Author

L. Giraitis

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Open access Aug 2026

ESTIMATION OF RANDOM CYCLES IN PERSISTENT TIME SERIES

A number of economic, financial, and climatic time series exhibit persistent cycles which are characterized by time-dependence patterns and peaks in the spectrum. In this article, we introduce a class of semiparametric cyclical–memory processes which enable the modeling of random cyclical patterns in stationary and n...

K. Abadir, N. Bailey, W. Distaso et al. · Econometric Theory · 2 citations

Open access Sep 2026

Partial Time‐Varying Regression Modelling Under General Heterogeneity

This paper studies a semiparametric time‐varying regression model in which a subset of regressors is associated with fixed parameters, while the remaining regressors have parameters that evolve smoothly over time. We propose a closed‐form semiparametric Frisch‐Waugh‐Lovell estimator for the fixed parameters, and a no...

L. Giraitis, G. Kapetanios, Yu-Fei Li et al. · Journal of Time Series Analy... · 0 citations