4 papers
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…