41 citations · 51 across the 15 of their papers we have counts for
20 papers
Bootstrapping autoregressive duration models
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
This paper develops bootstrap methods for likelihood-based inference in autoregressive conditional duration (ACD) models, where the sample size is endogenously determined by durati…
Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy
Giuseppe Cavaliere, Luca Fanelli, Marco Mazzali
We propose a novel econometric methodology for Structural Vector Autoregressions with external instruments (`proxy-SVARs' or `SVAR-IVs') in panel data characterized by strong cross…
Improved inference for nonparametric regression and regression-discontinuity designs
Giuseppe Cavaliere, Sílvia Gonçalves, Morten Ørregaard Nielsen +1
Nonparametric regression and regression-discontinuity designs suffer from smoothing bias that distorts conventional confidence intervals. Solutions based on robust bias correction…
Bootstrap Diagnostic Tests
Giuseppe Cavaliere, Luca Fanelli, Iliyan Georgiev
Violation of the assumptions underlying classical (Gaussian) limit theory often yields unreliable statistical inference. This paper shows that the bootstrap can detect such violati…
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems
Giuseppe Cavaliere, Adam McCloskey, Rasmus S. Pedersen +1
Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to s…
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite the…