University of Rome “Tor Vergata”

Ph.D. in Econometrics andEmpirical Economics

Program 2010–2011

1

First year

The first year program is divided in two semesters. The first semester begins on September 20.Instruction during this semester lasts for 13 weeks. It starts with 6 weeks of review courses onCalculus, Probability and Statistics (Modules I and II), followed by 1 week of exams, and continuesfor 6 more weeks (Modules III and IV) during which the students must attend the following courses:

• Macroeconomics I

• Microeconomics I

• Econometrics I

• Statistical Computing I.

The second semester begins on February 14 and lasts for 13 weeks. It starts with Modules I and II(6 weeks), followed by 1 week of Easter holidays, and continues with Modules III and IV (6 moreweeks). During this period, a student is expected to take the compulsory courses “EconometricsII” and “Statistical Computing II”, plus 8 modules chosen from the following courses:

• Financial Econometrics

• Macroeconometrics

• Microeconometrics.

Subject to approval by the Program Coordinator, up to 3 of the 8 modules may be taken from theEconomics and Finance courses offered by the Master in Economics (MEI) or other Ph.D. programsin Economics at Tor Vergata.

Teaching is in English. For some modules, students may be asked to prepare small projects ordiscuss relevant study cases. Exams are at the end of the review courses (mid-October), and atthe end of the first semester (second half of January) and the second semester (end of May-earlyJune).

2

First semester

Review courses

• Calculus (Monte)

Basic Calculus: The Euclidean space ℜn. Maps between Euclidean spaces. Calculus for mapsfrom ℜn to ℜm. Implicit functions and their derivatives. Ordinary differential equations.Systems of ordinary differential equations.

• Linear Algebra (Monte)

The geometry of linear equations. Elimination with matrices. Matrix operations and in-verses. Transposes and permutations. Column space and nullspace. Solving Ax = 0 andAx = b. Independence, basis and dimension. Fundamental subspaces. Orthogonal vectorsand subspaces. Projections onto subspaces. Projection matrices and least squares. Orthog-onal matrices and Gram-Schmidt. Cramer’s rule, inverse matrix and volume. Properties ofdeterminants. Determinant formulas and cofactors. Eigenvalues and eigenvectors. Diagonal-ization. Differential equations and exp(At). Symmetric matrices and positive definiteness.Positive definite matrices and minima. Linear transformations and their matrices. Left andright inverses. Pseudoinverse.

• Probability (Accardi)

Random experiments, sample space, events. Algebras of events and information about randomexperiments. Introduction to combinatorial calculus. Finite probability spaces, probabilitymeasures, introduction to Kolmogorov theory. Independent events. Conditional probability.Total probability formula, Bayes formula, random variables, discrete and continuous, distri-bution functions and densities functions. Inverse theorem. Expectation and variance of arandom variable. Expectation and variance of a random variable. Random vectors. Marginaland joint distributions. Independent random variables. Covariance and correlation of randomvariables. Sequences of random variables. Laws of large number. Central limit theorems.

• Optimization (Monte)

Quadratic forms and their sign. Unconstrained optimization. Constrained Optimization.

• Statistics (Rocci)

Properties of a random sample. Principles of data reduction. Point estimation. Hypothesistesting. Interval estimation.

Macroeconomics I

This course consists of 2 modules of 18 hours each:

• Introduction to Contemporary Macroeconomics (Mattesini)

The dynamics of aggregate supply and demand, rational expectations and the Lucas critique,solving rational expectations models, the central bank and monetary policy rules, microfoun-dations of incomplete nominal adjustment.

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• Consumption and Investment (Waldmann)

Stochastic implications of the permanent income hypothesis, overlapping generations modelwith money, fixed capital investment, inventory investment, credit rationing.

Microeconomics I

This course consists of 2 modules of 18 hours each:

• Consumption and Production (Iozzi)

The purpose of this course is to illustrate the microeconomic theory that examines behaviorof the most important sets of economic agents - the individual (household) and the firm.The topics covered include preference and choice, budget set, classical demand theory, choiceunder uncertainty, intertemporal utility, interest rates, introduction to production and supply.

• Games and Imperfect Markets (De Fraja)

Monopoly, competition, collusion, dynamic games of perfect and imperfect information.

Econometrics I

This course consists of 2 modules of 18 hours each:

• Univariate Time Series (Cubadda)

Stationarity, autocorrelation, Linear indeterministic processes. Nonstationary time seriesanalysis: ARIMA models. Seasonal models. Unit root tests. The Beveridge-Nelson decom-position. Forecasting and the evaluation of forecasts. Univariate analysis of financial timeseries: Volatility and conditional heteroscedasticity. GARCH and IGARCH models

• Static Regression (Peracchi)

The classical linear model and the OLS estimator. Algebraic properties of OLS. Samplingproperties of OLS. GLS and feasible GLS. Heteroskedasticity, linear models with dynamicerrors, panel data. Diagnostic procedure. Hypothesis testing. Model selection.

Statistical Computing I

This course consists of 2 modules of 12 hours each:

• Stata I (Gagliarducci)

Dataset management: Descriptive statistics; Stata graphics; Random number generation;Point estimation; Testing hypothesis; Univariate Time Series; Linear regression.

• Matlab I (Brunetti)

Introduction to Matlab.Matrices and operations with matrices. Relations and Booleans.Scripts and functions. Controlling the flow: cycles and conditions. Generation of randomnumbers. Working with real data: exporting (save) and importing (load) external data.Graphics.

4

Second semester

Macroeconomics II

This course consists of 2 modules of 18 hours each:

• Growth Theory (Waldmann)

Review of the Solow model, the Ramsey-Cass-Koopmans model, the Diamond model, theRomer (1986) model, the Romer (1990) model, human capital and growth.

• Business Cycle Theory (Mattesini)

Business cycle facts, real business cycles theory, critiques and extensions, money and businesscycles, business cycles and the labor market.

Microeconomics II

This course consists of 2 modules of 18 hours each:

• General Equilibrium (Attar)

The course provides an introduction to the General Equilibrium Theory. The lectures will em-phasize the properties of exchange economies, and introduce students to the logic of existenceproofs. Welfare properties of Walrasian equilibria, competition under incomplete informationand competition under moral hazard will be examined.

• Uncertainty and Information (Valletti)

Choice under uncertainty, introduction to game theory, adverse selection, screening, sig-nalling, insurance, moral hazard, principal-agent problems.

Econometrics II

This course consists of 2 modules of 18 hours each:

• Dynamic Regression (Cubadda)

Interdependence. Weak exogeneity. Granger causality. Strong exogeneity. Autoregressive dis-tributed lag models. Error correction models. Common factors. Structural Breaks. Spuriousregression. Elements of inference for I(1) processes. Cointegration. Inference on cointegra-tion: Single equation methods.

• IV and GMM Estimation (Peracchi)

The instrumental variables (IV) method, estimation of causal effects, 2SLS under weak instru-ments, robust inference under weak instruments, the generalized method of moments (GMM),weak identification and robust inference in GMM.

5

Financial Econometrics

This course consists of 2 modules of 18 hours each:

• Markov Chains (Mare)

Kolmogorov probability spaces. Basic on stochastic processes. Time homogeneous processes.Processes with independent increments. Markov processes. Martingales. Random walks.Brownian motion. Gaussian processes. Poisson processes. Basics on Ito calculus and stochas-tic differential equations. Applications to finance.

• Volatility (Brunetti)

Models of changing volatility: ARCH, GARCH and stochastic volatility models. Estimationand testing. Temporal and contemporaneous aggregation. Multivariate specifications. Longmemory in volatility models. Applications to financial data.

Macroeconometrics

This course consists of 2 modules of 18 hours each:

• Multivariate Time Series (Cubadda)

Stationary and ergodic multivariate time series. Multivariate Wold representation. Vectorautoregression (VAR) models. Identification and estimation of VAR models. Forecasting.Structural VAR models. Impulse response functions. Forecast error variance decompositions.Shocks identification using the Choleski factorization. The cointegrated VAR. Maximumlikelihood inference on the cointegrated VAR. The common trends representation.

• Introduction to State Space Modeling (Proietti)

Review of main concepts in time series (stationarity, autocorrelation, frequency domain anal-ysis). State space models. Unobserved components models for the analysis of economic timeseries (trends and cycles in macroeconomic time series). Inference for state space models: theKalman filter, smoothing filter, maximum likelihood estimation. Forecasting with state spacemodels. Topics in business cycle analysis. Filtering economic time series.

6

Microeconometrics

This course consists of 2 modules of 18 hours each:

• Linear Panel Data Models (Peracchi)

Examples of panel data. Seemingly unrelated regression equations and static linear panel datamodels. Least squares estimation: fixed-effect, GLS and between-group estimators. Minimumdistance estimation. Further topics: Repeated cross-sections, heterogeneous panels, the DIDestimator, measurement errors, unbalanced panels, panel attrition. State dependence andunobserved heterogeneity. Dynamic linear models. IV estimation. Open issues: The initialcondition problem, nonstationary panels, heterogeneous dynamics, finite sample properties,correcting for median bias.

• Methods for Discrete and Limited Dependent Variables (Peracchi)

Models for binary and multinomial responses. Semiparametric estimation. Panel data models.Generalized linear models (GLM). Poisson regression. Distribution and moments of truncatedand censored data. The Roy model. Least squares estimation with truncated and censoredoutcomes. ML estimation. Semiparametric estimation. Bivariate models. Panel data models.

Statistical Computing II

This course consists of 2 modules of about 18 hours each. The first module introduces studentsto applications of the statistical package Stata for analyzing cross-sectional, time-series and paneldata. The second module introduces students to numerical methods of maximization using thehigh-level programming language Matlab.

• Stata II (Coviello)

IV-GMM: Jacknife, k-class estimators, Testing for weak Instruments. Second stage robustto weak instruments inference procedure: conditional likelihood ratio tests, Moreira tests,Anderson-Rubin. Basic Stata programming and graphs: introduction to MATA, Monte Carlosimulations, maximum likelihood. Linear probability model, logit, probit and multinomialmodels with SHIW data. Panel data, Standard panel models. Programming FE and REin MATA. Dynamic panel data: Theory and empirical applications. Weak instruments indynamic panel data. Bias corrections estimators. LaTeX and Stata.

• Matlab II (Parisi, Ramponi)

Introduction to numerical methods for optimization: the MatLab. Optimization Toolbox.From univariate to multivariate nonlinear minimization: descent methods, gradient and New-ton’s methods. Numerical derivatives. Maximum Likelihood Estimation. Application tomultivariate static models and time series models. Nonlinear least squares and data fittingproblems. Applications.

7

Second and third years

In the second part of the program, Ph.D. students are required to take a number of topics courses.Topics courses offered may change from year to year. Students are also required to attend the weeklyEconometrics and Economics seminars (normally on Thursday, 6.00pm, and Monday, 5.30pm, re-spectively) at the Einaudi Institute for Economics and Finance (EIEF), the weekly Riccardo Fainiseminar (normally on Friday, 12.00am), the Dissertation seminar, and the Reading seminar.

Topics courses 2010–2011

First semester

• Applied Health Economics (Atella)

The course focuses on the analysis of health care demand and provision, with special emphasison the empirical aspects. The goal is to provide students with the tools, knowledge, andunderstanding necessary to carry out original applied researches in the field. Apart froman introductory lecture on the main problems and unresolved questions faced by the healtheconomists today, the remaining lectures will focus on the estimation and measurement of thebehavioral aspects in the health care field, by means of the most recent advances in healtheconometrics.

• Common Features in Economic Time Series (Cubadda)

Reduced-rank structures in VAR models. Common trends and cointegration. Common cycles.Permanent-transitory decompositions. Common seasonals and seasonal cointegration.

• Asset Pricing Theory (Ehlig, BI Norwegian School of Management)

One period and multi-period portfolio choice, one period and multi-period asset pricing mod-els, discrete time versus continuous time approach, PDE approach versus probabilistic ap-proach.

• Introduction to Bayesian Statistics (Liseo, La Sapienza)

Bayesian inference for some simple statistical models. Choice of initial distribution. Bayesianprocedures. Bayes factor. Computational methods. Montecarlo, importance sampling, Mon-tecarlo Markov Chain (MCMC). Linear models.

• Non Parametrics (Peracchi)

Nonparametric density estimators: Empirical densities, The kernel method, Statistical prop-erties of the kernel method, Other methods for density estimation, Multivariate density es-timation. Nonparametric regression estimators: Regression splines, The kernel method, Thenearest neighbor method, Cubic smoothing splines, Local polynomial regression, Statisticalproperties of linear smoothers, Methods for high dimensional data. Distribution functionand quantile function estimators: The empirical distribution function, The empirical quantilefunction, Estimating the conditional quantile function, Estimating the conditional distribu-tion function, Relationships between the two approaches, Generalizations.

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• Structural Time Series Models (Proietti)

Unobserved components models: trends and cycles in economic time series. State spacemodels and methods. The Kalman filter. Maximum likelihood estimation. Smoothing filters.Forecasting. Filtering economic time series. Multivariate models. Common trends andcommon features. Nonlinear and non Gaussian state space models. Applications in Stampand SsfPack.

• Empirical Industrial Organization I (Schivardi, U. Cagliari)

The course will focus mainly on two topics: supply analysis - estimating production functionsand demand analysis - estimating systems of demand. The topics are: Production functionestimation. Applications of production function estimation. A labor detour: estimating work-ers. Production function estimation with workers’ characteristics. Introduction to demandanalysis. Demand in the product space; demand in the characteristics space. Discrete choicemodels.

Second semester

• Bootstrap Methods (Leorato) Introduction to bootstrap principle. Examples. Consistencyof bootstrap. Subsampling. Asymptotic refinements. Some extensions.

• Weak Convergence and Empirical Processes (Leorato)

Weak convergence on metric spaces. Portmanteau Theorem, Continuous Mapping. Weakconvergence on C[0,1]. Wiener measure and Brownian Bridge. Donsker Theorem. Empiricalmeasure and functional Glivenko-Cantelli Theorem. The space D[0,1]. Empirical processesindexed by classes of functions. Entropy conditions. Empirical CLT. Transformations ofEmpirical Processes for testing.

• Dynamic Factor Models and Applications (Lippi, La Sapienza)

The dynamic-factor model: identification, estimation through variance covariance matrix andthe spectral density matrix.

• Econometrics Reading Group (Peracchi)

The purpose of the reading group is to provide students with a broad overview of topics thatmay be interesting for future research. The topics covered this Fall are: local average treat-ment effects; panel attrition; dynamic models for binary panel data; causal models; modelaveraging; econometrics of program evaluation; heterogeneity and aggregation; empirical like-lihood methods; subjective probabilities.

• Finite Mixture Models (Rocci)

Introduction: mixture models for nonparametric estimation of probability density functionsand for unsupervised classification. MLE of mixture models. Mixture of linear regressionmodels. Choice of the number of components.

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EIEF Econometrics seminar 2010–2011

Fall 2010

Date Speaker Paper title

Sep 23 Peter PedroniWilliam College

TBA

Oct 7 Carlo FaveroUniversita Bocconi

TBA

Oct 21 Christoph RotheToulouse School of Economics

TBA

Oct 28 Greg CrawfordUniversity of Warwick

TBA

Nov 11 Luca FanelliUniversita’ di Bologna

TBA

Nov 18 Bart BronnenbergUniversiteit van Tilburg

TBA

Nov 25 Bart BronnenbergUniversiteit van Tilburg

TBA

Dec 2 Stephane BonhommeCEMFI

TBA

Dec 9 Luca GambettiUniversitat Autonoma de Barcelona

TBA

Dec 16 Paolo ZaffaroniImperial College, London

TBA

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Spring 2010

Date Speaker Paper title

Feb 4 Peter HansenStanford University

Realized GARCH: a complete model of re-turns and realized measures of volatility

March 11 Bent NielsenUniversity of Oxford

The role of income in money demandduring hyper-inflation: the case of Yu-goslavia

March 18 Joseph AltonjiYale University

Modeling earnings dynamics

March 25 Janet CurrieColumbia University

Traffic congestion and infant health: evi-dence from E-ZPass

April 8 Kjell SalvanesNorges Handelshøyskole

A flying start? Long term consequencesof time investments in infants in their firstyear of life

April 15 Mark SteelUniversity of Warwick

Time-dependent stick-breaking processes

April 29 Patrick GagliardiniUSI

Efficiency in large dynamic panel modelswith common factors

May 6 Rainer DahlhausUniversity of Heidelberg

Particle filter-based on-line estimation ofspot and cross volatility with nonlinearmarket microstructure noise models

May 13 Andrew ChesherUniversity College London

Structural econometrics with discrete data

May 20 Stephane GregoireEDHEC

Testing in vector autoregressions withpossibly seasonally and non-seasonally(co-)integrated processes

May 27 Xavier GineWorld Bank DECRG

Barriers to household risk management:evidence from India

June 3 Anne CasePrinceton University

The long reach of childhood health andcircumstance: evidence from the White-hall II study

June 10 Michael LechnerUniversity of St. Gallen

The performance of different propensityscore matching estimators in a realisticMonte Carlo study

June 17 Hashem PesaranUniversity of Cambridge

Limits to rational expectations and mar-ket efficiency

11

EIEF Economics seminar 2010–2011

Fall 2010

Date Speaker Paper title

Oct 25 Marco TervioAalto University School of Economics

TBA

12

Riccardo Faini Seminar 2010–2011

Fall 2010

Date Speaker Paper title

Oct 8 Cesare RobottiFederal Reserve Bank of Atlanta

TBA

Oct 22 Juanna JoensenStockholm School of Economics

TBA

Nov 5 Manuel BaguesUniversidad Carlos 3

TBA

Nov 12 Wilfried ZantmanToulouse

TBA

Nov 19 Frederic KoesslerParis School of Economics

TBA

Nov 26 David McCarthyImperial College London

TBA

Dec 10 Soenje ReicheCambridge

TBA

Spring 2011

Date Speaker Paper title

Feb 11 Frank WestermannUniversitat Osnabruck

TBA

March 11 Eleonora PatacchiniLa Sapienza

TBA

April 29 Tomas del Barrio CastroUniversitat de les Illes Balears

TBA

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Calendar 2010–2011

I semester - I year

Course Module Instructor Hours

Review courses

Calculus I Monte 26

Linear Algebra I Monte 26

Probability II Accardi 18

Optimization II Monte 18

Statistics I–II Rocci 40

Macroeconomics I

Introduction to Contemporary Macroeconomics III Mattesini 18

Consumption and Investment IV Waldmann 18

Microeconomics I

Consumption and Production III Iozzi 18

Games and Imperfect Markets IV De Fraja 18

Econometrics I

Univariate Time Series III Cubadda 18

Static Regression IV Peracchi 18

Statistical Computing I

Matlab I III–IV Brunetti 12

Stata I III–IV Gagliarducci 12

14

II semester - I year

Course Module Instructor Hours

Macroeconomics II

Growth Theory I Waldmann 18

Business Cycle Theory II Mattesini 18

Microeconomics II

General Equilibrium I Attar 18

Uncertainty and Information II Valletti 18

Econometrics II

Dynamic Regression I Cubadda 18

IV and GMM I Peracchi 18

Financial Econometrics

Markov Chains I Mare 18

Volatility IV Brunetti 18

Macroeconometrics

Multivariate Time Series II Cubadda 18

Introduction to State Space Modelling IV Proietti 18

Microeconometrics

Linear Panel Data Models III Peracchi 18

Methods for Discrete and Limited Dependent Variables IV Peracchi 18

Statistical Computing II

Stata II II–IV Coviello 18

Matlab II II–IV Ramponi 12

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I semester - II and III years

Topics courses

Instructor Hours

Applied Health Economics Atella 16

Common Features in Economic Time Series Cubadda 10

Asset Pricing Theory Ehlig 33

Introduction to Bayesian Statistics Liseo 8

Non Parametrics Peracchi 15

Structural Time Series Models Proietti 12

Empirical Industrial Organization Schivardi 8

Seminars

Econometrics seminar Staff 16

Riccardo Faini seminar Staff 16

Dissertation seminar Staff 16

16

II semester - II and III years

Topics courses

Instructor Hours

Bootstrap Methods Leorato 10

Weak Convergence and Empirical Processes Leorato 12

Dynamic Factor Models and Applications Lippi 6

Econometrics Reading Group Peracchi 16

Finite Mixture Models Rocci 10

Seminars

Dissertation seminar Staff 18

Econometrics seminar Staff 24

Riccardo Faini seminar Staff 24

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Publications of doctoral students

Year 2004

Bruno G., and Lupi C., “Forecasting industrial production and the early detection of turningpoints”, Empirical Economics, 29: 647–671.

Bruno G., “Dating the Italian business cycle: A comparison of procedures”, ISAEWorking PaperNo. 41, Rome.

Conte A., “Simulations and multinomial choice models”, Economia, Societa e Istituzioni, 16:57–75.

Depalo D., “The economic policies in Japan during the last 30 years: An econometric analysis”,Asia Europe Journal, 2: 557–571.

Di Giuseppe S., “Bootstrap time series”, Economia, Societa e Istituzioni, 16: 117–131.

Macaro C., “Bayesian analysis of skewness in GARCH models”, in J. Safrankova (ed.), WDS’04Proceedings of Contributed Papers: Part I - Mathematics and Computer Science, Matfyzpress,Prague, 41–46.

Pappalardo C., and Piras G., “Vector-autoregression-approach to forecast Italian imports”, ISAEWorking Paper No. 42, Rome.

Year 2005

Arbia G., Basile R., and Piras G., “Using spatial panel data in modelling regional growth andconvergence”, ISAE Working Paper No. 55, Rome.

Arbia G., and Piras G., “Convergence in per-capita GDP across EU-NUTS2 regions using paneldata models extended to spatial autocorrelation effects”, REAL Discussion Paper 05-T-3,University of Illinois, Urbana-Champaign.

Avarucci M., and Marinucci, D., “Polynomial cointegration among stationary processes withlong memory ”, Economic Series Working Paper No. 05–51, Universidad Carlos III, Madrid.

De Luca G., and Lipps O., “Fieldwork and sample management”, in A. Borsch-Supan andH. Jurges (eds.), First Results from the Survey of Health Ageing and Retirement in Europe -Methodology, MEA, Mannheim.

De Luca G., and Peracchi F., “Survey response”, in A. Borsch-Supan and H. Jurges (eds.), FirstResults from the Survey of Health Ageing and Retirement in Europe - Methodology, MEA,Mannheim.

Ferri G., Frale C., and Ricchi O., “More households in the stock market through privatizations?Evidence from Italy”, Giornale degli Economisti, 118: 93–132.

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Year 2006

Atella V., Peracchi F., Depalo D., and Rossetti C., “Drug compliance and health outcomes:Evidence from a panel of Italian patients”, Health Economics, 15: 875–892. Previously pub-lished as CEIS Working Paper No. 76, University of Rome “Tor Vergata”.

Bruno G., Lupi C., Pappalardo C., and Piras G., “The cross-country effects of holidays ondomestic GDP’s”, ISAE Working Paper No. 63, Rome.

Depalo D., “Japan: The Case For A Taylor Rule? A Simple Approach”, Pacific EconomicReview, 11: 527–546.

Depalo D., Faini R., and Venturini A., “The social assimilation of immigrants”, IZA WorkingPaper No. 2439, Bonn.

Depalo D., and Peracchi F., “Labor market outcomes of natives and immigrants: Evidence fromthe ECHP”, Social Protection Discussion Paper No. 0615, World Bank, Washington.

Piras G., “Looking ahead: a review of more advanced topics in spatial econometrics”, in Arbia G.(ed.) Statistical Foundations of Spatial Econometrics: Application to Regional Convergence,Springer, Berlin.

Year 2007

Avarucci M., and Marinucci D., “Polynomial cointegration between stationary processes withlong memory”, Journal of Time Series Analysis, 28: 1467–9892. Previously published asCEIS Working Paper No. 99, University of Rome “Tor Vergata”.

Bartolucci F., and Nigro V., “Maximum likelihood estimation of an extended latent Markovmodel for clustered binary panel data”, Computational Statistics and Data Analysis, 51:3470–3483. Previously published as CEIS Working Paper No. 96, University of Rome “TorVergata”.

De Luca G., and Peracchi F. “A sample selection model for unit and item nonresponse in cross-sectional surveys”, CEIS Working Paper No. 99, University of Rome “Tor Vergata”.

Peracchi F., Perotti V., and Scarpetta S., “Informality and social protection: Preliminary resultsfrom pilot surveys in Bulgaria and Colombia”, Social Protection Discussion Paper No. 0717,World Bank, Washington.

Year 2008

Ales L., Carapella F., Maziero P., and Weber W.E., “A model of banknote discounts”, Journalof Economic Theory, 142: 5–27.

Ales L., and Maziero P., “Accounting for private information”, Federal Reserve Bank of Min-neapolis Working Paper 663.

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Botti F., Conte A., Di Cagno D., and D’Ippoliti C., “Risk attitude in real decision problems”,B.E. Journal of Economic Analysis and Policy, 8, Article 6 (Advances). Previously publishedas Quaderni DPTEA 144, LUISS Guido Carli, Rome.

Bruno G., Otranto E., “Models to date the business cycle: The Italian case”, Economic Mo-delling, 25: 899–911.

De Luca G., “SNP and SML estimation of univariate and bivariate binary-choice models”, StataJournal, 8: 190–220.

Frale C., and Veredas D., “A monthly volatility index for the US economy”, LLEE WorkingDocument No. 68, LUISS Guido Carli, Rome.

Macaro C., “The impact of vintages on the persistence of Gross Domestic Product shocks”,Economics Letters, 98: 301–308. Previously published as CEIS Working Paper No. 101,University of Rome “Tor Vergata”.

Peracchi F., and Tanase A.V., “On estimating the conditional expected shortfall”, AppliedStochastic Models in Business and Industry, 24: 471–493. Previously published as CEISWorking Paper No. 122, University of Rome “Tor Vergata”.

Year 2009

Avarucci M., and Velasco C., “A Wald test for the cointegration rank in nonstationary frac-tional systems”, Journal of Econometrics, 151: 178–189. Previously published as Faculty ofEconomics Research Memorandum RM/08/049, Maastricht University.

Daidone S., and D’Amico F., “Technical efficiency, specialization and ownership form: Evi-dences from a pooling of Italian hospitals”, Journal of Productivity Analysis, 32: 203–216.

Depalo D., “A seasonal unit-root test with Stata”, Stata Journal, 9: 422–438.

Peracchi F., and Perotti V., “Subjective survival probabilities and life tables: An empiricalanalysis of cohort effects”, Genus, 65: 23–57.

Year 2010

Anrıquez G., and Daidone S., “Linkages between the farm and non-farm sectors at the house-hold level in rural Ghana. A consistent stochastic distance function approach”, AgriculturalEconomics, forthcoming.

Arduini D., Belotti F., Denni M., Giungato G., Zanfei A., “Technology adoption and innovationin public services. The case of e-government in Italy”, Information Economics and Policy,forthcoming.

Bartolucci F., and Nigro V., “A dynamic model for binary panel data with unobserved hete-rogeneity admitting a

√n-consistent conditional estimator”, Econometrica, 78: 718-733. Pre-

viously published as CEIS Working Paper No. 98, University of Rome “Tor Vergata”.

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Belotti F., and Depalo D., “Translation from narrative text to standard codes variable inStata”, Stata Journal, forthcoming.

Conte A., Hey J.D., and Moffatt P.G., “Mixture models of choice under risk”, Journal of Econo-metrics, forthcoming. Previously published as Department of Economics Discussion Papers07/06, University of York.

De Luca G., and Peracchi F., “Estimating models with unit and item nonresponse from cross-sectional surveys”, Journal of Applied Econometrics, forthcoming.

Fenga L., and Politis D., “Bootstrap-based ARMA model selection”, Journal of Statistical Com-putation and Simulation, forthcoming.

Frale C., Marcellino M., Mazzi G.L., and Proietti T., “Surveys data as leading or coincident in-dex”, Journal of Forecasting, 29: 109-131. Previously published as Department of EconomicsWorking Paper 2008/17, European University Institure, Florence.

Frale C., and Proietti T., “New proposal for the quantification of qualitative survey data”,Journal of Forecasting, forthcoming. Previously published as CEIS Working Paper No. 102,University of Rome “Tor Vergata”.

Grassi S., and Proietti T., “Has the volatility of U.S. inflation changed and how?”, Journal ofTime Series Econometrics, forthcoming.

Macaro C., “Bayesian non-parametric signal extraction for Gaussian time series”, Journal ofEconometrics, forthcoming.

Nicoletti C., Peracchi F., and Foliano F., “Estimating income poverty in the presence of mea-surement error and missing data problems”, Journal of Business and Economic Statistics,forthcoming.

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Placement of former students

Laurence Ales (Ph.D., 2008), Assistant Professor, Department of Economics, Carnegie MellonUniversity, Pittsburgh, USA.

Marco Avarucci (Ph.D., 2007), Assistant Professor, Department of Quantitative Economics, Maas-tricht University, Maastricht, The Netherlands.

Anna Conte (Ph.D., 2007), Research Fellow, Max Planck Institute of Economics, Jena, Germany.(Senior Lecturer, University of Westminster, starting Fall 2010)

Giuseppe De Luca (Ph.D., 2007), Economist, ISFOL, Rome.

Silvio Daidone (Ph.D., 2010), Research Fellow, Centre for Health Economics, University of York,UK.

Francesco D’Amico (Ph.D., 2010), Research Officer, Health and Social Care Department, LondonSchool of Economics, UK.

Domenico Depalo (Ph.D., 2007), Economist, Bank of Italy, Rome.

Livio Fenga (Ph.D., 2010), Researcher, ISTAT.

Cecilia Frale (Ph.D., 2008), Economist, Italian Treasury, Rome.

Stefano Grassi (Ph.D., 2010), Post-Doctoral Researcher, University of Perugia.

Christian Macaro (Ph.D., 2007), Visiting Assistant Professor, Department of Statistics, DukeUniversity, Durham, USA.

Valentina Nigro (Ph.D., 2007), Economist, Bank of Italy, Rome.

Valeria Perotti (Ph.D., 2008), Economist, World Bank, Washington, USA.

Gianfranco Piras (Ph.D., 2006), Post-Doctoral Research Associate, Center for Geospatial Analysisand Computation, Arizona State University, Tempe, USA.

Claudio Rossetti (Ph.D., 2008), Post-Doctoral Researcher, LUISS “Guido Carli”, Rome.

Andrei Tanase (Ph.D., 2010), Economist, Romanian Central Bank.

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Program Coordinator:Professor Franco Peracchitel: +39 06 7259 5934e-mail: franco.peracchi@uniroma2.it

Program Administration:Valentina Vaiusotel: +39 06 7259 5645e-mail: valentina.vaiuso@uniroma2.it

Web page:http://www.economia.uniroma2.it/post-laurea/dottorati/AE/

Faculty Board:Vincenzo Atella (M.A., Stanford, 1989), Associate ProfessorFrancesco Bartolucci (Ph.D., Perugia, 1999), Professor, University of PerugiaSimone Borra, Associate ProfessorMarianna Brunetti (Ph.D., Bergamo, 2006), Assistant ProfessorFabio Busetti (Ph.D., LSE, 2001), Senior Researcher, Bank of ItalyMarco Centoni (Ph.D., La Sapienza, 1999), Assistant Professor, LUMSADecio Coviello (Ph.D., EUI, 2009), Assistant ProfessorGianluca Cubadda (Ph.D., La Sapienza, 1994), ProfessorAntonino Di Pino, Associate Professor, University of MessinaVincenzo Fazio, Professor, University of PalermoStefano Gagliarducci (Ph.D., EUI, 2005), Assistant ProfessorEnrico Giovannini, ProfessorLuigi Guiso (M.Phil, Essex, 1991), ProfessorStefano Herzel (Ph.D., Cornell, 1997), ProfessorSamantha Leorato (Ph.D., La Sapienza, 2002), Assistant ProfessorClaudio Lupi (D.Phil, Oxford, 1996), Associate Professor, University of MoliseMaura Mezzetti (Ph.D., Trento, 1997), Assistant ProfessorRoberto Monte (Ph.D., Naples, 1997), Assistant ProfessorAntonio Parisi (Ph.D., Padua, 2008), Assistant ProfessorFranco Peracchi (Ph.D., Princeton, 1987), ProfessorTommaso Proietti (Ph.D., LSE, 1996), ProfessorRoberto Rocci (Ph.D., La Sapienza, 1994), ProfessorFabiano Schivardi (Ph.D., Stanford, 1998), ProfessorDaniele Terlizzese (M.Phil, Cambridge, 1984), Director, EIEFDaniela Vuri (Ph.D., EUI, 2003), Assistant ProfessorPaolo Zaffaroni (Ph.D., LSE, 1997), Reader, Imperial College London

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Academic agreements:University of MessinaUniversity of MoliseUniversity of PalermoUniversity of Paris I (co-tutele)

Sponsors:Bank of Italy

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