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Inference on stochastic time-varying coefficient models
Giraitis, Liudas; Kapetanios, George; Yates, Anthony - In: Journal of econometrics 179 (2014) 1, pp. 46-65
Persistent link: https://www.econbiz.de/10010258276
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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - In: Journal of econometrics 224 (2021) 2, pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
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Two estimators of the long-run variance : beyond short memory
Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-70
Persistent link: https://www.econbiz.de/10003847512
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Nonstationarity-extended local Whittle estimation
Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 141 (2007) 2, pp. 1353-1384
Persistent link: https://www.econbiz.de/10003571465
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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. 166-178
Persistent link: https://www.econbiz.de/10009671325
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An I(d) model with trend and cycles
Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 163 (2011) 2, pp. 186-199
Persistent link: https://www.econbiz.de/10009270611
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Rescaled variance and related tests for long memory in volatility and levels
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Journal of econometrics 112 (2003) 2, pp. 265-294
Persistent link: https://www.econbiz.de/10001731317
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Asymptotic theory for time series with changing mean and variance
Dalla, Violetta; Giraitis, Liudas; Robinson, Peter M. - In: Journal of econometrics 219 (2020) 2, pp. 281-313
Persistent link: https://www.econbiz.de/10012483387
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Corrigendum to #8220Rescaled variance and related tests for long memory in volatility and levels#8221
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Journal of econometrics 126 (2005) 2, pp. 571-572
Persistent link: https://www.econbiz.de/10006752665
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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