Eduardo Rossi | University of Pavia (original) (raw)

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Papers by Eduardo Rossi

Economics Letters, 2015

ABSTRACT Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a ... more ABSTRACT Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. In this contribution, we study the use of Hausman-type statistics based on the CCE estimator of Pesaran (2006) and the IE estimator developed by Bai (2009; see also Song, 2013). We show that tests based on either estimator cannot be employed directly, and either need further assumptions than those required for the simple purpose of estimation, or bias corrections, or cannot be used altogether.

Journal of Econometrics, 2015

ABSTRACT This paper develops an estimation and testing framework for a stationary large panel mod... more ABSTRACT This paper develops an estimation and testing framework for a stationary large panel model with observable regressors and unobservable common factors. We allow for slope heterogeneity and for correlation between the common factors and the regressors. We propose a two stage estimation procedure for the unobservable common factors and their loadings, based on Common Correlated Effects estimator and the Principal Component estimator. We also develop two tests for the null of no factor structure: one for the null that loadings are cross sectionally homogeneous, and one for the null that common factors are homogeneous over time. Our tests are based on using extremes of the estimated loadings and common factors. The test statistics have an asymptotic Gumbel distribution under the null, and have power versus alternatives where only one loading or common factor differs from the others. Monte Carlo evidence shows that the tests have the correct size and good power.

SSRN Electronic Journal, 2000

Center for Research in Econometrics …, Jan 1, 2011

Computational Statistics & Data Analysis, Jan 1, 2010

LIUC Papers in Economics, Jan 1, 1995

The paper presents some recent results on multivariate GARCH models, and proposes a parametrizati... more The paper presents some recent results on multivariate GARCH models, and proposes a parametrization which guarantees a positive definite conditional variance-covariance matrix of the disturbances. The properties of quasi-maximum likelihood estimators are showed. The ...