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Details about Paolo Paruolo

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Homepage:https://sites.google.com/site/paoloparuolo/
Workplace:Joint Research Centre, European Commission, (more information at EDIRC)

Access statistics for papers by Paolo Paruolo.

Last updated 2016-11-05. Update your information in the RePEc Author Service.

Short-id: ppa332


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Working Papers

2014

  1. Inverting a matrix function around a singularity via local rank factorization
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads
  2. Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2012

  1. Do Emissions and Income Have a Common Trend? A Country-Specific, Time-Series, Global Analysis, 1970-2008
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Economics and Quantitative Methods, Department of Economics, University of Insubria (2011) Downloads
  2. On ABCs (and Ds) of VAR representations of DSGE models
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads View citations (1)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads View citations (1)

2011

  1. Normal forms of regular matrix polynomials via local rank factorization
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads

2010

  1. Identification of cointegrating relations in I(2) vector autoregressive models
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
  2. Wages and prices in Europe before and after the onset of the Monetary Union
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
    See also Journal Article in Economic Modelling (2013)

2009

  1. Do fiscal variables affect fiscal expectations? Experiments with real world and lab data
    Post-Print, HAL Downloads View citations (2)
    Also in CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm (2006) Downloads View citations (2)
    Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim (2004) Downloads View citations (5)
    Papers, Sonderforschungsbreich 504 (2004) Downloads View citations (2)

    See also Journal Article in Journal of Economic Behavior & Organization (2009)
  2. Structured Multivariate Volatility Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" Downloads View citations (16)

2008

  1. On efficient simulation in dynamic models
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)

2007

  1. Location of value added activities in hi-tech industries. The case of pharma-biotech firms in Italy
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)
  2. Speed of Adjustment in Cointegrated Systems
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Econometrics (2010)

2006

  1. Exchange rates, prices and their speed of adjustment
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
  2. Finite sample comparison of alternative tests on the rank of a cointegration submatrix
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)

2005

  1. Design of vector autoregressive processes for invariant statistics
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
  2. Multivariate ARCH with spatial effects for stock sector and size
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
  3. Spatial effects in multivariate ARCH
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (2)

2004

  1. Automated Inference and the Future of Econometrics: A comment
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
    See also Journal Article in Econometric Theory (2005)
  2. Common trends and cycles in I(2) VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
    Also in Economics and Quantitative Methods, Department of Economics, University of Insubria (2003) Downloads

    See also Journal Article in Journal of Econometrics (2006)
  3. The likelihood ratio test for the rank of a cointegration submatrix
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2003

  1. Common dynamics in I(1) VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (15)
  2. Expectations and Perceived Causality in Fiscal Policy: An Experimental Analysis Using Real World Data
    Papers, Sonderforschungsbreich 504 Downloads View citations (1)
    Also in Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim (2003) Downloads View citations (1)
    Economics and Quantitative Methods, Department of Economics, University of Insubria (2003) Downloads View citations (1)

2002

  1. Common features and common I(2) trends in VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (3)
  2. Impact factors
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2005)
  3. On the determinants of inflation in Italy: evidence of cost-push effects before the European Monetary Union
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)
  4. Testing for common trends in conditional I(2) VAR models
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (3)

2001

  1. Determining the number of cointegrating relations under rank constraints
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)

1997

  1. Nota sulla distribuzione di una base di norma unitaria del complemento ortogonale di un vettore gaussiano: il caso bidimensionale
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

1994

  1. The Marginal Density of Bivariate Cointegration Estimators
    Discussion Papers, Exeter University, Department of Economics View citations (1)

1993

  1. Analisi di multicointegrazione in sistemi VAR: alcune prospettive
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

1992

  1. A reduced rank regression approach to tests of asset pricing
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1997)
  2. Sulle fonti delle fluttuazioni dell'economia italiana: una analisi con sistemi VAR strutturali
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (1)

1991

  1. Alla ricerca di fatti stilizzati dell'economia italiana: un sistema Var strutturale
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads

Undated

  1. Asymptotic standard errors for common trends linear combinations in I(2) VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria
  2. LR cointegration tests when some cointegrating relations are known
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (6)
  3. On Monte Carlo Estimation of Relative Power
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)
    See also Journal Article in Econometrics Journal (2002)
  4. The power of lambda max
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2001)

Journal Articles

2015

  1. Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation
    Computational Economics, 2015, 46, (4), 613-626 Downloads View citations (4)
  2. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 Downloads View citations (5)

2013

  1. Ratings and rankings: voodoo or science?
    Journal of the Royal Statistical Society Series A, 2013, 176, (3), 609-634 Downloads View citations (18)
  2. Wages and prices in Europe before and after the onset of the Monetary Union
    Economic Modelling, 2013, 35, (C), 643-653 Downloads
    See also Working Paper (2010)

2011

  1. A characterization of vector autoregressive processes with common cyclical features
    Journal of Econometrics, 2011, 163, (1), 105-117 Downloads View citations (8)

2010

  1. Speed of adjustment in cointegrated systems
    Journal of Econometrics, 2010, 158, (1), 130-141 Downloads View citations (10)
    See also Working Paper (2007)

2009

  1. Do fiscal variables affect fiscal expectations? Experiments with real world and lab data
    Journal of Economic Behavior & Organization, 2009, 70, (1-2), 253-265 Downloads View citations (4)
    See also Working Paper (2009)
  2. Tests for cointegration rank and choice of the alternative
    Statistical Methods & Applications, 2009, 18, (2), 169-191 Downloads

2006

  1. Common trends and cycles in I(2) VAR systems
    Journal of Econometrics, 2006, 132, (1), 143-168 Downloads View citations (4)
    See also Working Paper (2004)
  2. The Likelihood Ratio Test for the Rank of a Cointegration Submatrix
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 921-948 Downloads View citations (8)
    See also Working Paper (2004)

2005

  1. AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT
    Econometric Theory, 2005, 21, (01), 78-84 Downloads View citations (2)
    See also Working Paper (2004)
  2. Impact factors
    Journal of Econometrics, 2005, 128, (1), 31-68 Downloads View citations (9)
    See also Working Paper (2002)
  3. Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes Solution
    Econometric Theory, 2005, 21, (03), 665-666 Downloads View citations (1)

2004

  1. 04.3.1 An I(2) Model for VAR(1) Processes
    Econometric Theory, 2004, 20, (03), 639-640 Downloads View citations (1)
  2. NOTES AND PROBLEMS: A new format for the PROBLEMS AND SOLUTIONS SERIES
    Econometric Theory, 2004, 20, (04), 643-644 Downloads

2002

  1. ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
    Econometric Theory, 2002, 18, (03), 673-690 Downloads View citations (22)
    Also in Econometric Theory, 1997, 13, (01), 79-118 (1997) Downloads View citations (24)
  2. On Monte Carlo estimation of relative power
    Econometrics Journal, 2002, 5, (1), 65-75 Downloads View citations (2)
    See also Working Paper
  3. Simple Robust Testing of Regression Hypotheses: A Comment
    Econometrica, 2002, 70, (5), 2097-2099 Downloads View citations (1)

2001

  1. The Power of Lambda Max
    Oxford Bulletin of Economics and Statistics, 2001, 63, (3), 395-403 Downloads View citations (9)
    See also Working Paper

2000

  1. ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
    Econometric Theory, 2000, 16, (04), 524-550 Downloads View citations (22)

1999

  1. Weak exogeneity in I(2) VAR systems
    Journal of Econometrics, 1999, 93, (2), 281-308 Downloads View citations (25)

1998

  1. Tests of integration in circular autoregressive models
    Statistical Methods & Applications, 1998, 7, (3), 297-306 Downloads

1997

  1. A Reduced Rank Regression Approach to Tests of Asset Pricing
    Oxford Bulletin of Economics and Statistics, 1997, 59, (1), 163-81 View citations (2)
    See also Working Paper (1992)
  2. Erratum to: The role of the drift in I(2) systems
    Statistical Methods & Applications, 1997, 6, (1), 93-95 Downloads
  3. Standard Errors for the Long-Run Variance Matrix
    Econometric Theory, 1997, 13, (02), 305-306 Downloads View citations (5)
  4. Two Mixed Normal Densities from Cointegration Analysis
    Econometrica, 1997, 65, (3), 671-680 View citations (4)

1996

  1. On the determination of integration indices in I(2) systems
    Journal of Econometrics, 1996, 72, (1-2), 313-356 Downloads View citations (67)

1995

  1. Errata
    Econometric Theory, 1995, 11, (02), 402-402 Downloads

1994

  1. Deriving Restricted Least Squares without a Lagrangean
    Econometric Theory, 1994, 10, (02), 443-448 Downloads
  2. The Distribution of the Orthogonal Complement of a Regression Coefficient Matrix
    Econometric Theory, 1994, 10, (02), 449-449 Downloads
    Also in Econometric Theory, 1993, 9, (02), 314-314 (1993) Downloads
  3. The role of the drift in I(2) systems
    Statistical Methods & Applications, 1994, 3, (1), 93-123 Downloads View citations (3)

1993

  1. Deriving Restricted Least Squares Estimator without a Lagrangean
    Econometric Theory, 1993, 9, (02), 313-314 Downloads
 
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