Publications

by members of

Dipartimento di Scienze Statistiche "Paolo Fortunati"
Alma Mater Studiorum - Università di Bologna
Bologna, Italy

(Department of Statistics, University of Bologna))

Working papers

2008

1. Fanelli, Luca, 2008. "Evaluating the New Keynesian Phillips Curve under VAR-Based Learning," Economics Discussion Papers 2008-15, Kiel Institute for the World Economy. [Downloadable!]

2007

1. Fanelli, Luca, 2007. "Evaluating the New Keynesian Phillips Curve under VAR-based learning," MPRA Paper 1616, University Library of Munich, Germany. [Downloadable!]
2. Giulio PALOMBA & Luca FANELLI, 2007. "Simulation-Based Tests of;Forward-Looking Models Under VAR Learning Dynamics," Working Papers 298, Universita' Politecnica delle Marche (I), Dipartimento di Economia. [Downloadable!]
3. Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany. [Downloadable!]
4. Elena Giarda, 2007. "The Worsening of Wage Expectations in Italy: a Study Based on Administrative data," LABORatorio R. Revelli Working Papers Series 57, LABORatorio R. Revelli, Centre for Employment Studies. [Downloadable!]

2006

1. Fanelli Luca & Paruolo Paolo, 2006. "Exchange rates, prices and their speed of adjustment," Economics and Quantitative Methods qf0606, Department of Economics, University of Insubria. [Downloadable!]
2. Fanelli, Luca, 2006. "Present value relations, Granger non-causality and VAR stability," MPRA Paper 1642, University Library of Munich, Germany. [Downloadable!]
3. Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2006. "Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
4. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006. "International dynamic risk sharing," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
5. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
6. Giuseppe Cavaliere & Iliyan Georgiev, 2006. "Testing for unit roots in autoregressions with multiple level shifts," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]

2005

1. Sergio Brasini & Marzia Freo & Giorgio Tassinari, 2005. "The effects of marketing activities on fast moving consumer good purchases: the case of yoghurt Italian market," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
2. Fanelli, Luca, 2005. "Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area," MPRA Paper 1617, University Library of Munich, Germany, revised Jan 2007. [Downloadable!]
3. Giuseppe Cavaliere and A M Robert Taylor, 2005. "Testing the Null of Co-integration in the Presence of Variance Breaks," Discussion Papers 05-10, Department of Economics, University of Birmingham.

2004

1. L. Fanelli & M. Mazzocchi, 2004. "Back to the future? Habits and rational addiction in UK tobacco and alcohol demand," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
2. Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio, 2004. "Consumption risk sharing and adjustment costs," MPRA Paper 1641, University Library of Munich, Germany, revised Nov 2006. [Downloadable!]

2003

1. Costa, Michele, 2003. "A comparison between unidimensional and multidimensional approaches to the measurement of poverty," IRISS Working Paper Series 2003-02, IRISS at CEPS/INSTEAD. [Downloadable!]

2002

1. Pinuccia Calia & Carlo Filippucci & Marzia Freo & Giorgio Tassinari, 2002. "Indagine sulle matricole dell'Ateneo di Bologna nell'anno accademico 2001-2002," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
2. Silvia Casadio & Alessandra Luati & Giorgio Tassinari, 2002. "Intervention analysis to assess advertising effectiveness on brand awareness," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
3. Costa, Michele, 2002. "A multidimensional approach to the measurement of poverty," IRISS Working Paper Series 2002-05, IRISS at CEPS/INSTEAD. [Downloadable!]
4. Bertocco Giancarlo & Fanelli Luca & Paruolo Paolo, 2002. "On the determinants of inflation in Italy: evidence of cost-push effects before the European Monetary Union," Economics and Quantitative Methods qf0223, Department of Economics, University of Insubria. [Downloadable!]
5. G. Capuano & Luca Fanelli & Guido Pellegrini, 2002. "Incentivi o infrastrutture? Un'analisi dell'impatto delle politiche territoriali sull'economie delle regioni meridionali tramite un approccio VAR strutturale," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.

2001

1. Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria. [Downloadable!]

2000

1. Giuseppe Cavaliere, 2000. "A Rescaled Range Statistics Approach to Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 0318, Econometric Society. [Downloadable!]

1999

1. Roberto Fanfani & Mario Mazzocchi, 1999. "I metodi statistici per l'analisi dei sistemi agricoli territoriali," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]

1997

1. Giorgio Tassinari & Franco Tassinari, 1997. "La strada per Maastricht: i percorsi degli stati nazionali 1980-1996)," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]

1992

1. Giorgio Tassinari & Alessandro Viviani, 1992. "I consumi delle famiglie italiane: un'analisi mediante sistemi di funzioni di Engel. Working Paper," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
2. Susanna Mantegazza & Giorgio Tassinari, 1992. "La coerenza delle valutazioni dei consumi privati nella contabilita nazionale e nell'indagine sui bilanci delle famiglie," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
3. Michele Costa & Attilio Gardini & Paolo Paruolo, 1992. "A reduced rank regression approach to tests of asset pricing," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
4. Michele Costa, 1992. "Analisi fattoriale e criteri di informazione: una simulazione nell'ambito di applicazioni finanziarie," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
5. Michele Costa, 1992. "The determination of the number of factors in a factor model," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]
6. Maurizio Brizzi, 1992. "Misure di variabilità, concentrazione e dissomiglianza come sintesi di rapporti," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna. [Downloadable!]

Undated

1. Luca Fanelli, . "Estimating Multi-Equational LQAC Models with I(1) Variables: a VAR Approach," Economics Working Papers 1997-7, School of Economics and Management, University of Aarhus. [Downloadable!]

Journal articles

2008

1. Mario Mazzocchi & Alexandra Lobb & W. Bruce Traill & Alessio Cavicchi, 2008. "Food Scares and Trust: A European Study," Journal of Agricultural Economics, Blackwell Publishing, vol. 59(1), pages 2-24, 02. [Downloadable!] (restricted)
2. Luca Fanelli, 2008. "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(1), pages 53-66, 02. [Downloadable!] (restricted)
3. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2008. "International dynamic risk sharing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 1-16. [Downloadable!]
4. Giuseppe Cavaliere & A. M. Robert Taylor, 2008. "Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(2), pages 300-330, 03. [Downloadable!] (restricted)

2007

1. Fanelli, Luca, 2007. "Present Value Relations, Granger Noncausality, And Var Stability," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1254-1260, September. [Downloadable!]
2. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October. [Downloadable!] (restricted)
3. Cavaliere, Giuseppe & Georgiev, Iliyan, 2007. "Testing For Unit Roots In Autoregressions With Multiple Level Shifts," Econometric Theory, Cambridge University Press, vol. 23(06), pages 1162-1215, September. [Downloadable!]
4. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Bootstrap Unit Root Tests For Time Series With Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 24(01), pages 43-71, September. [Downloadable!]
5. Attilio Gardini & Alessandro Magi, 2007. "Stock Market Participation: New Empirical Evidence from Italian Households'Behavior," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 66(1), pages 93-114, March.

2006

1. Dagum, Estela Bee & Giannerini, Simone, 2006. "A critical investigation on detrending procedures for non-linear processes," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 175-191, March. [Downloadable!] (restricted)
2. Mario Mazzocchi & Davide Delle Monache & Alexandra E. Lobb, 2006. "A structural time series approach to modelling multiple and resurgent meat scares in Italy," Applied Economics, Taylor and Francis Journals, vol. 38(14), pages 1677-1688, August. [Downloadable!] (restricted)
3. Mario Mazzocchi, 2006. "No News Is Good News: Stochastic Parameters versus Media Coverage Indices in Demand Models after Food Scares," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 88(3), pages 727-741, 08. [Downloadable!] (restricted)
4. Mazzocchi, Mario, 2006. "Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2191-2205, May. [Downloadable!] (restricted)
5. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March. [Downloadable!] (restricted)
6. Luca Fanelli, 2006. "Dynamic adjustment cost models with forward-looking behaviour," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 23-47, 03. [Downloadable!] (restricted)
7. Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542. [Downloadable!] (restricted)
8. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing the Null of Co-integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(4), pages 613-636, 07. [Downloadable!] (restricted)
9. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December. [Downloadable!] (restricted)

2005

1. Alessandra Luati & Giorgio Tassinari, 2005. "Intervention analysis to identify significant exposures in pulsing advertising campaigns: an operative procedure," Computational Management Science, Springer, vol. 4(4), pages 295-308, November. [Downloadable!] (restricted)
2. Luca Fanelli & Emanuele Bacchiocchi, 2005. "Testing the purchasing power parity through I(2) cointegration techniques," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 749-770. [Downloadable!]
3. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor and Francis Journals, vol. 37(20), pages 2335-2347, November. [Downloadable!] (restricted)
4. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1112-1129, September. [Downloadable!]
5. Cavaliere, Giuseppe, 2005. "Limited Time Series With A Unit Root," Econometric Theory, Cambridge University Press, vol. 21(05), pages 907-945, August. [Downloadable!]

2004

1. Simone Giannerini & Rodolfo Rosa, 2004. "Assessing Chaos in Time Series: Statistical Aspects and Perspectives," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1215-1215. [Downloadable!] (restricted)
2. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March. [Downloadable!] (restricted)
3. Cavaliere, Giuseppe, 2004. "03.3.2. The Asymptotic Distribution of the Dickey Solution," Econometric Theory, Cambridge University Press, vol. 20(04), pages 808-810, August. [Downloadable!]

2003

1. Michele Costa, 2003. "The factor structure of financial markets: a simulation study of the Italian case," Applied Economics Letters, Taylor and Francis Journals, vol. 10(2), pages 83-86, February. [Downloadable!] (restricted)
2. Mario Mazzocchi, 2003. "Time-varying coefficients in the Almost Ideal Demand System: an empirical appraisal," European Review of Agricultural Economics, Oxford University Press for the Foundation for the European Review of Agricultural Economics, vol. 30(2), pages 241-270, June.
3. Giuseppe Cavaliere, 2003. "Asymptotics for unit root tests under Markov regime-switching," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 193-216, 06. [Downloadable!] (restricted)
4. Cavaliere, Giuseppe, 2003. "03.4.2. The Asymptotic Distribution of the Dickey Fuller Statistic under Nonnegativity Constraint," Econometric Theory, Cambridge University Press, vol. 19(04), pages 691-692, August. [Downloadable!]

2002

1. Henson, Spencer & Mazzocchi, Mario, 2002. " Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 84(2), pages 370-86, May. [Downloadable!] (restricted)
2. Fanelli, L & Mazzocchi, M, 2002. "A Cointegrated VECM Demand System for Meat in Italy," Applied Economics, Taylor and Francis Journals, vol. 34(13), pages 1593-1605, September. [Downloadable!] (restricted)
3. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January. [Downloadable!] (restricted)

2001

1. Giuseppe Cavaliere, 2001. "Testing the unit root hypothesis using generalized range statistics," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 39.

1999

1. Cavaliere, Guiseppe & Costa, Michele, 1999. "Firm Size and the Italian Stock Exchange," Applied Economics Letters, Taylor and Francis Journals, vol. 6(11), pages 729-34, November. [Downloadable!] (restricted)

1997

1. Costa, Michele & Gardini, Attilio & Paruolo, Paolo, 1997. "A Reduced Rank Regression Approach to Tests of Asset Pricing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(1), pages 163-81, February.

This page was last updated on 2008-9-1.