16 citations · 20 across the 3 of their papers we have counts for
4 papers
Inference on the attractor spaces via functional approximation
Massimo Franchi, Paolo Paruolo
This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for linear processes with moderately large cross-sectional dimensio…
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…
The Granger-Johansen representation theorem for integrated time series on Banach space
Phil Howlett, Brendan Beare, Massimo Franchi +2
We prove an extended Granger-Johansen representation theorem (GJRT) for finite or infinite order integrated autoregressive time series on Banach space. We assume only that the reso…
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…