EconPapers    
Economics at your fingertips  
 

Details about Liudas Giraitis

E-mail:
Homepage:http://m.econ.qmul.ac.uk/people/liudas-giraitis
Workplace:School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)

Access statistics for papers by Liudas Giraitis.

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

Short-id: pgi284


Jump to Journal Articles

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 Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2012) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2013)
  2. Asymptotic Normality for Weighted Sums of Linear Processes
    Working Paper series, Rimini Centre for Economic Analysis Downloads

2010

  1. An I(d) Model with Trend and Cycles
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Econometrics (2011)

2009

  1. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2012)

2008

  1. Smoothing Local-to-Moderate Unit Root Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2010)

2006

  1. Consistent estimation of the memory parameterfor nonlinear time series
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (15)
    Also in Discussion Papers, Department of Economics, University of York

    See also Journal Article in Journal of Time Series Analysis (2006)

2004

  1. Uniform Limit Theory for Stationary Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Discussion Papers, Department of Economics, University of York

    See also Journal Article in Journal of Time Series Analysis (2006)

2002

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

1999

  1. 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) Downloads

    See also Journal Article in Statistical Inference for Stochastic Processes (2000)

Undated

  1. Decomposition and asymptotic properties of quadratic forms in linear variables
    Discussion Papers, Department of Economics, University of York
  2. Estimation of the long memory parameter by fitting fractionally differenced autoregressive models
    Discussion Papers, Department of Economics, University of York
  3. Local Whittle estimation, fully extended for nonstationarity
    Discussion Papers, Department of Economics, University of York View citations (2)
  4. Semiparametric estimation and inference for trending I(d) and related processes
    Discussion Papers, Department of Economics, University of York View citations (3)
  5. The test for stationarity versus trends and unit roots for a wide class of dependent errors
    Discussion Papers, Department of Economics, University of York
    See also Journal Article in Econometric Theory (2006)
  6. Two estimators of the long-run variance
    Discussion Papers, Department of Economics, University of York

Journal Articles

2013

  1. Adaptive forecasting in the presence of recent and ongoing structural change
    Journal of Econometrics, 2013, 177, (2), 153-170 Downloads View citations (42)
    See also Working Paper (2012)
  2. Weak convergence in the near unit root setting
    Statistics & Probability Letters, 2013, 83, (5), 1411-1415 Downloads

2012

  1. Mean and autocovariance function estimation near the boundary of stationarity
    Journal of Econometrics, 2012, 169, (2), 166-178 Downloads View citations (4)
    See also Working Paper (2009)

2011

  1. An I(d) model with trend and cycles
    Journal of Econometrics, 2011, 163, (2), 186-199 Downloads View citations (9)
    See also Working Paper (2010)

2010

  1. AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
    Econometric Theory, 2010, 26, (2), 406-425 Downloads View citations (1)
  2. Smoothing local-to-moderate unit root theory
    Journal of Econometrics, 2010, 158, (2), 274-279 Downloads View citations (9)
    See also Working Paper (2008)

2009

  1. Two estimators of the long-run variance: Beyond short memory
    Journal of Econometrics, 2009, 150, (1), 56-70 Downloads View citations (15)

2007

  1. Approximations and limit theory for quadratic forms of linear processes
    Stochastic Processes and their Applications, 2007, 117, (1), 71-95 Downloads View citations (7)
  2. Convergence of quadratic forms with nonvanishing diagonal
    Statistics & Probability Letters, 2007, 77, (7), 726-734 Downloads View citations (4)
  3. Nonstationarity-extended local Whittle estimation
    Journal of Econometrics, 2007, 141, (2), 1353-1384 Downloads View citations (137)

2006

  1. A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
    Econometric Theory, 2006, 22, (6), 989-1029 Downloads View citations (11)
    See also Working Paper
  2. Consistent estimation of the memory parameter for nonlinear time series
    Journal of Time Series Analysis, 2006, 27, (2), 211-251 Downloads View citations (24)
    See also Working Paper (2006)
  3. Estimation of the memory parameter by fitting fractionally differenced autoregressive models
    Journal of Multivariate Analysis, 2006, 97, (10), 2101-2130 Downloads View citations (1)
  4. Uniform Limit Theory for Stationary Autoregression
    Journal of Time Series Analysis, 2006, 27, (1), 51-60 Downloads View citations (42)
    See also Working Paper (2004)

2005

  1. 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 Downloads View citations (1)

2004

  1. LARCH, Leverage, and Long Memory
    Journal of Financial Econometrics, 2004, 2, (2), 177-210 Downloads View citations (23)

2003

  1. Rescaled variance and related tests for long memory in volatility and levels
    Journal of Econometrics, 2003, 112, (2), 265-294 Downloads View citations (114)

2001

  1. WHITTLE ESTIMATION OF ARCH MODELS
    Econometric Theory, 2001, 17, (3), 608-631 Downloads View citations (24)

2000

  1. Adaptive Semiparametric Estimation of the Memory Parameter
    Journal of Multivariate Analysis, 2000, 72, (2), 183-207 Downloads View citations (14)
  2. STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
    Econometric Theory, 2000, 16, (1), 3-22 Downloads View citations (90)
  3. Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
    Statistical Inference for Stochastic Processes, 2000, 3, (1), 113-128 Downloads View citations (5)
    See also Working Paper (1999)

1999

  1. Variance-type estimation of long memory
    Stochastic Processes and their Applications, 1999, 80, (1), 1-24 Downloads View citations (4)

1997

  1. Estimation of the dependence parameter in linear regression with long-range-dependent errors
    Stochastic Processes and their Applications, 1997, 71, (2), 207-224 Downloads View citations (3)

1996

  1. Asymptotic normality of regression estimators with long memory errors
    Statistics & Probability Letters, 1996, 29, (4), 317-335 Downloads View citations (25)

Undated

  1. ARCH-type bilinear models with double long memory
    Stochastic Processes and their Applications, 100, (1-2), 275-300 Downloads
 
Page updated 2020-10-26