Details about Mauro Costantini

Access statistics for papers by Mauro Costantini.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pco190

Working Papers

2018

1. On Using Predictive-ability Tests in the Selection of Time-series Prediction Models: A Monte Carlo Evaluation
   Economics Series, Institute for Advanced Studies
   See also Journal Article On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation, International Journal of Forecasting, Elsevier (2021) (2021)
2. Uncertainty and spillover effects across the Euro area
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (4)

2016

3. Common trends in the US state-level crime.What do panel data say?
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2014

4. Can Macroeconomists Get Rich Forecasting Exchange Rates?
   Economics Series, Institute for Advanced Studies View citations (5)
   Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2014) View citations (2)
   Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2014) View citations (3)
5. Forecast combinations in a DSGE-VAR lab
   Economics Series, Institute for Advanced Studies
   See also Journal Article Forecast Combinations in a DSGE‐VAR Lab, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (4) (2017)
6. Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?
   Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (4)

2013

7. Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective
   Working Papers, Department of Economics, City University London View citations (7)
   See also Journal Article Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective, European Economic Review, Elsevier (2014) View citations (70) (2014)

2012

8. A copula-based analysis of false discovery rate control under dependence assumptions
   Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (2)
9. Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System
   Economics Series, Institute for Advanced Studies
10. Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in CESifo Working Paper Series, CESifo (2012)
    See also Journal Article Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (5) (2013)

2011

11. A Simple Panel-CADF Test for Unit Roots
    Economics Series, Institute for Advanced Studies View citations (3)
    Also in Economics & Statistics Discussion Papers, University of Molise, Department of Economics (2011) View citations (1)
    See also Journal Article A Simple Panel-CADF Test for Unit Roots, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (25) (2013)
12. FDR Control in the Presence of an Unknown Correlation Structure
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
13. On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models
    Economics Series, Institute for Advanced Studies View citations (8)

2010

14. Financial Restraints and Private Investment: Evidence from a Nonstationary Panel*
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Journal Article FINANCIAL RESTRAINTS AND PRIVATE INVESTMENT: EVIDENCE FROM A NONSTATIONARY PANEL, Economic Inquiry, Western Economic Association International (2013) View citations (12) (2013)
15. Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System
    Economics Series, Institute for Advanced Studies

2009

16. A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics
17. A Hierarchical Procedure for the Combination of Forecasts; This is a revised version of Working Paper 228, Economics Series, October 2008, which includes some changes. The most important change regards the reference of Kisinbay (2007), which was not reported in the previous version. The hierarchical procedure proposed in the paper is based on the approach of Kisinbay (2007), but some modifications of that approach are provided
    Economics Series, Institute for Advanced Studies
18. Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System
    Economics Series, Institute for Advanced Studies View citations (1)
    See also Journal Article Combining forecasts based on multiple encompassing tests in a macroeconomic core system, Journal of Forecasting, John Wiley & Sons, Ltd. (2011) View citations (18) (2011)
19. Do "Clean Hands" Ensure Healthy Growth? Theory and Practice in the Battle Against Corruption
    Economics Series, Institute for Advanced Studies View citations (5)
20. New panel tests to assess inflation persistence
    Working Papers, Macerata University, Department of Finance and Economic Sciences View citations (1)
21. Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production
    Working Papers in Economics, University of Gothenburg, Department of Economics

2008

22. Change in persistence tests for panels: An update and some new results
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics
23. Combination of Forecast Methods Using Encompassing Tests. An Algorithm-Based Procedure; For the revised version of this paper, see Working Paper 240, Economics Series, June 2009, which includes some changes. The most important change regards the reference of Kisinbay (2007), which was not reported in the previous version. The hierarchical procedure proposed in the paper is based on the approach of Kisinbay (2007), but some modifications of that approach are provided
    Economics Series, Institute for Advanced Studies View citations (1)

2007

24. A Panel-CADF Test for Unit Roots
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (3)
25. Change in persistence tests for panels
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics
26. Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) View citations (2)
27. Non parametric Fractional Cointegration Analysis
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

2006

28. Panel Cointegration and the Neutrality of Money
    Working Papers, Lund University, Department of Economics View citations (2)
    See also Journal Article Panel cointegration and the neutrality of money, Empirical Economics, Springer (2009) View citations (14) (2009)
29. Testing for rational bubbles
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)

2005

30. Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics
31. Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order
    Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
32. Unit root and cointegration tests for cross-sectionally correlated panels - Estimating regional production functions
    ERSA conference papers, European Regional Science Association View citations (4)
    Also in CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy (2005) View citations (4)
    ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) (2005) View citations (4)

Journal Articles

2024

1. Bayesian Nonparametric Panel Markov-Switching GARCH Models
   Journal of Business & Economic Statistics, 2024, 42, (1), 135-146

2023

2. Bitcoin market networks and cyberattacks
   Physica A: Statistical Mechanics and its Applications, 2023, 630, (C)

2022

3. What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality
   Journal of International Money and Finance, 2022, 122, (C) View citations (12)

2021

4. On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting
   Economic Modelling, 2021, 105, (C) View citations (1)
5. On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation
   International Journal of Forecasting, 2021, 37, (2), 445-460
   See also Working Paper On Using Predictive-ability Tests in the Selection of Time-series Prediction Models: A Monte Carlo Evaluation, Economics Series (2018) (2018)

2020

6. Consumption, asset wealth, equity premium, term spread, and flight to quality
   European Financial Management, 2020, 26, (3), 778-807 View citations (5)

2019

7. Panel stationary tests against changes in persistence
   Statistical Papers, 2019, 60, (4), 1079-1100

2018

8. Do inequality, unemployment and deterrence affect crime over the long run?
   Regional Studies, 2018, 52, (4), 558-571 View citations (12)
9. What do panel data say on inequality and GDP? New evidence at US state-level
   Economics Letters, 2018, 168, (C), 115-117 View citations (5)

2017

10. Forecast Combinations in a DSGE‐VAR Lab
    Journal of Forecasting, 2017, 36, (3), 305-324 View citations (4)
    See also Working Paper Forecast combinations in a DSGE-VAR lab, Economics Series (2014) (2014)

2016

11. A simple testing procedure for unit root and model specification
    Computational Statistics & Data Analysis, 2016, 102, (C), 37-54
12. Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate
    Journal of Forecasting, 2016, 35, (7), 652-668 View citations (9)
13. How accurate are professional forecasts in Asia? Evidence from ten countries
    International Journal of Forecasting, 2016, 32, (1), 154-167 View citations (17)
14. Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods
    Economics Letters, 2016, 138, (C), 9-14 View citations (1)

2015

15. Housing wealth, financial wealth, and consumption: New evidence for Italy and the UK
    International Review of Financial Analysis, 2015, 42, (C), 316-323 View citations (18)

2014

16. Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective
    European Economic Review, 2014, 70, (C), 337-349 View citations (70)
    See also Working Paper Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective, Working Papers (2013) View citations (7) (2013)
17. On the usefulness of cross-validation for directional forecast evaluation
    Computational Statistics & Data Analysis, 2014, 76, (C), 132-143 View citations (21)

2013

18. A Simple Panel-CADF Test for Unit Roots
    Oxford Bulletin of Economics and Statistics, 2013, 75, (2), 276-296 View citations (25)
    See also Working Paper A Simple Panel-CADF Test for Unit Roots, Economics Series (2011) View citations (3) (2011)
19. Capital mobility and global factor shocks
    Economics Letters, 2013, 120, (3), 513-515 View citations (8)
20. FINANCIAL RESTRAINTS AND PRIVATE INVESTMENT: EVIDENCE FROM A NONSTATIONARY PANEL
    Economic Inquiry, 2013, 51, (1), 248-259 View citations (12)
    See also Working Paper Financial Restraints and Private Investment: Evidence from a Nonstationary Panel*, Discussion Papers in Economics (2010) (2010)
21. Forecasting the industrial production using alternative factor models and business survey data
    Journal of Applied Statistics, 2013, 40, (10), 2275-2289 View citations (4)
22. Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 215-225 View citations (5)
    See also Working Paper Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal, Discussion Papers of DIW Berlin (2012) (2012)
23. THE ROLE OF MONITORING OF CORRUPTION IN A SIMPLE ENDOGENOUS GROWTH MODEL
    Economic Inquiry, 2013, 51, (4), 1972-1985 View citations (3)

2012

24. Bootstrap innovational outlier unit root tests in dependent panels
    Economics Letters, 2012, 117, (3), 817-819
25. New evidence on the convergence of international income from a group of 29 countries
    Applied Economics Letters, 2012, 19, (5), 425-429 View citations (4)

2011

26. A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break
    Statistical Papers, 2011, 52, (3), 677-682
27. Combining forecasts based on multiple encompassing tests in a macroeconomic core system
    Journal of Forecasting, 2011, 30, (6), 579-596 View citations (18)
    See also Working Paper Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System, Economics Series (2009) View citations (1) (2009)
28. Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
    Journal of Banking & Finance, 2011, 35, (10), 2598-2605 View citations (10)

2010

29. A hierarchical procedure for the combination of forecasts
    International Journal of Forecasting, 2010, 26, (4), 725-743 View citations (22)
30. A panel cointegration approach to estimating substitution elasticities in consumption
    Economic Modelling, 2010, 27, (3), 782-787 View citations (19)

2009

31. Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions
    Economic Modelling, 2009, 26, (2), 320-327 View citations (42)
32. Panel cointegration and the neutrality of money
    Empirical Economics, 2009, 36, (1), 1-26 View citations (14)
    See also Working Paper Panel Cointegration and the Neutrality of Money, Working Papers (2006) View citations (2) (2006)

2008

33. On the asymptotic behaviour of random matrices in a multivariate statistical model
    Statistics & Probability Letters, 2008, 78, (14), 2039-2045

2007

34. An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks
    Economics Letters, 2007, 95, (3), 408-414 View citations (15)
35. Simple panel unit root tests to detect changes in persistence
    Economics Letters, 2007, 96, (3), 363-368 View citations (4)

2006

36. Comovements and correlations in international stock markets
    The European Journal of Finance, 2006, 12, (6-7), 567-582 View citations (10)
37. Divergence and long-run equilibria in Italian regional unemployment
    Applied Economics Letters, 2006, 13, (14), 899-904 View citations (11)
38. Testing the stochastic convergence of Italian regions using panel data
    Applied Economics Letters, 2006, 13, (12), 775-783 View citations (7)

2005

39. Stochastic convergence among European economies
    Economics Bulletin, 2005, 3, (38), 1-17 View citations (195)

2004

40. Is social protection a necessity or a luxury good? New multivariate cointegration panel data results
    Applied Economics, 2004, 36, (17), 1887-1898 View citations (7)