- “Testing for
unit roots in bounded time series",
Journal
of Econometrics, forthcoming (with
F.Xu)
- "Bootstrap
Determination of the Co-integration Rank in VAR
Models",
Econometrica,
forthcoming (with A. Rahbek and A.M.R. Taylor) [first draft:
abstract
and
pdf file; second draft:
abstract
and
pdf file; final version
here]
- “Wild bootstrap
of
the mean in the infinite variance case”,
Econometric
Reviews, forthcoming
(with I. Georgiev and A.M.R. Taylor) [
abstract
and
pdf file]
- "Bootstrap co-integration rank testing: the role of deterministic
variables and initial values in the bootstrap recursion",
Econometric
Reviews, forthcoming (with A. M.
Robert Taylor & Carsten Trenkler) [
abstract
and
pdf file]
- "Testing for Unit Roots in the Presence of a Possible Break in Trend
and Non-Stationary Volatility" (2011),
Econometric
Theory 27, 957-991 (with D. Harvey, S. Leybourne and A.M.R.
Taylor) [
abstract
and
pdf file]
- “Testing for
co-integration in vector autoregressions
with non-stationary volatility” (2010),
Journal
of Econometrics 158, 7-24 (with A. Rahbek and A.M.R. Taylor) [
abstract,
pdf file, code]
- “Co-integration Rank Testing under Conditional
Heteroskedasticity” (2010),
Econometric
Theory 26, 1719-1760 (with A. Rahbek and A.M.R. Taylor) [
abstract,
pdf file, code]
- "Determination of the Number of Common Stochastic Trends under
Conditional Heteroskedasticity",
Estudios de
Economia Aplicada 28, 519-552 (with A. Rahbek and A.M.R. Taylor)
[
abstract and
pdf file]
-
“Heteroskedastic time series with a unit root” (2009),
Econometric
Theory, 25, 1228-1276. (with A.M.R.
Taylor) [
abstract
and pdf file]
- “Robust inference in autoregressions with multiple outliers”
(2009),
Econometric
Theory, 25, 1625–1661 (with I. Georgiev) [
abstract, pdf and suppl.
material]
- “Bootstrap M unit root tests” (2009),
Econometric
Reviews, 28, 393-421 (with A.M.R. Taylor) [
abstract
and pdf file]
- “A note on testing covariance stationarity” (2009),
Econometric
Reviews, 28, pp. 364-371 (with A.M.R. Taylor) [
abstract
and pdf file]
- “Tests for cointegration rank and choice of the alternative” (2009),
Statistical
Methods and Applications, 18, 169-191 (with L. Fanelli and P.
Paruolo) [
abstract
and pdf file]
- “Testing for a change in persistence in the presence of
non-stationary volatility” (2008),
Journal
of Econometrics, 147, 84-98 (with A.M.R. Taylor) [
abstract
and pdf file]
- “International dynamic risk sharing” (2008),
Journal
of Applied Econometrics, 23, 1-16 (with L.Fanelli and
A.Gardini) [
abstract
and pdf file]
- “Regime switching autoregressive coefficients and the asymptotics for
unit root
tests” (2008),
Econometric
Theory (N&P section), 24, 1137-1148.
(with I. Georgiev) [
abstract
and pdf file]
- “Time-change unit root tests for time series with
non-stationary volatility” (2008),
Journal
of Time Series Analysis, 29, 300-330 (with A.M.R. Taylor) [
abstract
and pdf file]
- “Bootstrap unit root tests for time series models with
non-stationary volatility” (2008),
Econometric
Theory, 24, 43-71. (with A.M.R. Taylor) [
abstract
and pdf file]
- “Testing for
unit roots in
autoregressions with multiple level shifts” (2007),
Econometric
Theory, 23, pp. 1162-1215.
(with I. Georgiev) [
abstract
and pdf file,
suppl.material]
- “Testing for unit roots in time series models with
non-stationary volatility” (2007),
Journal
of Econometrics, 140, pp. 919-947. (with A.M.R. Taylor) [
abstract
and pdf file]
- “Testing for a change in persistence in the presence of a volatility
shift” (2006),
Oxford
Bulletin of Economics and Statistics, 27, pp. 619-636. (with
A.M.R. Taylor) [
abstract
and pdf file]
- “Regional consumption dynamics and risk sharing in Italy” (2006),
International
Review of Economics and
Finance, 15, pp. 525-542 (with A. Gardini and L. Fanelli). [
abstract
and pdf file]
- “Testing the null of co-integration in the presence of variance
breaks” (2006),
Journal
of Time
Series Analysis, 27, pp. 619-636. (with A.M.R. Taylor) [
abstract
and pdf file]
- “A note of unit root testing in the presence of level shifts” (2006),
Statistica.
(with I. Georgiev)
- “Limited time series with a unit root” (2005),
Econometric
Theory, 21, 907-945. [
abstract
and pdf file,
suppl. material]
- “Stationarity tests under time-varying variances” (2005),
Econometric
Theory,
21, pp.
1112-1129. (with A.M.R. Taylor) [
abstract
and pdf file]
- “Testing mean reversion in target-zone exchange-rates” (2005),
Applied
Economics, 37, pp. 2335-2347. [
abstract
and pdf file]
- “Risk sharing, risk aversion and the stabilization of regional
fluctuations in Italy” (2005),
Rivista
di Politica Economica, May-June 2005, 139-186 (with A. Gardini
and L. Fanelli). [in Italian] [abstract
and pdf file]
- “Unit root tests under time-varying variances” (2004),
Econometric
Reviews, 23, pp. 259-292.
- “Testing stationarity under a permanent variance shift” (2004),
Economics
Letters, 82, pp. 403-408. [
abstract
and pdf file]
- “Fundamentals and asset price dynamics” (2003),
Statistical
Methods and Applications,
12, pp. 211-226 (with A. Gardini and M. Costa).
- The asymptotic distribution of the Dickey-Fuller statistic under a
non-negativity constraint (2003),
Econometric
Theory, 19(3), pp.
691-692, Problem 03.3.2., Solution (2004)
Econometric
Theory, 20(3), pp.
808-810. [
abstract
and pdf file]
- “Asymptotics for unit root tests under Markov-regime switching”
(2003),
Econometrics
Journal,
6, pp. 193-216. [
abstract
and pdf file]
- “Bounded integrated processes and unit root tests” (2002),
Statistical
Methods and Applications,
11, pp. 41-70.
- “Testing the unit root hypothesis using generalized rescaled range
statistics” (2001),
Econometrics
Journal, 4, pp. 70-88. [
abstract
and pdf file]
- “Advertising effect on primary demand: a cointegration approach”
(2001),
International
Journal of
Advertising, 20, pp. 319-339 (with G. Tassinari).
- “The R/S Statistics as a unit root test” (2001),
Econometric
Theory, 17(2), p. 483,
Problem. 01.2.2, Solution (2002)
Econometric
Theory, 18, pp. 544-545
- “The econometrics of risk sharing tests: a new perspective” (2001),
Statistica,
LXI , 595-618. (with A.
Gardini and L. Fanelli).
- “A new approach to stock price modeling and forecasting” (1999),
Journal
of the Italian Statistical Society,
8, pp. 25-47 (with A. Gardini, M. Costa).
- “Size effect in the Italian Stock Exchange” (1999),
Applied
Economics Letters, 6, pp.
729-734, coauthor: M.Costa.
- “Detecting undeclared target zones within the European Monetary
System” (1998),
Statistica,
LVIII, pp. 433-456.
- “Multivariate analysis of financial data” (1997),
Statistica
applicata - The Italian Journal
of Applied Statistics, 9, pp. 219-230. with M. Costa)
- “Asymptotic inference for reflected Brownian motions” (1997),
Statistica,
LVII, pp. 553-571.
- “Devaluation expectations and the unit root hypothesis: the Italian
Lira in the European Monetary System” (1996),
Journal
of the Italian Statistical Society,
5, pp. 39-71.
- “Determining the number of factors in a generalized factor model”
(1995),
Statistica,
LV, pp.
495-516 [in Italian]