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Inference on factor structures in heterogeneous panels (2014)
Journal Article
Castagnetti, C., Rossi, E., & Trapani, L. (2015). Inference on factor structures in heterogeneous panels. Journal of Econometrics, 184(1), https://doi.org/10.1016/j.jeconom.2014.08.004

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.... Read More about Inference on factor structures in heterogeneous panels.

Testing for exogeneity in cointegrated panels (2014)
Journal Article
Trapani, L. (2015). Testing for exogeneity in cointegrated panels. Oxford Bulletin of Economics and Statistics, 77(4), https://doi.org/10.1111/obes.12072

This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T-consistent, whereas it is math for... Read More about Testing for exogeneity in cointegrated panels.

Chover-type laws of the k-iterated logarithm for weighted sums of strongly mixing sequences (2014)
Journal Article
Trapani, L. (2014). Chover-type laws of the k-iterated logarithm for weighted sums of strongly mixing sequences. Journal of Mathematical Analysis and Applications, 420(2), https://doi.org/10.1016/j.jmaa.2014.06.042

This note contains a Chover-type Law of the k-Iterated Logarithm for weighted sums of strong mixing sequences of random variables with a distribution in the domain of a stable law. We show that the upper part of the LIL is similar to other studies in... Read More about Chover-type laws of the k-iterated logarithm for weighted sums of strongly mixing sequences.

Detecting common longevity trends by a multiple population approach (2014)
Journal Article
D’Amato, V., Haberman, S., Piscopo, G., Russolillo, M., & Trapani, L. (in press). Detecting common longevity trends by a multiple population approach. North American Actuarial Journal, 18(1), https://doi.org/10.1080/10920277.2013.875884

Recently the interest in the development of country and longevity risk models has been growing. The investigation of long-run equilibrium relationships could provide valuable information about the factors driving changes in mortality, in particular a... Read More about Detecting common longevity trends by a multiple population approach.