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
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Working Papers
2018
- 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)
- Uncertainty and spillover effects across the Euro area
Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (4)
2016
- Common trends in the US state-level crime.What do panel data say?
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
2014
- Can Macroeconomists Get Rich Forecasting Exchange Rates?
Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics View citations (3)
Also in Department of Economics Working Paper Series, WU Vienna University of Economics and Business (2014) View citations (2) Economics Series, Institute for Advanced Studies (2014) View citations (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)
- 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
- 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
- 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)
- Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System
Economics Series, Institute for Advanced Studies
- Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
CESifo Working Paper Series, CESifo 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (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
- A Simple Panel-CADF Test for Unit Roots
Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
Also in Economics Series, Institute for Advanced Studies (2011) View citations (3)
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 (24) (2013)
- FDR Control in the Presence of an Unknown Correlation Structure
Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
- On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models
Economics Series, Institute for Advanced Studies View citations (8)
2010
- 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)
- Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System
Economics Series, Institute for Advanced Studies
2009
- A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
Economics & Statistics Discussion Papers, University of Molise, Department of Economics
- 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
- 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)
- Do "Clean Hands" Ensure Healthy Growth? Theory and Practice in the Battle Against Corruption
Economics Series, Institute for Advanced Studies View citations (5)
- New panel tests to assess inflation persistence
Working Papers, Macerata University, Department of Finance and Economic Sciences View citations (1)
- 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
- Change in persistence tests for panels: An update and some new results
Economics & Statistics Discussion Papers, University of Molise, Department of Economics
- 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
- A Panel-CADF Test for Unit Roots
Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (3)
- Change in persistence tests for panels
Economics & Statistics Discussion Papers, University of Molise, Department of Economics
- 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)
- Non parametric Fractional Cointegration Analysis
ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY)
2006
- 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)
- Testing for rational bubbles
Economics & Statistics Discussion Papers, University of Molise, Department of Economics View citations (1)
2005
- Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes
Economics & Statistics Discussion Papers, University of Molise, Department of Economics
- 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)
- 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 ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) (2005) View citations (4) CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy (2005) View citations (4)
Journal Articles
2024
- Bayesian Nonparametric Panel Markov-Switching GARCH Models
Journal of Business & Economic Statistics, 2024, 42, (1), 135-146
2023
- Bitcoin market networks and cyberattacks
Physica A: Statistical Mechanics and its Applications, 2023, 630, (C)
2022
- 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
- On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting
Economic Modelling, 2021, 105, (C) View citations (1)
- 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
- Consumption, asset wealth, equity premium, term spread, and flight to quality
European Financial Management, 2020, 26, (3), 778-807 View citations (5)
2019
- Panel stationary tests against changes in persistence
Statistical Papers, 2019, 60, (4), 1079-1100
2018
- Do inequality, unemployment and deterrence affect crime over the long run?
Regional Studies, 2018, 52, (4), 558-571 View citations (12)
- 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
- 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
- A simple testing procedure for unit root and model specification
Computational Statistics & Data Analysis, 2016, 102, (C), 37-54
- 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)
- How accurate are professional forecasts in Asia? Evidence from ten countries
International Journal of Forecasting, 2016, 32, (1), 154-167 View citations (17)
- 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
- 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
- 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)
- On the usefulness of cross-validation for directional forecast evaluation
Computational Statistics & Data Analysis, 2014, 76, (C), 132-143 View citations (19)
2013
- A Simple Panel-CADF Test for Unit Roots
Oxford Bulletin of Economics and Statistics, 2013, 75, (2), 276-296 View citations (24)
See also Working Paper A Simple Panel-CADF Test for Unit Roots, Economics & Statistics Discussion Papers (2011) View citations (1) (2011)
- Capital mobility and global factor shocks
Economics Letters, 2013, 120, (3), 513-515 View citations (8)
- 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)
- Forecasting the industrial production using alternative factor models and business survey data
Journal of Applied Statistics, 2013, 40, (10), 2275-2289 View citations (4)
- 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, CESifo Working Paper Series (2012) (2012)
- THE ROLE OF MONITORING OF CORRUPTION IN A SIMPLE ENDOGENOUS GROWTH MODEL
Economic Inquiry, 2013, 51, (4), 1972-1985 View citations (3)
2012
- Bootstrap innovational outlier unit root tests in dependent panels
Economics Letters, 2012, 117, (3), 817-819
- 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
- 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
- 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)
- 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
- A hierarchical procedure for the combination of forecasts
International Journal of Forecasting, 2010, 26, (4), 725-743 View citations (22)
- A panel cointegration approach to estimating substitution elasticities in consumption
Economic Modelling, 2010, 27, (3), 782-787 View citations (19)
2009
- Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions
Economic Modelling, 2009, 26, (2), 320-327 View citations (42)
- 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
- On the asymptotic behaviour of random matrices in a multivariate statistical model
Statistics & Probability Letters, 2008, 78, (14), 2039-2045
2007
- 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)
- Simple panel unit root tests to detect changes in persistence
Economics Letters, 2007, 96, (3), 363-368 View citations (4)
2006
- Comovements and correlations in international stock markets
The European Journal of Finance, 2006, 12, (6-7), 567-582 View citations (10)
- Divergence and long-run equilibria in Italian regional unemployment
Applied Economics Letters, 2006, 13, (14), 899-904 View citations (11)
- Testing the stochastic convergence of Italian regions using panel data
Applied Economics Letters, 2006, 13, (12), 775-783 View citations (7)
2005
- Stochastic convergence among European economies
Economics Bulletin, 2005, 3, (38), 1-17 View citations (195)
2004
- 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)
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