41 citations · 41 across the 3 of their papers we have counts for
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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…
Parameters on the boundary in predictive regression
Giuseppe Cavaliere, Iliyan Georgiev, Edoardo Zanelli
We consider bootstrap inference in predictive (or Granger-causality) regressions when the parameter of interest may lie on the boundary of the parameter space, here defined by mean…
Bootstrapping Non-Stationary Stochastic Volatility
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek +1
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many…
Inference under random limit bootstrap measures
Giuseppe Cavaliere, Iliyan Georgiev
Asymptotic bootstrap validity is usually understood as consistency of the distribution of a bootstrap statistic, conditional on the data, for the unconditional limit distribution o…