13 citations · 17 across the 8 of their papers we have counts for
9 papers
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…
Multilevel Models with Stochastic Volatility for Repeated Cross-Sections: an Application to tribal Art Prices
Silvia Cagnone, Simone Giannerini, Lucia Modugno
In this paper we introduce a multilevel specification with stochastic volatility for repeated cross-sectional data. Modelling the time dynamics in repeated cross sections requires…
The wild bootstrap for multilevel models
Lucia Modugno, Simone Giannerini
In this paper we study the performance of the most popular bootstrap schemes for multilevel data. Also, we propose a modified version of the wild bootstrap procedure for hierarchic…
The Analysis of Tribal Art Prices: a Multilevel Model with Autoregressive Components
Lucia Modugno, Silvia Cagnone, Simone Giannerini
In this paper we propose a multilevel model specification with time series components for the analysis of prices of artworks sold at auctions. Since auction data do not constitute…