22 papers
Weak Convergence for Self-Normalized Partial Sum Processes in the Skorokhod M1 Topology with Applications to Regularly Varying Time Series
Christis Katsouris
In this paper we study the weak convergence of self-normalized partial sum processes in the Skorokhod M1 topology for sequences of random variables which exhibit clustering of larg…
Robust Estimation in Network Vector Autoregression with Nonstationary Regressors
Christis Katsouris
This article studies identification and estimation for the network vector autoregressive model with nonstationary regressors. In particular, network dependence is characterized by…
Structural Analysis of Vector Autoregressive Models
Christis Katsouris
This set of lecture notes discuss key concepts for the Structural Analysis of Vector Autoregressive models for the teaching of a course on Applied Macroeconometrics with Advanced T…
Optimal Estimation Methodologies for Panel Data Regression Models
Christis Katsouris
This survey study discusses main aspects to optimal estimation methodologies for panel data regression models. In particular, we present current methodological developments for mod…
Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models
Christis Katsouris
This paper develops an asymptotic distribution theory for an endogenous instrumentation approach in quantile predictive regressions when both generated covariates and persistent pr…
Unified Inference for Dynamic Quantile Predictive Regression
Christis Katsouris
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under…
High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods
Christis Katsouris
These lecture notes provide an overview of existing methodologies and recent developments for estimation and inference with high dimensional time series regression models. First, w…
Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models
Christis Katsouris
In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the prese…
Quantile Time Series Regression Models Revisited
Christis Katsouris
This article discusses recent developments in the literature of quantile time series models in the cases of stationary and nonstationary underline stochastic processes.
Limit Theory under Network Dependence and Nonstationarity
Christis Katsouris
These lecture notes represent supplementary material for a short course on time series econometrics and network econometrics. We give emphasis on limit theory for time series regre…
Predictability Tests Robust against Parameter Instability
Christis Katsouris
We consider Wald type statistics designed for joint predictability and structural break testing based on the instrumentation method of Phillips and Magdalinos (2009). We show that…
Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models
Christis Katsouris
We establish the asymptotic validity of the bootstrap-based IVX estimator proposed by Phillips and Magdalinos (2009) for the predictive regression model parameter based on a local-…
Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors
Christis Katsouris
In this paper, we study the estimation of the threshold predictive regression model with hybrid stochastic local unit root predictors. We demonstrate the estimation procedure and d…
Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models
Christis Katsouris
This paper considers the specification of covariance structures with tail estimates. We focus on two aspects: (i) the estimation of the VaR-CoVaR risk matrix in the case of larger…
Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates
Christis Katsouris
We propose an econometric environment for structural break detection in nonstationary quantile predictive regressions. We establish the limit distributions for a class of Wald and…
Testing for Structural Change under Nonstationarity
Christis Katsouris
This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regres…
Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions
Christis Katsouris
We establish the asymptotic theory in quantile autoregression when the model parameter is specified with respect to moderate deviations from the unit boundary of the form (1 + c /…
Partial Sum Processes of Residual-Based and Wald-type Break-Point Statistics in Time Series Regression Models
Christis Katsouris
We revisit classical asymptotics when testing for a structural break in linear regression models by obtaining the limit theory of residual-based and Wald-type processes. First, we…
Sequential Break-Point Detection in Stationary Time Series: An Application to Monitoring Economic Indicators
Christis Katsouris
Monitoring economic conditions and financial stability with an early warning system serves as a prevention mechanism for unexpected economic events. In this paper, we investigate t…
Forecast Evaluation in Large Cross-Sections of Realized Volatility
Christis Katsouris
In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using equal predictive accuracy testing procedures. We evaluate th…
Deliberation of Streaming RNN-Transducer by Non-autoregressive Decoding
Weiran Wang, Ke Hu, Tara Sainath
We propose to deliberate the hypothesis alignment of a streaming RNN-T model with the previously proposed Align-Refine non-autoregressive decoding method and its improved versions.…
Treatment effect validation via a permutation test in Stata
Christis Katsouris
In this paper we describe the testing procedure for assessing the statistical significance of treatment effect under the experimental conditions of baseline imbalance across covari…