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Details about Giorgio Calzolari

Homepage:http://www.disia.unifi.it/p-doc2-2013-200052-C-3f2a3d2d38292d-0.html
Postal address:Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" - Viale Morgagni 59 - 50134 Firenze - Italy
Workplace:Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (Department of Statistics), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)

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Short-id: pca337


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Working Papers

2015

  1. Indirect estimation and econometrics exams: how to live a round life
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads

2014

  1. Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
  2. Estimating Stable Factor Models By Indirect Inference
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads
  3. Improving GMM efficiency in dynamic models for panel data with mean stationarity
    Working Papers, University of Verona, Department of Economics Downloads
  4. Self-Selection and Direct Estimation of Across-Regime Correlation Parameter
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads

2013

  1. A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence
    Working Papers, University of Verona, Department of Economics Downloads View citations (3)

2012

  1. Econometric notes
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (2)
  2. Identification of linear panel data models when instruments are not available
    Working Papers, University of Verona, Department of Economics Downloads
  3. Indirect Estimation of α-Stable Garch Models
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads

2011

  1. Moment Conditions and Neglected Endogeneity in Panel Data Models
    Working Papers, University of Verona, Department of Economics Downloads View citations (2)

2010

  1. Negative variance estimates in panel data models
    Working Papers, University of Verona, Department of Economics Downloads
  2. The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads

2009

  1. Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood
    Working Papers, University of Verona, Department of Economics Downloads
    See also Journal Article in Empirical Economics (2012)
  2. Individual wage and reservation wage: efficient estimation of a simultaneous equation model with endogenous limited dependent variables
    MPRA Paper, University Library of Munich, Germany Downloads

2007

  1. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Econometrics (2008)

2006

  1. Indirect estimation of alpha-stable stochastic volatility models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2005

  1. Indirect estimation of Markov switching models with endogenous switching
    MPRA Paper, University Library of Munich, Germany Downloads

2004

  1. Indirect estimation of alpha-stable distributions and processes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)

2002

  1. Imputation of continuous variables missing at random using the method of simulated scores
    MPRA Paper, University Library of Munich, Germany Downloads

2001

  1. Alternative Simulation-Based Estimators of Logit Models with Random Effects
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (2)
  2. Simulation-based estimation of Tobit model with random effects
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2000

  1. CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (2)
  2. THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (2)
  3. The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)

1999

  1. Indirect Estimation of Just-Identified Models with Control Variates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (5)
  2. Variance reduction with Monte Carlo estimates of error rates in multivariate classification
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    Also in MPRA Paper, University Library of Munich, Germany (1998) Downloads

1998

  1. - CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (1996) Downloads View citations (3)

    See also Journal Article in Econometrics Journal (1998)

1997

  1. A tobit model with garch errors
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads
    See also Journal Article in Econometric Reviews (1998)

1995

  1. Analytic Derivatives and the Computation of Garch Estimates
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (1)
    See also Journal Article in Journal of Applied Econometrics (1996)

1994

  1. Conditional heteroskedasticity in nonlinear simultaneous equations
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

1993

  1. Alternative estimators of the covariance matrix in GARCH models
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Estimating variances and covariances in a censored regression model
    MPRA Paper, University Library of Munich, Germany Downloads

1992

  1. Stima delle equazioni simultanee non-lineari: una rassegna
    (Estimation of nonlinear simultaneous equations: a survey)
    MPRA Paper, University Library of Munich, Germany Downloads

1991

  1. Simulation of interest rate options using ARCH
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

1989

  1. Instrumental variables interpretations of FIML and nonlinear FIML
    MPRA Paper, University Library of Munich, Germany Downloads

1988

  1. A trade-off criterion for evaluating effectiveness and reliability of alternative policy actions
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Coherent Forecast with Nonlinear Econometric Models
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Il problema della coerenza delle previsioni nei modelli econometrici non lineari
    (The coherency problem when forecasting with nonlinear econometric models)
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Mode predictors in nonlinear systems with identities
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (1990)

1987

  1. Finite sample performance of the robust Wald test in simultaneous equation systems
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Forecast variance in simultaneous equation models: analytic and Monte Carlo methods
    MPRA Paper, University Library of Munich, Germany Downloads
  3. La varianza delle previsioni nei modelli econometrici
    (Forecast variance in econometric models)
    MPRA Paper, University Library of Munich, Germany Downloads
  4. The behavior of trust-region methods in FIML estimation
    MPRA Paper, University Library of Munich, Germany Downloads

1986

  1. Coherent optimal prediction with large nonlinear systems: an example based on a French model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  2. Forecasts and constraints on policy actions: the reliability of alternative instruments
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

1985

  1. Asymptotic properties of dynamic multipliers in nonlinear econometric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Effectiveness versus reliability of policy actions under government budget constraint: the case of France
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. Gradient methods in FIML estimation of econometric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

1984

  1. A Simulation Study on FIML Covariance Matrix
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS
    (Analysis and measurement of forecast uncertainty in an econometric model. Application to mini-DMS model)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
  3. Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

1983

  1. Analysis and measurement of the uncertainty in Mini-Dms model for the French economy
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Confidence intervals of forecasts from nonlinear econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Hessian and approximated Hessian matrices in maximum likelihood estimation: a Monte Carlo study
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  4. Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

1982

  1. Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
  2. Stime 2SLS con componenti principali di un modello non lineare dell' economia italiana
    (2SLS with principal components: estimation of a nonlinear model of the Italian economy)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Uncertainty of policy recommendations for nonlinear econometric models: some empirical results
    MPRA Paper, University Library of Munich, Germany Downloads

1981

  1. Alternative estimates of the Klein-I model
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

1980

  1. A simulation approach to some dynamic properties of econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Significance of the characteristic roots of linearized econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Simulation of a nonlinear econometric model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

1979

  1. A package for analytic simulation of econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Condensed version of the OECD foreign trade by commodities tapes
    MPRA Paper, University Library of Munich, Germany Downloads
  3. On the restricted reduced form of the Klein-I model: revised computations to complete "A note on the numerical results by Goldberger, Nagar and Odeh", Econometrica, 47 (1979)
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Some results on the stochastic simulation of a nonlinear model of the Italian economy
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  5. Stochastic simulation experiments on Model 5 of Bonn University
    MPRA Paper, University Library of Munich, Germany Downloads
  6. The asymptotic distribution of impact multipliers for a non-linear structural econometric model
    MPRA Paper, University Library of Munich, Germany Downloads
  7. The asymptotic distribution of power spectra in dynamic econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  8. The deterministic simulation bias in the Klein-Goldberger model
    MPRA Paper, University Library of Munich, Germany Downloads

1978

  1. A manageable support for the O.E.C.D. data on foreign trade by commodities
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana
    (The variance of forecast errors in econometric models: application to a nonlinear model of the Italian economy)
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Spectral analysis of stochastic and analytic simulation results for a nonlinear model for the Italian economy
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. Stochastic simulation and dynamic properties of the new version of the Italian model
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Stochastic simulation of econometric models: installation procedures and user's instructions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  6. Stochastic simulation: a package for Monte Carlo experiments on econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Ven der Giessen's reordering algorithm in the program for stochastic simulation of econometric models
    MPRA Paper, University Library of Munich, Germany Downloads

1977

  1. Stochastic simulation as a validation tool for econometric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

1976

  1. Analisi e simulazione stocastica di un modello aggregato dell'economia italiana 1952-1971
    (Analysis and stochastic simulation of a macro model of the Italian economy 1952-1971)
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
  3. Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  4. Monte Carlo methods in econometrics: a package for the stochastic simulation
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Simulation properties of alternative methods of estimation: an application to a model of the Italian economy
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Stochastic simulation of an aggregated model of the Italian economy: methodological and empirical aspects
    MPRA Paper, University Library of Munich, Germany Downloads
  7. User defined functions and operators
    MPRA Paper, University Library of Munich, Germany Downloads
  8. Utilizing a program loaded into the user program area to load another module in the same user program area
    MPRA Paper, University Library of Munich, Germany Downloads

1975

  1. Aggiornamento del modello al 1974 e nuove simulazioni
    (Updating the model and new simulations for 1974)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. DMS/2: un sistema per la soluzione e simulazione interattiva di modelli econometrici
    (DMS/2: a system for interactive solution and simulation of econometric models)
    MPRA Paper, University Library of Munich, Germany Downloads

1974

  1. Interactive management for time series
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (1974) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (1974) Downloads View citations (2)

1973

  1. IMTS: un linguaggio per la gestione dell'archivio delle serie storiche
    (IMTS: a programming language to manage the time series data base)
    MPRA Paper, University Library of Munich, Germany Downloads

Journal Articles

2014

  1. Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood
    Computational Statistics & Data Analysis, 2014, 76, (C), 158-171 Downloads View citations (2)

2012

  1. Autocorrelation and masked heterogeneity in panel data models estimated by maximum likelihood
    Empirical Economics, 2012, 43, (1), 145-152 Downloads View citations (3)
    See also Working Paper (2009)

2009

  1. Indirect estimation of [alpha]-stable stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2298-2308 Downloads View citations (6)
    See also Working Paper (2006)

2008

  1. Indirect Estimation of α-Stable Distributions and Processes
    Econometrics Journal, 2008, 11, (1), 193-208 Downloads View citations (9)
  2. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Journal of Econometrics, 2008, 146, (1), 10-25 Downloads View citations (12)
    See also Working Paper (2007)

2006

  1. Discontinuities in indirect estimation: An application to EAR models
    Computational Statistics & Data Analysis, 2006, 50, (8), 2124-2136 Downloads View citations (2)

2004

  1. Constrained Indirect Estimation
    Review of Economic Studies, 2004, 71, (4), 945-973 Downloads View citations (25)
  2. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 Downloads View citations (20)

2003

  1. Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations
    Journal of Business & Economic Statistics, 2003, 21, (4), 532-46 View citations (90)

2001

  1. Indirect inference and variance reduction using control variates
    Metron - International Journal of Statistics, 2001, LIX, (1-2), 39-53 Downloads View citations (1)

1998

  1. A tobit model with garch errors
    Econometric Reviews, 1998, 17, (1), 85-104 Downloads View citations (11)
    See also Working Paper (1997)
  2. Control variates for variance reduction in indirect inference: Interest rate models in continuous time
    Econometrics Journal, 1998, 1, (ConferenceIssue), C100-C112 View citations (8)
    See also Working Paper (1998)

1996

  1. Analytic Derivatives and the Computation of GARCH Estimates
    Journal of Applied Econometrics, 1996, 11, (4), 399-417 Downloads View citations (50)
    See also Working Paper (1995)

1993

  1. A Curious Result on Exact FIML and Instrumental Variables
    Econometric Theory, 1993, 9, (02), 296-309 Downloads View citations (6)
  2. Alternative covariance estimators of the standard Tobit model
    Economics Letters, 1993, 42, (1), 5-13 Downloads View citations (7)

1990

  1. Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models
    Journal of Applied Econometrics, 1990, 5, (2), 137-50 Downloads View citations (3)
  2. Mode predictors in nonlinear systems with identities
    International Journal of Forecasting, 1990, 6, (3), 317-326 Downloads View citations (1)
    See also Working Paper (1988)

1988

  1. Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y
    Econometrica, 1988, 56, (3), 701-14 Downloads View citations (11)

1987

  1. Computational efficiency of FIML estimation
    Journal of Econometrics, 1987, 36, (3), 299-310 Downloads View citations (10)
  2. Forecast Variance in Dynamic Simulation of Simultaneous Equation Models
    Econometrica, 1987, 55, (6), 1473-76 Downloads View citations (3)
  3. Measuring forecast uncertainty: A review with evaluation based on a macro model of the French economy
    International Journal of Forecasting, 1987, 3, (2), 211-227 Downloads View citations (4)

1986

  1. Control Variates to Estimate the Reduced Form Variances in Econometric Models
    Econometrica, 1986, 54, (6), 1483-90 Downloads View citations (6)

1983

  1. Asymptotic distribution of power spectra and peak frequencies in the stochastic response of econometric models
    Journal of Economic Dynamics and Control, 1983, 5, (1), 235-247 Downloads View citations (1)
  2. Asymptotic standard errors of point elasticities calculated from simultaneous equation systems
    Economics Letters, 1983, 11, (3), 237-244 Downloads

1981

  1. A Note on the Variance of Ex-Post Forecasts in Econometric Models
    Econometrica, 1981, 49, (6), 1593-95 Downloads View citations (13)
  2. Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models
    Journal of Econometrics, 1981, 16, (3), 277-294 Downloads View citations (10)

1980

  1. The One-Period Forecast Errors in Nonlinear Econometric Models
    International Economic Review, 1980, 21, (1), 201-08 Downloads View citations (22)

1979

  1. A Monte Carlo approach to compute the asymptotic standard errors of dynamic multipliers
    Economics Letters, 1979, 2, (2), 161-164 Downloads View citations (3)
  2. A Note on the Numerical Results by Goldberger, Nagar, and Odeh
    Econometrica, 1979, 47, (2), 505-06 Downloads View citations (10)
  3. Antithetic variates to estimate the simulation bias in non-linear models
    Economics Letters, 1979, 4, (4), 323-328 Downloads View citations (18)
  4. On the stability of the Klein-I model
    Economics Letters, 1979, 4, (1), 33-35 Downloads View citations (1)

1978

  1. A Program for Stochastic Simulation of Econometric Models
    Econometrica, 1978, 46, (1), 235-36 Downloads View citations (21)
 
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