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Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in Journal of Multivariate Analysis, 72 (2000), pp.183-207.)
Giraitis, Liudas; Robinson, Peter M; Samarov, Alexander - Suntory and Toyota International Centres for Economics … - 2000
Persistent link: https://www.econbiz.de/10005670814
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Nonstationarity-extended local Whittle estimation
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 141 (2007) 2, pp. 1353-1384
Persistent link: https://www.econbiz.de/10007859750
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Two estimators of the long-run variance: Beyond short memory
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-70
Persistent link: https://www.econbiz.de/10008250604
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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) 6, pp. 989-1029
Persistent link: https://www.econbiz.de/10007393749
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ARTICLES - Whittle Estimation of ARCH Models
Giraitis, Liudas; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 608-632
Persistent link: https://www.econbiz.de/10006978676
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ARTICLES - Stationary ARCH Models: Dependence Structure and Central Limit Theorem
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus - In: Econometric theory 16 (2000) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10006984546
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Mean and autocovariance function estimation near the boundary of stationarity
Giraitis, Liudas; Phillips, Peter C.B. - In: Journal of econometrics 169 (2012) 2, pp. 166-179
Persistent link: https://www.econbiz.de/10009987055
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An I() model with trend and cycles
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 163 (2011) 2, pp. 186-200
Persistent link: https://www.econbiz.de/10009163369
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Two estimators of the long-run variance: Beyond short memory
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-71
Persistent link: https://www.econbiz.de/10008896996
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Smoothing local-to-moderate unit root theory
Phillips, Peter C.B.; Magdalinos, Tassos; Giraitis, Liudas - In: Journal of econometrics 158 (2010) 2, pp. 274-280
Persistent link: https://www.econbiz.de/10008455145