Exploiting Infinite Variance through Dummy Variables in Nonstationary Autoregressions
Giuseppe Cavaliere, Iliyan Georgiev
Econometric Theory, vol. 29, 2013, p. 1162-1195.

Wild Bootstrap of the Sample Mean in the Infinite Variance Case
Giuseppe Cavaliere, Iliyan Georgiev, A M Robert Taylor
Econometric Reviews, vol. 32, 2013, p. 204-219.

Robust Inference in Autoregressions with Multiple Outliers
Giuseppe Cavaliere, Iliyan Georgiev
Econometric Theory, vol. 25, 2009, p. 1625-1661.

Regime-Switching Autoregressive Coefficients and the Asymptotics for Unit Root Tests
Giuseppe Cavaliere, Iliyan Georgiev
Econometric Theory, vol. 24, 2008, p. 1137-1148.

Testing for Unit Roots in Autoregressions with Multiple Level Shifts
Giuseppe Cavaliere, Iliyan Georgiev
Econometric Theory, vol. 23, 2007, p. 1162-1215.