School of Economics
 

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Lorenzo Trapani

Professor of Economics, Faculty of Social Sciences

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Biography

I am currently Professor of Econometrics at the School of Economics at the University of Nottingham, which I joined in 2017. Prior to that, I spent my career (being Lecturer, Senior Lecturer, Reader and subsequently Professor of Financial Econometrics) at Cass Business School.

Research Summary

I work in the fields of econometric theory and statistics. Over the years, I have touched upon the following areas (listed in no particular order):

  • large factor models;
  • randomised tests;
  • the change point problem;
  • panel data;
  • cointegration and aggregation;
  • the random coefficient autoregressive model;
  • predicting mortality rates.

Recent Publications

  • CHIHWA KAO, LORENZO TRAPANI and GIOVANNI URGA, 2018. Testing for Instability in Covariance Structures Bernoulli. 24(1), 740-771
  • LORENZO TRAPANI, 2017. A Randomised Sequential Procedure to Determine the Number of Factors Journal of the American Statistical Association. (In Press.)
  • VALERIA D'AMATO, STEVE HABERMAN, GABRIELLA PISCOPO, MARIA RUSSOLILLO and LORENZO TRAPANI, 2016. Multiple Mortality Modelling in Poisson Lee Carter Framework Communications in Statistics – Theory and Methods. 45(6), 1723-1732
  • LAJOS HORVATH and LORENZO TRAPANI, 2016. Statistical Inference in a Random Coefficient Panel Model Journal of Econometrics. 193(1), 54-75
  • CHIHWA KAO, LORENZO TRAPANI and GIOVANNI URGA, 2018. Testing for Instability in Covariance Structures Bernoulli. 24(1), 740-771
  • LORENZO TRAPANI, 2017. A Randomised Sequential Procedure to Determine the Number of Factors Journal of the American Statistical Association. (In Press.)
  • VALERIA D'AMATO, STEVE HABERMAN, GABRIELLA PISCOPO, MARIA RUSSOLILLO and LORENZO TRAPANI, 2016. Multiple Mortality Modelling in Poisson Lee Carter Framework Communications in Statistics – Theory and Methods. 45(6), 1723-1732
  • LAJOS HORVATH and LORENZO TRAPANI, 2016. Statistical Inference in a Random Coefficient Panel Model Journal of Econometrics. 193(1), 54-75
  • LORENZO TRAPANI, 2016. Testing for (In)Finite Moments Journal of Econometrics. 191, 57-68
  • CAROLINA CASTAGNETTI, EDUARDO ROSSI and LORENZO TRAPANI, 2015. Testing for no Factor Structures: on the Use of Average-type and Hausman-type Statistics Economics Letters. 130, 66-68
  • LORENZO TRAPANI, 2015. Testing for Exogeneity in Cointegrated Panels Oxford Bulletin of Economics and Statistics. 77, 475-494.
  • CAROLINA CASTAGNETTI, EDUARDO ROSSI and LORENZO TRAPANI, 2015. Inference on Factor Structures in Heterogeneous Panels Journal of Econometrics. 184(1), 145-157
  • C CASTAGNETTI, E ROSSI and L TRAPANI, 2015. Testing for no factor structures: On the use of Hausman-type statistics Economics Letters. 130, 66-68
  • LORENZO TRAPANI, 2014. Chover-type Laws of the k-Iterated Logarithm for Weighted Sums of Strongly Mixing Sequences Journal of Mathematical Analysis and Applications. 420(2), 908-916
  • LORENZO TRAPANI, 2014. Comments on: Extensions of Some Classical Methods in Change Point Analysis TEST. 23(2), 283-286
  • VALERIA D'AMATO, STEVE HABERMAN, GABRIELLA PISCOPO, MARIA RUSSOLILLO and LORENZO TRAPANI, 2014. Detecting Common Longevity Trends by a Multiple Population Approach North American Actuarial Journal. 18(1), 139-149
  • EKATERINA IPATOVA and LORENZO TRAPANI, 2013. First-Differenced Inference for Panel Factor Series Economics Letters. 118(2), 364-366
  • CIARAN DRIVER, LORENZO TRAPANI and GIOVANNI URGA, 2013. Cross Section versus Time Series Measures of Uncertainty International Journal of Forecasting. 29(3), 367-377
  • LORENZO TRAPANI, 2013. On Bootstrapping Panel Factor Series Journal of Econometrics. 172(1), 127-141
  • LORENZO TRAPANI, 2012. On the Asymptotic t-test for Large Nonstationary Panel Models Computational Statistics and Data Analysis. 56, 3286-3306
  • CHIHWA KAO, LORENZO TRAPANI and GIOVANNI URGA, 2012. Asymptotics for Panel Models with Common Shocks Econometrics Reviews. 31(4), 390-439
  • LORENZO TRAPANI and GIOVANNI URGA, 2010. Micro versus Macro Cointegration in Heterogeneous Panels Journal of Econometrics. 155, 1-18
  • LORENZO TRAPANI and GIOVANNI URGA, 2009. Optimal Forecasting with Heterogeneous Panels: a Monte Carlo Study International Journal of Forecasting. 25, 567-586
  • STEPANA LAZAROVA, LORENZO TRAPANI and GIOVANNI URGA, 2007. Common Stochastic Trends and Aggregation in Heterogeneous Panels Econometric Theory. 23(1), 89-106

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