Skip to main content
School of Economics and Finance
  1. School of Economics and Finance
  2. People
  3. Research and teaching staff
  4. Profiles

Liudas Giraitis

Liudas

Professor

Email: l.giraitis@qmul.ac.uk
Telephone: +44 20 7882 8826
Room Number: GC403
Office Hours: Friday 2-4pm

Profile

Research keywords: Econometrics and Quantitative Methods.

Download CV: Liudas Giraitis [PDF 90KB]

Liudas Giraitis is a Professor of Econometrics at Queen Mary University of London. He has completed extensive research on long memory and integrated I(d) models summarized in  recent monograph “Large Sample Inference for Long memory Processes”.

He has done substantial work on ARCH models, semiparametric inference, and is interested in development of comprehensive asymptotic theory for sums and quadratic forms of dependent variables and their statistical and econometric applications.

In ongoing work, he is exploring time varying random coefficient models, their properties and estimation methods, forecasting under ongoing change approaches and heteroscadasticity and mean-variance constancy testing procedures.

His research bridges the fields of econometrics, statistics and probability theory, with a substantial emphasis on time series analysis. He has published numerous articles in the leading statistical and econometric journals.

Liudas has received his PhD in from Vilnius University. He has gained his research experience working at Heidelberg and Boston Universities and London School of Economics.

Research

Publications

  • Giraitis, L., Marotta, F., Phillips, P.C.B. (2024) "Cyclical time series: an empirical analysis of temperatures in central England over three centuries", Cowles Foundation Discussion Papers, CFDP 2409.
  • Giraitis, L., Li, Y., Phillips, P.C.B. (2024) "Robust Inference on Correlation under General Heterogeneity", Journal Econometrics, 240.
  • Giraitis, L., Kapetanios, G., Chronopoulos, I.C. (2022) "Choosing between persistent and stationary volatility", Annals of Statistics, 50, 3466-3483.
  • Giraitis, L., Kapetanios, G., Marcellino. M. (2021) "Time-Varying Instrumental Variable Estimation", Journal of Econometrics, 224, 394-415.
  • Giraitis L., Koul H., Surgailis D. (2012) "Large Sample Inference for Long memory Processes", Imperial College Press pp. 587.
  • Giraitis L., Kapetanios G., Yates, T. (2014) "Inference on stochastic time-evolving coefficient models", Journal of Econometrics, 179, 46–65.
  • Giraitis L., Kapetanios G., Price, S. (2013) "Adaptive forecasting in the presence of recent and ongoing structural change", Journal of Econometrics, 177, 153-170.
  • Giraitis L., Phillips P.C.B.  (2012) "Mean and autocovariance function estimation near the boundary of stationarity", Journal of Econometrics, 169, 166-178.
  • Abadir K., Distaso W., Giraitis L. (2011) "An I(d) model with trend and cycles", Journal of Econometrics, 163, 186-199.
Back to top