From the 2 of 7 linked papers with an AI index.
7 papers
Bootstrap inference in autoregressive duration models
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
The paper proposes bootstrap methods for inference in autoregressive conditional duration (ACD) models with random sample sizes, showing consistency under different tail-index cond…
Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy
Giuseppe Cavaliere, Luca Fanelli, Marco Mazzali
The paper introduces a factor‑augmented proxy SVAR method for panel data with strong cross‑sectional dependence and few direct instruments, using global and local proxies to identi…
Improved inference for nonparametric regression and regression-discontinuity designs
Giuseppe Cavaliere, SÃlvia Gonçalves, Morten Ãrregaard Nielsen +1
Nonparametric regression and regression-discontinuity designs suffer from smoothing bias that distorts conventional confidence intervals. Solutions based on robust bias correction…
Bootstrap Diagnostic Tests
Giuseppe Cavaliere, Luca Fanelli, Iliyan Georgiev
Violation of the assumptions underlying classical (Gaussian) limit theory often yields unreliable statistical inference. This paper shows that the bootstrap can detect such violati…
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems
Giuseppe Cavaliere, Adam McCloskey, Rasmus S. Pedersen +1
Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to s…
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite the…