Five articles of Professor Davide La Vecchia published in top-tier journals

Professor Davide La Vecchia’s FNS grant on Asymptotics for Cross-sectional and Time Series Data leads to the publication of five articles in leading journals

Carried out over a three-year period, Prof. Davide La Vecchia’s FNS sponsored project has just come to an end. Entitled “Accurate and Reliable Asymptotics for Pooled Cross-Sectional and Time Series Data”, the research project resulted in developing novel theory and methods (with special attention to real-data applications), which were presented in five articles published in top journals, namely the Journal of Econometrics, the Journal of the American Statistical Association and Biometrika:

• Saddlepoint approximations for short and long memory time series: A frequency domain approach, co-written with GSEM Prof. Elvezio Ronchetti was published in the Journal of Econometrics

• Semiparametric Segment M-estimation for Locally Stationary Diffusion, co-written with Pierre-Yves Deléamont (University of Neuchâtel) was published in Biometrika

• A simple R-estimation method for semiparametric duration models, co-written with Marc Hallin (Université libre de Bruxelles, Belgium) was published in the Journal of Econometrics

• Center-Outward R-Estimation for Semiparametric VARMA Models, co-written with Marc Hallin and Hang Liu (Lancaster University) was published in the Journal of the American Statistical Association

• Estimation of Nonparametric model for Bond Prices from Cross-section and Time series Information, co-written with Bonsoon Koo (Monash University) and Oliver Linton (University of Cambridge) was published in the Journal of Econometrics

Further papers are under revision and/or in preparation for submission. Moreover, the project unveiled new (and unexpected) research directions for inference on network data in the presence of latent variables. Ph.D. student Chaonan Jiang contributed fundamentally to this research and thanks to the grant she set up several international collaborations (e.g. by carrying out a visiting period at Monash University, Australia, in October 2019).

> For more information on the project, please consult the FNS webpage: http://p3.snf.ch/project-169559