Browsing Economics and Finance by Author "GIRAITIS, L"
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Asymptotic Theory for Time Series with Changing Mean and Variance
GIRAITIS, L; Dalla, V; Robinson, PM -
Estimation pitfalls when the noise is not i.i.d.
GIRAITIS, LThis paper extends Whittle estimation to linear processes with a general stationary ergodic martingale difference noise. We show that such estimation is valid for standard parametric time series models with smooth bounded ... -
A time varying DSGE model with Financial frictions
GIRAITIS, L; Galvao, AB; Kapetanios, G; Petrova, K