2 citations · 3 across the 2 of their papers we have counts for
2 papers
econ.EM2023★ 2 cited
Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes
Francesco Angelini, Massimiliano Castellani, Simone Giannerini +1
Many macroeconomic time series are characterised by nonlinearity both in the conditional mean and in the conditional variance and, in practice, it is important to investigate separ…
stat.ME2021★ 1 cited
The validity of bootstrap testing in the threshold framework
Simone Giannerini, Greta Goracci, Anders Rahbek
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend t…