Research
ALESSANDRO CASINI
Publications
“The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity“
by Alessandro Casini.
Supplement to paper. Matlab code.
September 2023. arXiv preprint arXiv:2111.14590. Journal of Econometrics, forthcoming.
“Change-Point Analysis of Time Series with Evolutionary Spectra”
by Alessandro Casini and Pierre Perron.
October 2023. arXiv preprint arXiv:2106.02031. Journal of Econometrics, forthcoming.
Link to software implementation: All-Inside package (Matlab, R and Stata).
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 version: arXiv preprint arXiv:2103.00060.
Link to software implementation: 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 version: arXiv preprint arXiv:2103.02981.
Supplement for online publication. Supplement not for online publication.
Link to software implementation (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 version: 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 version: 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, Estimation and Inference on π-LATE in Macroeconomics”
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.
“Prewhitened Long-Run Variance Estimation Robust to Nonstattionarity“
by Alessandro Casini and Pierre Perron.
September 2023. arxiv preprint arXiv:2103.02235. Revise and Resubmit, Journal of Econometrics.
Link to software implementation: DK-HAC package (Matlab, R and Stata).
“Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference“
by Alessandro Casini Taosong Deng and Pierre Perron.
August 2023. arXiv preprint arXiv:2106.02031. Revise and Resubmit, Econometric Theory.
“Continuous Record Asymptotics for Change-Point Models“
by Alessandro Casini and Pierre Perron.
October 2022. 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.