1

Nonstationarity-extended local Whittle estimation

Karim M. Abadir, Walter Distaso, Liudas Giraitis
Journal:
Journal of Econometrics
Année:
2007
Langue:
english
Fichier:
PDF, 355 KB
english, 2007
3

Mean and autocovariance function estimation near the boundary of stationarity

Liudas Giraitis, Peter C.B. Phillips
Journal:
Journal of Econometrics
Année:
2012
Langue:
english
Fichier:
PDF, 692 KB
english, 2012
4

Central Limit Theorems for Quadratic Forms with Time-Domain Conditions

Liudas Giraitis and Murad S. Taqqu
Journal:
The Annals of Probability
Année:
1998
Langue:
english
Fichier:
PDF, 1.22 MB
english, 1998
6

Whittle Estimation of ARCH Models

Liudas Giraitis and Peter M. Robinson
Journal:
Econometric Theory
Année:
2001
Langue:
english
Fichier:
PDF, 1.85 MB
english, 2001
7

Whittle Estimator for Finite-Variance Non-Gaussian Time Series with Long Memory

Liudas Giraitis and Murad S. Taqqu
Journal:
The Annals of Statistics
Année:
1999
Langue:
english
Fichier:
PDF, 682 KB
english, 1999
8

ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

Abadir, Karim M., Distaso, Walter, Giraitis, Liudas, Koul, Hira L.
Journal:
Econometric Theory
Année:
2014
Langue:
english
Fichier:
PDF, 390 KB
english, 2014
12

Adaptive Semiparametric Estimation of the Memory Parameter

Liudas Giraitis, Peter M Robinson, Alexander Samarov
Journal:
Journal of Multivariate Analysis
Année:
2000
Langue:
english
Fichier:
PDF, 239 KB
english, 2000
13

Asymptotic normality of regression estimators with long memory errors

Liudas Giraitis, Hira L Koul, Donatas Surgailis
Journal:
Statistics & Probability Letters
Année:
1996
Langue:
english
Fichier:
PDF, 676 KB
english, 1996
14

The change-point problem for dependent observations

Liudas Giraitis, Remigijus Leipus, Donatas Surgailis
Journal:
Journal of Statistical Planning and Inference
Année:
1996
Langue:
english
Fichier:
PDF, 597 KB
english, 1996
16

Two estimators of the long-run variance: Beyond short memory

Karim M. Abadir, Walter Distaso, Liudas Giraitis
Journal:
Journal of Econometrics
Année:
2009
Langue:
english
Fichier:
PDF, 2.36 MB
english, 2009
17

Smoothing local-to-moderate unit root theory

Peter C.B. Phillips, Tassos Magdalinos, Liudas Giraitis
Journal:
Journal of Econometrics
Année:
2010
Langue:
english
Fichier:
PDF, 334 KB
english, 2010
18

An I() model with trend and cycles

Karim M. Abadir, Walter Distaso, Liudas Giraitis
Journal:
Journal of Econometrics
Année:
2011
Langue:
english
Fichier:
PDF, 383 KB
english, 2011
20

ARCH-type bilinear models with double long memory

Liudas Giraitis, Donatas Surgailis
Journal:
Stochastic Processes and their Applications
Année:
2002
Langue:
english
Fichier:
PDF, 256 KB
english, 2002
23

Convergence of normalized quadratic forms

Liudas Giraitis, Murad S. Taqqu
Journal:
Journal of Statistical Planning and Inference
Année:
1999
Langue:
english
Fichier:
PDF, 167 KB
english, 1999
26

Variance-type estimation of long memory

Liudas Giraitis, Peter M. Robinson, Donatas Surgailis
Journal:
Stochastic Processes and their Applications
Année:
1999
Langue:
english
Fichier:
PDF, 183 KB
english, 1999
29

Uniform Limit Theory for Stationary Autoregression

Liudas Giraitis, Peter C. B. Phillips
Journal:
Journal of Time Series Analysis
Année:
2006
Langue:
english
Fichier:
PDF, 115 KB
english, 2006
32

Adaptive forecasting in the presence of recent and ongoing structural change

Giraitis, Liudas, Kapetanios, George, Price, Simon
Journal:
Journal of Econometrics
Année:
2013
Langue:
english
Fichier:
PDF, 583 KB
english, 2013
33

STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES

Dalla, Violetta, Giraitis, Liudas, Koul, Hira L.
Journal:
Journal of Time Series Analysis
Année:
2014
Langue:
english
Fichier:
PDF, 320 KB
english, 2014
35

Stationary ARCH Models: Dependence Structure and Central Limit Theorem

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus
Journal:
Econometric Theory
Année:
2000
Langue:
english
Fichier:
PDF, 1.53 MB
english, 2000
36

Testing for Long Memory in the Presence of a General Trend

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus
Journal:
Journal of Applied Probability
Année:
2001
Langue:
english
Fichier:
PDF, 1.22 MB
english, 2001
37

STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus
Journal:
Econometric Theory
Année:
2000
Langue:
english
Fichier:
PDF, 141 KB
english, 2000
38

AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS

Giraitis, Liudas, Leipus, Remigijus, Surgailis, Donatas
Journal:
Econometric Theory
Année:
2010
Langue:
english
Fichier:
PDF, 168 KB
english, 2010
39

WHITTLE ESTIMATION OF ARCH MODELS

Giraitis, Liudas, Robinson, Peter M.
Journal:
Econometric Theory
Année:
2001
Langue:
english
Fichier:
PDF, 160 KB
english, 2001
41

Spectral approach to parameter-free unit root testing

Bailey, Natalia, Giraitis, Liudas
Journal:
Computational Statistics & Data Analysis
Année:
2016
Langue:
english
Fichier:
PDF, 467 KB
english, 2016
45

On asymptotic distributions of weighted sums of periodograms

Giraitis, Liudas, Koul, Hira L.
Journal:
Bernoulli
Année:
2013
Langue:
english
Fichier:
PDF, 263 KB
english, 2013
46

Testing for long memory in the presence of a general trend

Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus
Journal:
Journal of Applied Probability
Année:
2001
Langue:
english
Fichier:
PDF, 201 KB
english, 2001
47

STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE

Giraitis, Liudas, Surgailis, Donatas, Škarnulis, Andrius
Journal:
Econometric Theory
Année:
2017
Langue:
english
Fichier:
PDF, 238 KB
english, 2017
48

A model for long memory conditional heteroscedasticity

Giraitis, Liudas, Robinson, Peter M., Surgailis, Donatas
Journal:
The Annals of Applied Probability
Année:
2000
Langue:
english
Fichier:
PDF, 188 KB
english, 2000
49

Estimation pitfalls when the noise is not i.i.d.

Giraitis, Liudas, Taniguchi, Masanobu, Taqqu, Murad S.
Journal:
Japanese Journal of Statistics and Data Science
Année:
2018
Langue:
english
Fichier:
PDF, 501 KB
english, 2018
50

Asymptotic Normality for Weighted Sums of Linear Processes

Abadir, Karim M., Distaso, Walter, Giraitis, Liudas, Koul, Hira
Journal:
SSRN Electronic Journal
Année:
2012
Langue:
english
Fichier:
PDF, 302 KB
english, 2012