Research
ALESSANDRO CASINI
Publications
Casini, A. and P. Perron (2025): “Continuous Record Asymptotics for Change-Point Models“
arxiv preprint arXiv:1803.10881. Forthcoming, Journal of Time Series Analysis.
“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
“Dynamic Local Average Treatment Effects in Time Series“
by Alessandro Casini, Adam McCloskey, Luca Rolla and Raimondo Pala.
October 2025. arXiv preprint arXiv:2509.12985. Supplement. Replication code.
Financial support from EIEF through 2022 EIEF Grant (Casini) and from NSF under Grant SES-2341730 (McCloskey).
“Identification, Estimation and Inference in High-Frequency Event Study Regressions“
by Alessandro Casini and Adam McCloskey.
November 2025. arXiv preprint arXiv:2406.15667. Replication code.
“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.