Research
ALESSANDRO CASINI
Publications
“Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference“
by Alessandro Casini Taosong Deng and Pierre Perron.
September 2024. arXiv preprint arXiv:2106.02031.Forthcoming, Econometric Theory.
Casini, A. and P. Perron (2024): “Prewhitened Long-Run Variance Estimation Robust to Nonstationarity,” Journal of Econometrics 242(1), 105794.
Working paper: arxiv preprint arXiv:2103.02235. Software: DK-HAC package (Matlab, R and Stata).
Casini, A. and P. Perron (2024): “Change-Point Analysis of Time Series with Evolutionary Spectra,” Journal of Econometrics 242(2), 105811.
Working paper: arXiv preprint arXiv:2106.02031. Software: All-Inside package (Matlab, R and Stata).
Casini, A. (2024): “The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity,” Journal of Econometrics 238(2), 105625.
Working paper: arXiv preprint arXiv:2111.14590. Software: Matlab code.
Belotti, F., A. Casini, L. Catania, S. Grassi and P. Perron (2023): “Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings,” Econometric Reviews 42(3), 281-306.
Working paper: arXiv preprint arXiv:2103.00060. Software: DK-HAC package (Matlab, R and Stata).
Casini, A. (2023): “Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in possibly Misspecified and Nonstationary Models,” Journal of Econometrics 235(2), 372-392.
Working paper: arXiv preprint arXiv:2103.02981. Software (in preparation): DK-HAC package (Matlab, R and Stata)
Casini, A. (2022): “Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”” Econometrica 90(4), 1-2.
Casini, A. and P. Perron (2022): “Generalized Laplace Inference in Multiple Change-Points Models,” Econometric Theory 38(1), 35-65.
Supplement to paper. Working paper: arXiv preprint arXiv:1803.10871.
Casini, A. and P. Perron (2021): “Continuous Record Laplace-Based Inference about the Break Date in Structural Change Models“, Journal of Econometrics 224(1), 3-21.
Supplement to paper. Working paper: arXiv preprint arXiv:1804.00232.
Please note that references to Casini and Perron (2020a) refer to the following version: arxiv preprint arXiv:1803.10881v1.
Casini, A. and P. Perron (2019): “Structural Breaks in Time Series“, Oxford Research Encyclopedia of Economics and Finance. Oxford University Press. doi: http://dx.doi.org/10.1093/
Casini, A. (2013): “Reconsidering Non-Keynesian Effects of Fiscal Consolidations over the Business Cycle”, Rivista di Politica Economica, Issue 4, pages 11-45. Received Angelo Costa Award from Rivista di Politica Economica (Best Master Thesis in Economics, Italy, 2013).
Working Papers
“Identification and Estimation of Causal Effects in High-Frequency Event Studies“
by Alessandro Casini and Adam McCloskey.
October 2024. arXiv preprint arXiv:2406.15667. Replication code.
“Dynamic LATE and Time-Varying Instrument Relevance”
by Alessandro Casini, Adam McCloskey and Raimondo Pala.
June 2022.
This paper is part of the project “Identification and Estimation of LATE in Macroeconomics” awarded the 2022 EIEF Grant.
“Continuous Record Asymptotics for Change-Point Models“
by Alessandro Casini and Pierre Perron.
May 2024. arxiv preprint arXiv:1803.10881.
“Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework“
by Alessandro Casini.
First version: January 2018. arXiv preprint arXiv:1803.10883. In progress.