Papers

Published papers

This is a (more or less) complete list of my papers published thus far, starting from the most recent ones. It includes forthcoming papers, and, when useful, working paper/extended versions, the BibTeX info, and, occasionally, code (usually, this is in Gauss and, I'm afraid, it is usually not particularly well-written). 

Of course, if there is anything you need (including more code), you can always email me. 

1. The maximally selected likelihood ratio test in random coefficient models (2024), with L Horvath and J Vanderdoes (forthcoming, Econometrics Journal) - View paper; View Technical Appendix 

2. Inference in heavy-tailed non-stationary multivariate time series (2024), with M Barigozzi and G Cavaliere. Journal of the American Statistical Association, 119(545), 565-581 - View paper; View Technical Appendix

3. Changepoint detection in random coefficient autoregressive models (2023), with L Horvath. Journal of Business and Economic Statistics, 41(4), 1300-1314 - View Paper; View Technical Appendix

4. Superkurtosis (2023), with S Degiannakis, G Filis, and G Siourounis. Journal of Money, Credit and Banking, 55(8), 2061-2091 - View accepted version 

5. Lp-functionals for changepoint detection in Random Coefficient Autoregressive models (2023), with L Horvath. Statistics and Probability Letters, 201, 109829 - View paper

6. One-way or Two-way Factor Model for Matrix Sequences? (2023), with Y He, X Kong, and L Yu. Journal of Econometrics, 235(2), 1981-2004 - View paper; View Technical Appendix 

7. Testing for common trends in non-stationary large datasets (2022), with M Barigozzi. Journal of Business and Economic Statistics, 40(3), 1107-1122 - View accepted paper; View Technical Appendix

8. Estimation of large dimensional time varying VARs using copulas (2022), with M Izzeldin and M Tsionas. European Economic Review, 141, Article number 103952 - View Paper; Code and data available (please email me)

9. A test for strict stationarity in a random coefficient autoregressive model of order 1 (2021). Statistics and Probability Letters, 177, Article number 109164 - View Paper; View Supplement

10. Testing for strict stationarity in a Random Coefficient AutoRegression (2021). Econometrics Reviews, 40, 220-256 - View accepted version

11. Inferential theory for heterogeneity and cointegration in large panels (2021). Journal of Econometrics, 220, 474-503 - View paper; View extended version

12. Sequential testing for structural stability in approximate factor models (2020), with M Barigozzi. Stochastic Processes and their Applications, 130(8), 5149-5187 - View paper 

13. Testing for randomness in a random coefficient autoregression model (2019), with L Horvath. Journal of Econometrics, 209, 338-352 - View paper; View supplement

14. A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors (2019), with C Castagnetti and E Rossi. Econometrics and Statistics, 11, 63-82 - View Paper

15. A Randomised Sequential Procedure to Determine the Number of Factors (2018). Journal of the American Statistical Association, 113(523), 1341-1349 -  View paper; View Supplement; Some code

16. Testing for Instability in Covariance Structures (2018), with C Kao, and G Urga. Bernoulli, 24(1), 740-771 - View paper; View supplement  

17. Multiple Mortality Modelling in Poisson Lee Carter Framework (2016), with V D’Amato, S Haberman, G Piscopo and M Russolillo. Communications in Statistics – Theory and Methods, 45(6), 1723-1732 - View paper

18. Statistical Inference in a Random Coefficient Panel Model (2016), with L Horvath. Journal of Econometrics, 193(1), 54-75 - View extended version

19. Testing for (In)Finite Moments (2016). Journal of Econometrics, 191, 57-68 - View paper

20. Testing for no Factor Structures: on the Use of Average-type and Hausman-type Statistics (2015), with C Castagnetti and E Rossi. Economics Letters, 130, p. 66-68 - View paper

21. Testing for Exogeneity in Cointegrated Panels (2015). Oxford Bulletin of Economics and Statistics, 77, 475-494 - View paper; View supplement

22. Inference on Factor Structures in Heterogeneous Panels (2015), with C. Castagnetti and E. Rossi. Journal of Econometrics, 184(1), 145-157 - View paper

23. Chover-type Laws of the k-Iterated Logarithm for Weighted Sums of Strongly Mixing Sequences (2014). Journal of Mathematical Analysis and Applications, 420(2), 908-916 - View paper

24. Comments on: Extensions of Some Classical Methods in Change Point Analysis (2014). TEST, 23(2), 283-286. 

25. Detecting Common Longevity Trends by a Multiple Population Approach (2014), with V D’Amato, S Haberman, G Piscopo and M Russolillo. North American Actuarial Journal, 18(1), 139-149 - View paper

26. First-Differenced Inference for Panel Factor Series (2013), with E Ipatova. Economics Letters, 118(2), 364-366 - View paper

27. On the Use of Cross-Sectional Measures of Forecast Uncertainty (2013), with C Driver and G Urga. International Journal of Forecasting, 29(3), 367-377 - View paper

28. On Bootstrapping Panel Factor Series (2013), Journal of Econometrics, 172(1), 127-141 - View paper; View extended version

29. On the Asymptotic t-test for Large Nonstationary Panel Models (2012). Computational Statistics and Data Analysis, 56, 3286-3306 - View paper

30. Asymptotics for Panel Models with Common Shocks (2012), with C Kao and G Urga. Econometrics Reviews, 31(4), 390-439 - View paper; View extended version

31. Micro versus Macro Cointegration in Heterogeneous Panels (2010) with G Urga. Journal of Econometrics, 155, 1-18 - View paper

32. Optimal Forecasting with Heterogeneous Panels: a Monte Carlo Study (2009), with G Urga. International Journal of Forecasting, 25, 567-586 - View paper

33. Common Stochastic Trends and Aggregation in Heterogeneous Panels (2007), with S. Lazarova and G. Urga. Econometric Theory, 23, 89-106 - View paper

Working papers and projects

These are new projects (and when the full paper is not available, please do get in touch if you want to know more).

1. "Online Change-point Detection for Matrix-valued Time Series with Latent Two-way Factor Structure", with Y He, X Kong, and L Yu (3rd round, Annals of Statistics)

2. "Factor models with downside risk", with D Massacci and L Sarno (Major revision requiered, Management Science) - View SSRN version 

3. "Informal employment from migration shocks", with T Gries and M Valente (under review) - View SSRN version

4. "Statistical Inference for Large-dimensional Tensor Factor Model by Weighted/Unweighted Projection", with M Barigozzi, Y He, and L Li (under review) -  View ArXiv version 

5. "Robust estimation of large factor models for tensor-valued time series",  with M Barigozzi, Y He, and L Li (under review) -  View ArXiv version 

6. "Changepoint detection in functional data with empirical energy distances", with BC Boniece and L Horvath (under review) - View paper; View Supplement

7. "High dimensional threshold regression with common stochastic trends", with D Massacci (under review) -  View SSRN version 

8. "Real time monitoring with RCA models", with L Horvath (under review) -  View ArXiv version 

9. "Detection of breaks in weak location time series models with quasi-Fisher scores", with C Francq and J-M Zakoian

10. "Fast online chagepoint detection", with F Ghezzi and E Rossi (under review)