13 citations · 33 across the 8 of their papers we have counts for
9 papers
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…
Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
Alessandro Casini, Pierre Perron
We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity th…
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…
Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
Dukpa Kim, Tatsushi Oka, Francisco Estrada +1
What transpires from recent research is that temperatures and radiative forcing seem to be characterized by a linear trend with two changes in the rate of growth. The first occurs…
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…
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…
Testing for Common Breaks in a Multiple Equations System
Tatsushi Oka, Pierre Perron
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regr…