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DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

Lavancier, Frédéric; Leipus, Remigijus; Philippe, Anne; … - In: Econometric Theory 29 (2013) 05, pp. 1009-1056

Persistent link: https://www.econbiz.de/10010700042

A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS

Giraitis, Liudas; Leipus, Remigijus; Philippe, Anne - In: Econometric Theory 22 (2006) 06, pp. 989-1029

Persistent link: https://www.econbiz.de/10005610526

REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS

Koul, Hira L.; Baillie, Richard T.; Surgailis, Donatas - In: Econometric Theory 20 (2004) 03, pp. 485-512

Persistent link: https://www.econbiz.de/10005610347

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

Giraitis, Liudas; Leipus, Remigijus; Surgailis, Donatas - In: Econometric Theory 26 (2010) 02, pp. 406-425

The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and other works. We show that the limiting aggregate of the (G)eneralized LARCH(1,1) process in...

Persistent link: https://www.econbiz.de/10008516785