26 citations
- Boston UniversityUS3 papers
- University College LondonGB3 papers
- Aalto UniversityFI1 paper
- American Association of Variable Star ObserversUS1 paper
- Indian Statistical InstituteIN1 paper
- National Institute for AstrophysicsIT1 paper
- Osservatorio Astronomico di PadovaIT1 paper
- Saha Institute of Nuclear PhysicsIN1 paper
- University of Rome Tor VergataIT1 paper
- University of WarwickGB1 paper
8 papers
Structural Breaks in Time Series
Alessandro Casini, Pierre Perron
This chapter covers methodological issues related to estimation, testing and computation for models involving structural changes. Our aim is to review developments as they relate t…
Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework
Alessandro Casini
We develop a novel continuous-time asymptotic framework for inference on whether the predictive ability of a given forecast model remains stable over time. We formally define forec…
Continuous Record Asymptotics for Change-Points Models
Alessandro Casini, Pierre Perron
For a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date.…
Fixed Effect Estimation of Large T Panel Data Models
Iván Fernández-Val, Martin Weidner
This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametr…
Nonlinear Factor Models for Network and Panel Data
Mingli Chen, Iván Fernández-Val, Martin Weidner
Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-…
Zipf's law in city size from a resource utilization model
Asim Ghosh, Arnab Chatterjee, Anindya S. Chakrabarti +1
We study a resource utilization scenario characterized by intrinsic fitness. To describe the growth and organization of different cities, we consider a model for resource utilizati…