13 citations · 33 across the 8 of their papers we have counts for
4 papers · 1 filter
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…