6 papers
Inference in heavy-tailed non-stationary multivariate time series
Matteo Barigozzi, Giuseppe Cavaliere, Lorenzo Trapani
We study inference on the common stochastic trends in a non-stationary, -variate time series , in the possible presence of heavy tails. We propose a novel methodology whi…
Changepoint detection in random coefficient autoregressive models
Lajos Horvath, Lorenzo Trapani
We propose a family of CUSUM-based statistics to detect the presence of changepoints in the deterministic part of the autoregressive parameter in a Random Coefficient AutoRegressiv…
Sequential monitoring for cointegrating regressions
Lorenzo Trapani, Emily Whitehouse
We develop monitoring procedures for cointegrating regressions, testing the null of no breaks against the alternatives that there is either a change in the slope, or a change to no…
Bayesian estimation of large dimensional time varying VARs using copulas
Mike Tsionas, Marwan Izzeldin, Lorenzo Trapani
This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the…
Testing for strict stationarity in a random coefficient autoregressive model
Lorenzo Trapani
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the alternative of non-stationarity, in the context of a Random Coefficient AutoRegression…
Determining the dimension of factor structures in non-stationary large datasets
Matteo Barigozzi, Lorenzo Trapani
We propose a procedure to determine the dimension of the common factor space in a large, possibly non-stationary, dataset. Our procedure is designed to determine whether there are…