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Author: Liudas Giraitis

10 results found.

Econometrics Paper

Consistent estimation of the memory parameter for nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, excep...Read more...

January 2006

Econometrics Paper

LARCH, Leverage and Long Memory

Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of pas...Read more...

October 2003

Econometrics Paper

Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory

Liudas Giraitis and Peter M Robinson

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...

September 2002

Econometrics Paper

Gaussian Estimation of Parametric Spectral Density with Unknown Pole

Liudas Giraitis, Javier Hidalgo and Peter M Robinson

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown...Read more...

August 2001

Econometrics Paper

Parametric Estimation under Long-Range Dependence

Liudas Giraitis and Peter M Robinson

Parametric estimation is discussed in a variety of models exhibiting long-range dependence....Read more...

May 2001

Econometrics Paper

Whittle Estimation of ARCH Models

Liudas Giraitis and Peter M Robinson

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by c...Read more...

November 2000

Econometrics Paper

A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)

Liudas Giraitis, Peter M Robinson and Donatas Surgailis

Econometrics Paper

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.)

Liudas Giraitis, Peter M Robinson and Alexander Samarov

Econometrics Paper

Variance-Type Estimation of Long Memory - (Now published in 'Stochastic Processes and their Applications', 29 (1999), pp.1-24.)

Liudas Giraitis and Peter M Robinson

The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ? ? and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Tever...Read more...

October 1998

Econometrics Paper

Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)

Liudas Giraitis, Peter M Robinson and Alexander Samarov

There exist several estimators of the memory parameter in long-memory time series models with mean µ and the spectrum specified only locally near zero frequency. In this paper we give a lower bound for the rate of conver...Read more...

February 1997