Lorenzo Trapani

Contact

• workRoom B64 Sir Clive Granger building
  University Park
  Nottingham
  NG7 2RD
  UK
• work0115 95 15118
• Lorenzo.Trapani1@nottingham.ac.uk

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

• View all 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
• 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
• 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