← All authors Lorenzo Trapani University of Leicester (from arXiv:2507.17599, 2025) · ORCID · OpenAlex
49 papers in scope · 43 published · 11 on the econ.EM arXiv · 545 citations · h-index 14 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Shixuan Wang Fabrizio Ghezzi Eduardo Rossi Alessandro Casini Lajos Horváth Pierre Perrón Glenn D. Rudebusch Anton Skrobotov Francis X. Diebold Taosong Deng B. Cooper Boniece Maximilian Göbel Eiji Kurozumi Rustam Ibragimov Boyuan Zhang Maximilian Goebel Leopoldo Catania Federico Belotti Ji-Hyun Kim Philippe Goulet Coulombe Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (10 of 49)
Inference on breaks in weak location time series models with the estimating function approach
published 2026 · Journal of Econometrics
High Dimensional Threshold Factor Models with Common Stochastic Trends
published 2026 · Journal of Business and Economic Statistics
Statistical inference for large-dimensional tensor factor model by iterative projections
published 2026 · Journal of Multivariate Analysis · 5 citations · first circulated 2022
A dynamic state-space HAR model
published 2025 · Journal of Econometrics
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models
published 2025 · Journal of Time Series Analysis · 1 citations · first circulated 2024
Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules
published 2025 · Journal of Econometrics · 1 citations
working paper 2025 · arXiv
published 2025 · Journal of Econometrics · 3 citations · first circulated 2023
published 2025 · Econometric Theory · 1 citations · first circulated 2023
Sequential Monitoring for Changes in GARCH(1,1) Models Without Assuming Stationarity
published 2025 · Journal of Time Series Analysis · 2 citations
On the Detection of Structural Breaks: The Case of the Covid Shock
published 2024 · Journal of Forecasting · 7 citations
Online change-point detection for matrix-valued time series with latent two-way factor structure
published 2024 · The Annals of Statistics · 11 citations · first circulated 2021
The maximally selected likelihood ratio test in random coefficient models
published 2024 · Econometrics Journal · 5 citations
working paper 2024 · arXiv
working paper 2024 · arXiv · 1 citations
L p -functionals for change point detection in random coefficient autoregressive models
published 2023 · Statistics & Probability Letters · 3 citations
One-way or two-way factor model for matrix sequences?
published 2023 · Journal of Econometrics · 29 citations · first circulated 2021
Superkurtosis
published 2022 · Journal of money credit and banking · 11 citations
with Stavros Degiannakis, George Filis, Grigorios Siourounis, Gregorios Siourounis
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
published 2022 · Journal of the American Statistical Association · 13 citations
published 2022 · Journal of Business and Economic Statistics · 13 citations · first circulated 2021
published 2021 · European Economic Review · 9 citations · first circulated 2019
working paper 2021 · arXiv
A test for strict stationarity in a random coefficient autoregressive model of order 1
published 2021 · Statistics & Probability Letters · 5 citations
Testing for Common Trends in Nonstationary Large Datasets
published 2021 · Journal of Business and Economic Statistics · 20 citations
Testing for strict stationarity in a random coefficient autoregressive model
published 2020 · Econometric Reviews · 1 citations · first circulated 2019
Inferential theory for heterogeneity and cointegration in large panels
published 2020 · Journal of Econometrics · 6 citations
working paper 2020 · arXiv
Sequential testing for structural stability in approximate factor models
published 2020 · Stochastic Processes and their Applications · 17 citations · first circulated 2017
Testing for randomness in a random coefficient autoregression model
published 2019 · Journal of Econometrics · 39 citations · first circulated 2018
working paper 2018 · arXiv · 2 citations
A two-stage estimator for heterogeneous panel models with common factors
published 2017 · Econometrics and Statistics · 16 citations · first circulated 2014
Testing for instability in covariance structures
published 2017 · Bernoulli · 28 citations · first circulated 2012
A Randomized Sequential Procedure to Determine the Number of Factors
published 2017 · Journal of the American Statistical Association · 78 citations
Statistical inference in a random coefficient panel model
published 2016 · Journal of Econometrics · 27 citations
Testing for (in)finite moments
published 2015 · Journal of Econometrics · 36 citations
Testing for no factor structures: On the use of Hausman-type statistics
published 2015 · Economics Letters · 8 citations · first circulated 2014
Inference on factor structures in heterogeneous panels
published 2014 · Journal of Econometrics · 24 citations
Testing for Exogeneity in Cointegrated Panels
published 2014 · Oxford Bulletin of Economics and Statistics · 6 citations
Comments on: Extensions of some classical methods in change point analysis
published 2014 · Test
Detecting Common Longevity Trends by a Multiple Population Approach
published 2014 · North American Actuarial Journal · 26 citations
with Valeria D’Amato, Steven Haberman, Gabriella Piscopo, Maria Russolillo
On the use of cross-sectional measures of forecast uncertainty
published 2013 · International Journal of Forecasting · 3 citations
First-differenced inference for panel factor series
published 2012 · Economics Letters
with Ekaterina Ipatova
On bootstrapping panel factor series
published 2012 · Journal of Econometrics · 14 citations
Asymptotics for Panel Models with Common Shocks
published 2012 · Econometric Reviews · 24 citations · first circulated 2006
On the asymptotic -test for large nonstationary panel models
published 2011 · Computational Statistics & Data Analysis · 4 citations
Micro versus macro cointegration in heterogeneous panels
published 2009 · Journal of Econometrics · 10 citations · first circulated 2007
Optimal forecasting with heterogeneous panels: A Monte Carlo study
published 2009 · International Journal of Forecasting · 30 citations · first circulated 2006
COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS
published 2006 · Econometric Theory · 4 citations
Cointegration versus Spurious Regression in Heterogeneous Panels
published 2004 · Econometric Society 2004 North American Summer Meetings · 2 citations
no link
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).