2 papers
econ.EM2025
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…
econ.EM2024
Parameters on the boundary in predictive regression
Giuseppe Cavaliere, Iliyan Georgiev, Edoardo Zanelli
We consider bootstrap inference in predictive (or Granger-causality) regressions when the parameter of interest may lie on the boundary of the parameter space, here defined by mean…