343 citations · 360 across the 5 of their papers we have counts for
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econ.EM2024
Canonical correlation analysis of stochastic trends via functional approximation
Massimo Franchi, Iliyan Georgiev, Paolo Paruolo
This paper proposes a novel approach for semiparametric inference on the number of common trends and their loading matrix in systems. It combines functional app…
econ.EM2017★ 16 cited
Cointegration in functional autoregressive processes
Massimo Franchi, Paolo Paruolo
This paper defines the class of -valued autoregressive (AR) processes with a unit root of finite type, where is an infinite dimensional separable Hilbert…