13 citations · 17 across the 7 of their papers we have counts for
8 papers
Strategic Play and Home Advantage: Coaches' Tactical Impact in Serie A
Francesco Angelini, Massimiliano Castellani, Gery Andrés Díaz Rubio +2
We analyze how coaching strategies affect goal difference and home win probabilities using hand-coded Serie A match commentary (2011/12--2013/14). Our dataset captures in-game dyna…
Inference in matrix-valued time series with common stochastic trends and multifactor error structure
Rong Chen, Simone Giannerini, Greta Goracci +1
We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present.…
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…
Robust estimation for Threshold Autoregressive Moving-Average models
Greta Goracci, Davide Ferrari, Simone Giannerini +1
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. Howev…
A multivariate extension of the Misspecification-Resistant Information Criterion
Gery Andrés Díaz Rubio, Simone Giannerini, Greta Goracci
The Misspecification-Resistant Information Criterion (MRIC) proposed in [H.-L. Hsu, C.-K. Ing, H. Tong: On model selection from a finite family of possibly misspecified time series…
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…
Testing for threshold effects in the TARMA framework
Greta Goracci, Simone Giannerini, Kung-Sik Chan +1
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statist…
Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis
Kung-Sik Chan, Simone Giannerini, Greta Goracci +1
Regulation is an important feature characterising many dynamical phenomena and can be tested within the threshold autoregressive setting, with the null hypothesis being a global no…