Contact

All Stories

  1. An identification and testing strategy for proxy-SVARs with weak proxies

    Article • Journal of Econometrics, January 2024, Elsevier

    Professor Luca Fanelli

  2. Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks

    Article • European Economic Review, November 2022, Elsevier

    Professor Luca Fanelli

  3. Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?*

    Article • Oxford Bulletin of Economics and Statistics, August 2022, Wiley

    Professor Luca Fanelli

  4. Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models

    Article • Journal of Applied Econometrics, October 2021, Wiley

    Professor Luca Fanelli

  5. Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

    Article • SSRN Electronic Journal, January 2020, Elsevier

    Professor Luca Fanelli

  6. Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

    Article • SSRN Electronic Journal, January 2020, Elsevier

    Professor Luca Fanelli

  7. Exogenous uncertainty and the identification of structural vector autoregressions with external instruments

    Article • Journal of Applied Econometrics, September 2019, Wiley

    Professor Luca Fanelli

  8. Uncertainty across volatility regimes

    Article • Journal of Applied Econometrics, December 2018, Wiley

    Professor Luca Fanelli

  9. Identification and Estimation Issues in Structural Vector Autoregressions with External Instruments

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Professor Luca Fanelli

  10. Indeterminate forecast accuracy under indeterminacy

    Article • Journal of Macroeconomics, September 2017, Elsevier

    Professor Luca Fanelli

  11. GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES

    Article • Macroeconomic Dynamics, June 2017, Cambridge University Press

    Professor Luca Fanelli

  12. Co-integration Rank Determination in Partial Systems Using Information Criteria

    Article • Oxford Bulletin of Economics and Statistics, June 2017, Wiley

    Professor Luca Fanelli

  13. Misspecification and Expectations Correction in New Keynesian DSGE Models

    Article • Oxford Bulletin of Economics and Statistics, January 2016, Wiley

    Professor Luca Fanelli

  14. Frequentist Evaluation of Small DSGE Models

    Article • Journal of Business and Economic Statistics, July 2015, Taylor & Francis

    Professor Luca Fanelli

  15. Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to US Monetary Policy

    Article • Oxford Bulletin of Economics and Statistics, February 2015, Wiley

    Professor Luca Fanelli

  16. Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test

    Article • Journal of Applied Econometrics, October 2014, Wiley

    Professor Luca Fanelli

  17. Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

    Article • Journal of Econometrics, September 2012, Elsevier

    Professor Luca Fanelli

  18. Speed of adjustment in cointegrated systems

    Article • Journal of Econometrics, September 2010, Elsevier

    Professor Luca Fanelli

  19. Simulation-based tests of forward-looking models under VAR learning dynamics

    Article • Journal of Applied Econometrics, January 2010, Wiley

    Professor Luca Fanelli

  20. International dynamic risk sharing

    Article • Journal of Applied Econometrics, January 2008, Wiley

    Professor Luca Fanelli

  21. Evaluating the New Keynesian Phillips Curve under VAR-based Learning

    Article • Economics, January 2008, ZBW - German National Library of Economics

    Professor Luca Fanelli

  22. Tests for cointegration rank and choice of the alternative

    Article • Statistical Methods & Applications, December 2007, Springer Science + Business Media

    Professor Luca Fanelli

  23. Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area

    Article • Oxford Bulletin of Economics and Statistics, September 2007, Wiley

    Professor Luca Fanelli

  24. PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY

    Article • Econometric Theory, September 2007, Cambridge University Press

    Professor Luca Fanelli

  25. Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration

    Article • Journal of Economic Dynamics and Control, March 2006, Elsevier

    Professor Luca Fanelli

  26. Dynamic adjustment cost models with forward‐looking behaviour

    Article • Econometrics Journal, January 2006, Oxford University Press (OUP)

    Professor Luca Fanelli

  27. Regional consumption dynamics and risk sharing in Italy

    Article • International Review of Economics & Finance, January 2006, Elsevier

    Professor Luca Fanelli

  28. Testing the purchasing power parity through I(2) cointegration techniques

    Article • Journal of Applied Econometrics, January 2005, Wiley

    Professor Luca Fanelli

  29. A cointegrated VECM demand system for meat in Italy

    Article • Applied Economics, September 2002, Taylor & Francis

    Professor Mario Mazzocchi, Professor Luca Fanelli

  30. A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables

    Article • Journal of Economic Dynamics and Control, January 2002, Elsevier

    Professor Luca Fanelli

  31. Evaluating the New Keynesian Phillips Curve Under Var-Based Learning

    Article • SSRN Electronic Journal, Elsevier

    Professor Luca Fanelli