3 papers
econ.EM2025
Dynamic Local Average Treatment Effects in Time Series
Alessandro Casini, Adam McCloskey, Luca Rolla +1
This paper discusses identification, estimation, and inference on dynamic local average treatment effects (LATEs) in instrumental variables (IVs) settings. First, we show that comp…
stat.AP2023
Testing the martingale difference hypothesis using martingale difference divergence function
Luca Mattia Rolla
This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable…
econ.EM2022
The Forecasting performance of the Factor model with Martingale Difference errors
Luca Mattia Rolla, Alessandro Giovannelli
This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The FMMDE make…