13 citations · 41 across the 9 of their papers we have counts for
9 papers
The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
Alessandro Casini
We show that the nonstandard limiting distribution of HAR test statistics under fixed-b asymptotics is not pivotal (even after studentization) when the data are nonstationarity. It…
Change-Point Analysis of Time Series with Evolutionary Spectra
Alessandro Casini, Pierre Perron
This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the nul…
Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
Alessandro Casini
We develop a theory of evolutionary spectra for heteroskedasticity and autocorrelation robust (HAR) inference when the data may not satisfy second-order stationarity. Nonstationari…
Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
Alessandro Casini, Taosong Deng, Pierre Perron
We establish theoretical results about the low frequency contamination (i.e., long memory effects) induced by general nonstationarity for estimates such as the sample autocovarianc…
Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
Federico Belotti, Alessandro Casini, Leopoldo Catania +2
We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usu…
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…
Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
Alessandro Casini, Pierre Perron
Building upon the continuous record asymptotic framework recently introduced by Casini and Perron (2018a) for inference in structural change models, we propose a Laplace-based (Qua…
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…
Generalized Laplace Inference in Multiple Change-Points Models
Alessandro Casini, Pierre Perron
Under the classical long-span asymptotic framework we develop a class of Generalized Laplace (GL) inference methods for the change-point dates in a linear time series regression mo…