3 papers
math.FA2026
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…
stat.ME2025
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…
econ.EM2025
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 ap…