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Cointegration in fractional systems with deterministic trends

Robinson, Peter M.; Iacone, Fabrizio - 2004

Persistent link: https://www.econbiz.de/10002093996

Exchange-rate regimes

Orsi, Renzo; Iacone, Fabrizio - In: Eurozone enlargement : reshaping policies and social …, (pp. 31-50). 2003

Persistent link: https://www.econbiz.de/10001909888

Testing for a break in trend when the order of integration is unknown

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 176 (2013) 1, pp. 30-45

Persistent link: https://www.econbiz.de/10009764402

Cointegration in fractional systems with deterministic trends

Robinson, Peter M.; Iacone, Fabrizio - In: Journal of econometrics 129 (2005) 1/2, pp. 263-298

Persistent link: https://www.econbiz.de/10003172781

Revisiting inflation in the euro area allowing for long memory

Hualde, Javier; Iacone, Fabrizio - In: Economics letters 156 (2017), pp. 145-150

Persistent link: https://www.econbiz.de/10011822391

Testing for a change in mean under fractional integration

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of time series econometrics 9 (2017) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10011671125

Testing the predictive accuracy of COVID-19 forecasts

Coroneo, Laura; Iacone, Fabrizio; Paccagnini, Alessia; … - 2021

Persistent link: https://www.econbiz.de/10012586470

Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 35 (2019) 6, pp. 1201-1233

Persistent link: https://www.econbiz.de/10012149284

Testing the predictive accuracy of COVID-19 forecasts

Coroneo, Laura; Iacone, Fabrizio; Paccagnini, Alessia; … - 2020

Persistent link: https://www.econbiz.de/10012491888

Comparing Predictive Accuracy in Small Samples Using Fixed-Smoothing Asymptotics

Coroneo, Laura - 2018

We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations are available. We apply the fixed-smoothing...

Persistent link: https://www.econbiz.de/10012934974