4 papers
Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
Alessandro Casini, Taosong Deng, Pierre Perron
We establish theoretical results about the low frequency contamination (i.e., long memory effects) induced by general nonstationarity for estimates such as the sample autocovarianc…
The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
Alessandro Casini
We show that the nonstandard limiting distribution of HAR test statistics under fixed-b asymptotics is not pivotal (even after studentization) when the data are nonstationarity. It…
Change-Point Analysis of Time Series with Evolutionary Spectra
Alessandro Casini, Pierre Perron
This paper develops change-point methods for the spectrum of a locally stationary time series. We focus on series with a bounded spectral density that change smoothly under the nul…
Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
Alessandro Casini
We develop a theory of evolutionary spectra for heteroskedasticity and autocorrelation robust (HAR) inference when the data may not satisfy second-order stationarity. Nonstationari…