3 citations · 4 across the 2 of their papers we have counts for
2 papers
econ.EM2021★ 1 cited
Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
Alessandro Casini, Pierre Perron
We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity th…
math.ST2018★ 3 cited
Continuous Record Asymptotics for Change-Points Models
Alessandro Casini, Pierre Perron
For a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date.…