Details about Paolo Paruolo

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 2024-12-06. Update your information in the RePEc Author Service.

Short-id: ppa332

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Working Papers

2024

1. Canonical correlation analysis of stochastic trends via functional approximation
   Papers, arXiv.org

2022

2. The Role of Employment Protection Legislation Regimes in Shaping the Impact of Job Disruption on Older Workers' Mental Health in Times of COVID-19
   JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
3. The Role of Employment Protection Legislation Regimes in Shaping the Impact of Job Disruption on Older Workers’ Mental Health in Times of COVID-19
   Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York View citations (1)

2020

4. Real Time Forecasting of Covid-19 Intensive Care Units demand
   JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
   Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2020) View citations (1)

2019

5. Cointegration, root functions and minimal bases
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome View citations (1)
   See also Journal Article Cointegration, Root Functions and Minimal Bases, Econometrics, MDPI (2021) View citations (2) (2021)

2018

6. Cointegration in functional autoregressive processes
   Papers, arXiv.org View citations (5)
   Also in DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2017)
   See also Journal Article COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES, Econometric Theory, Cambridge University Press (2020) View citations (7) (2020)

2017

7. A general inversion theorem for cointegration
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome View citations (5)
   See also Journal Article A general inversion theorem for cointegration, Econometric Reviews, Taylor & Francis Journals (2019) View citations (10) (2019)
8. Do voters support locala commitments for climate change mitigation in Italy?
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   See also Journal Article Do Voters Support Local Commitments for Climate Change Mitigation in Italy?, Ecological Economics, Elsevier (2018) (2018)

2014

9. 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
10. 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 View citations (3)

2012

11. Do Emissions and Income Have a Common Trend? A Country-Specific, Time-Series, Global Analysis, 1970-2008
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Economics and Quantitative Methods, Department of Economics, University of Insubria (2011)
12. 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 View citations (1)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (2)

2011

13. 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

2010

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

2009

16. Do fiscal variables affect fiscal expectations? Experiments with real world and lab data
    Post-Print, HAL View citations (5)
    Also in Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim (2004) View citations (5)
    Papers, Sonderforschungsbreich 504 (2004) View citations (5)
    See also Journal Article Do fiscal variables affect fiscal expectations? Experiments with real world and lab data, Journal of Economic Behavior & Organization, Elsevier (2009) View citations (5) (2009)
17. Structured Multivariate Volatility Models
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (16)

2008

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

2007

19. 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 View citations (1)
20. Speed of Adjustment in Cointegrated Systems
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Speed of adjustment in cointegrated systems, Journal of Econometrics, Elsevier (2010) View citations (19) (2010)

2006

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

2005

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

2004

26. Automated Inference and the Future of Econometrics: A comment
    Economics and Quantitative Methods, Department of Economics, University of Insubria
    See also Journal Article AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT, Econometric Theory, Cambridge University Press (2005) View citations (2) (2005)
27. Common trends and cycles in I(2) VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria
    Also in Economics and Quantitative Methods, Department of Economics, University of Insubria (2003)
    See also Journal Article Common trends and cycles in I(2) VAR systems, Journal of Econometrics, Elsevier (2006) View citations (7) (2006)
28. The likelihood ratio test for the rank of a cointegration submatrix
    Economics and Quantitative Methods, Department of Economics, University of Insubria
    See also Journal Article The Likelihood Ratio Test for the Rank of a Cointegration Submatrix*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (10) (2006)

2003

29. Common dynamics in I(1) VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (17)
30. Expectations and Perceived Causality in Fiscal Policy: An Experimental Analysis Using Real World Data
    Papers, Sonderforschungsbreich 504 View citations (1)
    Also in Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim (2003) View citations (1)
    Economics and Quantitative Methods, Department of Economics, University of Insubria (2003) View citations (1)

2002

31. Common features and common I(2) trends in VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (3)
32. Impact factors
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (4)
    See also Journal Article Impact factors, Journal of Econometrics, Elsevier (2005) View citations (11) (2005)
33. 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 View citations (1)
34. Testing for common trends in conditional I(2) VAR models
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (3)

2001

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

1997

36. 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

1994

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

1993

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

1992

39. A reduced rank regression approach to tests of asset pricing
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
    See also Journal Article A Reduced Rank Regression Approach to Tests of Asset Pricing, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1997) View citations (4) (1997)
40. Sulle fonti delle fluttuazioni dell'economia italiana: una analisi con sistemi VAR strutturali
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)

1991

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

Undated

42. Asymptotic standard errors for common trends linear combinations in I(2) VAR systems
    Economics and Quantitative Methods, Department of Economics, University of Insubria
43. LR cointegration tests when some cointegrating relations are known
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (7)
    See also Journal Article LR cointegration tests when some cointegrating relations are known, Statistical Methods & Applications, Springer (2001) View citations (3) (2001)
44. On Monte Carlo Estimation of Relative Power
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)
    See also Journal Article On Monte Carlo estimation of relative power, Econometrics Journal, Royal Economic Society (2002) View citations (3) (2002)
45. The power of lambda max
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (3)
    See also Journal Article The Power of Lambda Max, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2001) View citations (14) (2001)

Journal Articles

2023

1. Does labour protection influence mental-health responses to employment shocks? Evidence on older workers in Europe
   Economic Modelling, 2023, 126, (C) View citations (6)
2. GARCH density and functional forecasts
   Journal of Econometrics, 2023, 235, (2), 470-483

2022

3. A Conversation with Katarina Juselius
   Econometrics, 2022, 10, (2), 1-21 View citations (1)
4. A Conversation with Søren Johansen
   Econometrics, 2022, 10, (2), 1-16
5. Celebrated Econometricians: Katarina Juselius and Søren Johansen
   Econometrics, 2022, 10, (2), 1-4

2021

6. Cointegration, Root Functions and Minimal Bases
   Econometrics, 2021, 9, (3), 1-27 View citations (2)
   See also Working Paper Cointegration, root functions and minimal bases, DSS Empirical Economics and Econometrics Working Papers Series (2019) View citations (1) (2019)
7. Variable Selection in Regression Models Using Global Sensitivity Analysis
   Journal of Time Series Econometrics, 2021, 13, (2), 187-233 View citations (1)

2020

8. A bivariate prediction approach for adapting the health care system response to the spread of COVID-19
   PLOS ONE, 2020, 15, (10), 1-14 View citations (1)
9. COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES
   Econometric Theory, 2020, 36, (5), 803-839 View citations (7)
   See also Working Paper Cointegration in functional autoregressive processes, Papers (2018) View citations (5) (2018)
10. Too Much Stick for the Carrot? Job Search Requirements and Search Behaviour of Unemployment Benefit Claimants
    The B.E. Journal of Economic Analysis & Policy, 2020, 20, (1), 21

2019

11. A general inversion theorem for cointegration
    Econometric Reviews, 2019, 38, (10), 1176-1201 View citations (10)
    See also Working Paper A general inversion theorem for cointegration, DSS Empirical Economics and Econometrics Working Papers Series (2017) View citations (5) (2017)

2018

12. Do Voters Support Local Commitments for Climate Change Mitigation in Italy?
    Ecological Economics, 2018, 144, (C), 27-35
    See also Working Paper Do voters support locala commitments for climate change mitigation in Italy?, LIDAM Reprints CORE (2017) (2017)

2017

13. Correction of Caporin and Paruolo (2015)
    Econometric Reviews, 2017, 36, (4), 493-493
14. Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models
    Econometrics, 2017, 5, (4), 1-30
15. Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
    Journal of Econometrics, 2017, 198, (2), 271-276 View citations (6)
16. Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems
    Econometrics, 2017, 5, (3), 1-17 View citations (4)

2015

17. Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation
    Computational Economics, 2015, 46, (4), 613-626 View citations (19)
18. Proximity-Structured Multivariate Volatility Models
    Econometric Reviews, 2015, 34, (5), 559-593 View citations (20)

2013

19. Ratings and rankings: voodoo or science?
    Journal of the Royal Statistical Society Series A, 2013, 176, (3), 609-634 View citations (86)
20. Wages and prices in Europe before and after the onset of the Monetary Union
    Economic Modelling, 2013, 35, (C), 643-653 View citations (1)
    See also Working Paper Wages and prices in Europe before and after the onset of the Monetary Union, Economics and Quantitative Methods (2010) (2010)

2011

21. A characterization of vector autoregressive processes with common cyclical features
    Journal of Econometrics, 2011, 163, (1), 105-117 View citations (11)

2010

22. Speed of adjustment in cointegrated systems
    Journal of Econometrics, 2010, 158, (1), 130-141 View citations (19)
    See also Working Paper Speed of Adjustment in Cointegrated Systems, MPRA Paper (2007) View citations (1) (2007)

2009

23. Do fiscal variables affect fiscal expectations? Experiments with real world and lab data
    Journal of Economic Behavior & Organization, 2009, 70, (1-2), 253-265 View citations (5)
    See also Working Paper Do fiscal variables affect fiscal expectations? Experiments with real world and lab data, Post-Print (2009) View citations (5) (2009)
24. Tests for cointegration rank and choice of the alternative
    Statistical Methods & Applications, 2009, 18, (2), 169-191

2006

25. Common trends and cycles in I(2) VAR systems
    Journal of Econometrics, 2006, 132, (1), 143-168 View citations (7)
    See also Working Paper Common trends and cycles in I(2) VAR systems, Economics and Quantitative Methods (2004) (2004)
26. The Likelihood Ratio Test for the Rank of a Cointegration Submatrix*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 921-948 View citations (10)
    See also Working Paper The likelihood ratio test for the rank of a cointegration submatrix, Economics and Quantitative Methods (2004) (2004)

2005

27. AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT
    Econometric Theory, 2005, 21, (1), 78-84 View citations (2)
    See also Working Paper Automated Inference and the Future of Econometrics: A comment, Economics and Quantitative Methods (2004) (2004)
28. Impact factors
    Journal of Econometrics, 2005, 128, (1), 31-68 View citations (11)
    See also Working Paper Impact factors, Economics and Quantitative Methods (2002) View citations (4) (2002)
29. Solution to Problem Posed in Volume 20(3): 04.3.1. An I(2) Model for VAR(1) Processes—Solution
    Econometric Theory, 2005, 21, (3), 665-666 View citations (1)

2004

30. 04.3.1 An I(2) Model for VAR(1) Processes
    Econometric Theory, 2004, 20, (3), 639-640 View citations (1)

2002

31. ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
    Econometric Theory, 2002, 18, (3), 673-690 View citations (25)
    Also in Econometric Theory, 1997, 13, (1), 79-118 (1997) View citations (53)
32. On Monte Carlo estimation of relative power
    Econometrics Journal, 2002, 5, (1), 65-75 View citations (3)
    See also Working Paper On Monte Carlo Estimation of Relative Power, Economics and Quantitative Methods View citations (1)
33. Simple Robust Testing of Regression Hypotheses: A Comment
    Econometrica, 2002, 70, (5), 2097-2099 View citations (2)

2001

34. LR cointegration tests when some cointegrating relations are known
    Statistical Methods & Applications, 2001, 10, (1), 123-137 View citations (3)
    See also Working Paper LR cointegration tests when some cointegrating relations are known, Economics and Quantitative Methods View citations (7)
35. The Power of Lambda Max
    Oxford Bulletin of Economics and Statistics, 2001, 63, (3), 395-403 View citations (14)
    See also Working Paper The power of lambda max, Economics and Quantitative Methods View citations (3)

2000

36. ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
    Econometric Theory, 2000, 16, (4), 524-550 View citations (34)

1999

37. Weak exogeneity in I(2) VAR systems
    Journal of Econometrics, 1999, 93, (2), 281-308 View citations (37)

1998

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

1997

39. A Reduced Rank Regression Approach to Tests of Asset Pricing
    Oxford Bulletin of Economics and Statistics, 1997, 59, (1), 163-81 View citations (4)
    See also Working Paper A reduced rank regression approach to tests of asset pricing, Quaderni di Dipartimento (1992) (1992)
40. Erratum to: The role of the drift in I(2) systems
    Statistical Methods & Applications, 1997, 6, (1), 93-95
41. Two Mixed Normal Densities from Cointegration Analysis
    Econometrica, 1997, 65, (3), 671-680 View citations (9)

1996

42. On the determination of integration indices in I(2) systems
    Journal of Econometrics, 1996, 72, (1-2), 313-356 View citations (82)

1995

43. Errata
    Econometric Theory, 1995, 11, (2), 402-402

1994

44. The role of the drift in I(2) systems
    Statistical Methods & Applications, 1994, 3, (1), 93-123 View citations (4)

Chapters

2021

1. Positive Externalities of EU Actions on Sustainability of Health Systems*
   A chapter in The Sustainability of Health Care Systems in Europe, 2021, vol. 295, pp 1-21 View citations (1)