41 citations · 51 across the 15 of their papers we have counts for
6 papers · 1 filter
An identification and testing strategy for proxy-SVARs with weak proxies
Giovanni Angelini, Giuseppe Cavaliere, Luca Fanelli
When proxies (external instruments) used to identify target structural shocks are weak, inference in proxy-SVARs (SVAR-IVs) is nonstandard and the construction of asymptotically va…
Factor Network Autoregressions
Matteo Barigozzi, Giuseppe Cavaliere, Graziano Moramarco
We propose a factor network autoregressive (FNAR) model for time series with complex network structures. The coefficients of the model reflect many different types of connections b…
The Econometrics of Financial Duration Modeling
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the cla…
Bootstrap inference in the presence of bias
Giuseppe Cavaliere, Sílvia Gonçalves, Morten Ørregaard Nielsen +1
We consider bootstrap inference for estimators which are (asymptotically) biased. We show that, even when the bias term cannot be consistently estimated, valid inference can be obt…
Time-Varying Poisson Autoregression
Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo +1
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time ser…
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis +1
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) s…