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Robust inference in autoregressions with multiple outliers

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 25 (2009) 6, pp. 1625-1661

Persistent link: https://www.econbiz.de/10003904429

Exploiting infinite variance through dummy variables in nonstationary autoregressions

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 29 (2013) 6, pp. 1162-1195

Persistent link: https://www.econbiz.de/10010343729

Regime-switching autoregressive coefficients and the asymptotics for unit root tests

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 24 (2008) 4, pp. 1137-1148

Persistent link: https://www.econbiz.de/10003736886

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 23 (2007) 6, pp. 1162-1215

Persistent link: https://www.econbiz.de/10003591856

Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - In: Journal of empirical finance 38 (2016), pp. 640-663

Persistent link: https://www.econbiz.de/10011663393

Bootstrapping noncausal autoregressions : with applications to explosive bubble modeling

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10012179509

Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX)

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - 2015

Persistent link: https://www.econbiz.de/10011516997

Testing for co-integration in vector autoregressions with non-stationary volatility

Cavaliere, Giuseppe (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003788886

A Primer on Bootstrap Testing of Hypotheses in Time Series Models : With an Application to Double Autoregressive Models

Cavaliere, Giuseppe - 2019

In this paper we discuss the general application of the bootstrap as a tool for statistical inference in econometric time series models. We do this by considering the implementation of bootstrap inference in the class of double-autoregressive [DAR] models discussed in Ling (2004). DAR models are...

Persistent link: https://www.econbiz.de/10012889326

A primer on bootstrap testing of hypotheses in time series models : with an application to double autoregressive models

Cavaliere, Giuseppe; Rahbek, Anders - In: Econometric theory 37 (2021) 1, pp. 1-48

Persistent link: https://www.econbiz.de/10012437042