent estimation of the memory parameter for nonlinear time series, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (28) (2006)

2004

7. Uniform Limit Theory for Stationary Autoregression
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   Also in Discussion Papers, Department of Economics, University of York View citations (52)
   See also Journal Article Uniform Limit Theory for Stationary Autoregression, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (63) (2006)

2002

8. On the power of R/S-type tests under contiguous and semi long memory alternatives
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

1999

9. Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
   G.R.E.Q.A.M., Universite Aix-Marseille III
   Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (1)
   See also Journal Article Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity, Statistical Inference for Stochastic Processes, Springer (2000) View citations (7) (2000)

Undated

10. Decomposition and asymptotic properties of quadratic forms in linear variables
    Discussion Papers, Department of Economics, University of York View citations (3)
11. Estimation of the long memory parameter by fitting fractionally differenced autoregressive models
    Discussion Papers, Department of Economics, University of York View citations (1)
12. Local Whittle estimation, fully extended for nonstationarity
    Discussion Papers, Department of Economics, University of York View citations (3)
13. Semiparametric estimation and inference for trending I(d) and related processes
    Discussion Papers, Department of Economics, University of York View citations (3)
14. The test for stationarity versus trends and unit roots for a wide class of dependent errors
    Discussion Papers, Department of Economics, University of York View citations (11)
    See also Journal Article A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS, Econometric Theory, Cambridge University Press (2006) View citations (12) (2006)
15. Two estimators of the long-run variance
    Discussion Papers, Department of Economics, University of York View citations (18)

Journal Articles

2013

1. Adaptive forecasting in the presence of recent and ongoing structural change
   Journal of Econometrics, 2013, 177, (2), 153-170 View citations (59)
   See also Working Paper Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change, CAMA Working Papers (2012) View citations (2) (2012)
2. Weak convergence in the near unit root setting
   Statistics & Probability Letters, 2013, 83, (5), 1411-1415

2012

3. Mean and autocovariance function estimation near the boundary of stationarity
   Journal of Econometrics, 2012, 169, (2), 166-178 View citations (5)
   See also Working Paper Mean and Autocovariance Function Estimation Near the Boundary of Stationarity, Cowles Foundation Discussion Papers (2009) (2009)

2011

4. An I(d) model with trend and cycles
   Journal of Econometrics, 2011, 163, (2), 186-199 View citations (10)
   See also Working Paper An I(d) Model with Trend and Cycles, Working Paper series (2010) (2010)

2010

5. AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
   Econometric Theory, 2010, 26, (2), 406-425 View citations (2)
6. Smoothing local-to-moderate unit root theory
   Journal of Econometrics, 2010, 158, (2), 274-279 View citations (15)
   See also Working Paper Smoothing Local-to-Moderate Unit Root Theory, Cowles Foundation Discussion Papers (2008) (2008)

2009

7. Two estimators of the long-run variance: Beyond short memory
   Journal of Econometrics, 2009, 150, (1), 56-70 View citations (20)

2007

8. Approximations and limit theory for quadratic forms of linear processes
   Stochastic Processes and their Applications, 2007, 117, (1), 71-95 View citations (9)
9. Convergence of quadratic forms with nonvanishing diagonal
   Statistics & Probability Letters, 2007, 77, (7), 726-734 View citations (6)
10. Nonstationarity-extended local Whittle estimation
    Journal of Econometrics, 2007, 141, (2), 1353-1384 View citations (161)

2006

11. A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
    Econometric Theory, 2006, 22, (6), 989-1029 View citations (12)
    See also Working Paper The test for stationarity versus trends and unit roots for a wide class of dependent errors, Discussion Papers View citations (11)
12. Consistent estimation of the memory parameter for nonlinear time series
    Journal of Time Series Analysis, 2006, 27, (2), 211-251 View citations (28)
    See also Working Paper Consistent estimation of the memory parameterfor nonlinear time series, STICERD - Econometrics Paper Series (2006) View citations (19) (2006)
13. Estimation of the memory parameter by fitting fractionally differenced autoregressive models
    Journal of Multivariate Analysis, 2006, 97, (10), 2101-2130 View citations (2)
14. Uniform Limit Theory for Stationary Autoregression
    Journal of Time Series Analysis, 2006, 27, (1), 51-60 View citations (63)
    See also Working Paper Uniform Limit Theory for Stationary Autoregression, Cowles Foundation Discussion Papers (2004) View citations (2) (2004)

2005

15. Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]
    Journal of Econometrics, 2005, 126, (2), 571-572 View citations (3)

2004

16. LARCH, Leverage, and Long Memory
    Journal of Financial Econometrics, 2004, 2, (2), 177-210 View citations (26)

2003

17. Rescaled variance and related tests for long memory in volatility and levels
    Journal of Econometrics, 2003, 112, (2), 265-294 View citations (139)

2001

18. WHITTLE ESTIMATION OF ARCH MODELS
    Econometric Theory, 2001, 17, (3), 608-631 View citations (32)

2000

19. Adaptive Semiparametric Estimation of the Memory Parameter
    Journal of Multivariate Analysis, 2000, 72, (2), 183-207 View citations (17)
20. STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
    Econometric Theory, 2000, 16, (1), 3-22 View citations (110)
21. Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
    Statistical Inference for Stochastic Processes, 2000, 3, (1), 113-128 View citations (7)
    See also Working Paper Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity, G.R.E.Q.A.M. (1999) (1999)

1999

22. Variance-type estimation of long memory
    Stochastic Processes and their Applications, 1999, 80, (1), 1-24 View citations (6)

1997

23. Estimation of the dependence parameter in linear regression with long-range-dependent errors
    Stochastic Processes and their Applications, 1997, 71, (2), 207-224 View citations (6)

1996

24. Asymptotic normality of regression estimators with long memory errors
    Statistics & Probability Letters, 1996, 29, (4), 317-335 View citations (30)

Undated

25. ARCH-type bilinear models with double long memory
    Stochastic Processes and their Applications, 100, (1-2), 275-300 View citations (29)