Curriculum Vitae. Lecture, Department of Economics and Finance, Brunel University, London, UK.

Transcription

1 Curriculum Vitae Personal data Name: Mauro Costantini Address: Department of Economics and Finance, Brunel University, Uxbridge, UB8 3PH, London, UK Mobile Phone : 0043(0) , Mauro.Costantini@brunel.ac.uk Current Position Lecture, Department of Economics and Finance, Brunel University, London, UK. Education Assistant Professor, Department of Economics, Vienna, Austria Post-doctorate. Area of research: Econometric Modelling and Forecasting, ISAE, Institute for Studies and Economic Analyses, Piazza dell Indipendenza, 4, 00185, Rome, Italy, tel Post-doctorate. Area of research: Econometric of Growth. Cross- Section and Panel Data Analysis, Department of Economic Theory and Quantitative Methods, University of Rome, La Sapienza (20/03) Ph.D in Economic Analysis, Mathematics and Statistics, University of Rome, La Sapienza. Thesis: Common Trends and Common Cycles in European Labour Market. Supervisor: Prof. Franco Giusti. 1996: Degree, Political economy, University of Rome La Sapienza, Awarded cum Laude. Thesis: The Twin Deficit Hypothesis: An application. 1

2 Professional Training 2008 (June-July) Attended courses at ISAE: Monte Carlo Methods and Bootstrap, Prof. S. Fachin (30/08) Seminar: The Future of Economic Forecasting, Clive Granger, Department of Statistics, University of Florence. 2001(15-17/11). School of Econometrics: Time Series Analysis: Arima Models, Cointegration and Stochastic Volatility, Greta Associati and University of Venice, Italy : Attended courses at Master in Quantitative Methods, University of Rome, Tor Vergata: Statistics, Probability, Stochastic process, Statistical Inference, Nonparametric statistics. Econometrics: Time Series Analysis, Panel Data, Simulation methods. 2000(5-16/6) Summer School of Econometrics: Econometric Theory, Time Series Analysis Application, CIDE(Centro Interuniversitario di Econometria). Bertinoro, Forl, Italy (19-22/9) Summer School of Statistics and Econometrics: Non-linear Time Series: Theory and Applications. Italian School of Statistics, Salerno (Italy) School of economics: Credit risk and Monetary Economics, Department of Public Economy, University of Rome, La Sapienza, Rome, Italy (26-31/9) Summer school of International Finance, Unicredit Bank, San Felice Circeo, Rome, Italy 1998(19-23/10): Summer School of International Finance, Unicredit Bank, San Felice Circeo, Rome, Italy Teaching Experience 2011 ( /2) Forecasting Macroeconomic Time Series (lecture), School of Finance and Economics, Department of Economic Science, Rome ( /5) Fiscal Forecasting (master course), Master in Applied Econometrics, School of Finance and Economics, Department of Economic Science, Rome. 2

3 2010 (14-28/4) Advanced Econometrics: Time series analysis (master course), Master in Economics, Department of Economics, University of Vienna Applied Econometrics (first year undergraduate course), University of Vienna, Faculty of Economics, Vienna, Austria Introduction to Econometrics (first year undergraduate course), University of Vienna, Faculty of Economics, Vienna, Austria ( /9) Fiscal Forecasting (master course), Master in Applied Econometrics, School of Finance and Economics, Department of Economic Science, Rome (3-24/6) Advanced Econometrics: Nonstationary Panels (master course), Master in Economics, Department of Economics, University of Vienna ( /5) Nonstationary Panels (master course), Master in Applied Econometrics, School of Finance and Economics, Department of Economic Science, Rome ( /5) Forecasting Macroeconomic Time Series (lecture), School of Finance and Economics, Department of Economic Science, Rome (16-23/4) Nonstationary Panels (master course), Master in Applied Econometrics, School of Finance and Economics, Department of Economic Science, Rome (4-25/3) Advanced Econometrics: Time series analysis (master course), Master in Economics, Department of Economics, University of Vienna (15-23/12) VAR, SVAR with application to Fiscal Policy (lecture), School of Finance and Economics, Department of Economic Science, Rome Applied Econometrics (first year undergraduate course), University of Vienna, Faculty of Economics, Vienna, Austria Introduction to Econometrics (first year undergraduate course), University of Vienna, Faculty of Economics, Vienna, Austria (22-24/9) Economic Forecasting: Selecting Methods, Evaluating Models, Encompassing and Combining Forecasts (lecture), School of Finance and Economics, Department of Economic Science, Rome (18-19/6) Models for High Frequency Data (lecture), School of Finance and Economics, Department of Economic Science, Rome (26/5-10/6) Time Series Analysis (lecture), School of Finance and Economics, Department of Economic Science, Rome (13-21/5) Introduction to Econometrics (lecture), School of Finance 3

4 and Economics, Department of Economic Science, Rome (10-18/4) Nonstationary Panels (master course), Master in Applied Econometrics, School of Finance and Economics, Department of Economic Science, Rome. 2007(3-11/5) Nonstationary Panels (master course), Master in Applied Econometrics, School of Finance and Economics, Department of Economic Science, Rome Introduction to stochastic process (second year undergraduate course), University of Viterbo Tuscia Econometrics (first year undergraduate course), Faculty of Economics, University of Rome La Sapienza. 2003(14-23/01) Probability, Statistical Inference and Time Series Econometrics (master course), Master in Economics and Finance, Coordinator Prof. G. Szego, Ernest & Young Business School, Rome Teaching Assistant (Prof. F. Giusti): Statistics and Econometrics (first and second year undergraduate course), Faculty of Political Science, University of Rome La Sapienza Teaching Assistant: Macroeconomics and International Economics (master course), Faculty of Economics and Politics, Master, University of Rome, LUISS Teaching Assistant: Economic Policy and International Macroeconomics (master course), Italian Society for International Organization, Master, Rome. PhD Supervision Current Students Mr. Nino Manuel Speziale (University of Salerno) Ms. Shima Gaudarzi (University of Vienna) Mr. Ingo Wolfgang Jungwirth (University of Vienna) Working experience Ministry of labour. Research program: The impact of social transfers on Italian municipality. 4

5 MURST 2000 Research Program: Some Aspects of the Relationship Between Demographic Evolution and Social and Economic Development, coordinator: Prof. Marcello Natale, Department of Demographic Analysis, University of Rome, LA SAPIENZA. 1999(1-4/31-7) Economic Research program: The Twin Deficit Hypothesis: an Empirical Analysis, LUISS, University of Rome Demographic Research Program: Forecasting Italian Population Growth Rate in , coordinator dott. Paola Giacomello, Department of Economic Theory and Quantitative Methods, University of Rome, La Sapienza. Publications International Journals 1. Testing for rational bubbles in the presence of structural breaks: evidence from nonstationary panels, (with R. Cerqueti) Journal Banking and Finance (forthcoming). 2. Combining forecasts based on multiple encompassing tests in a macroeconomic core system, (with R. Kunst) Journal of Forecasting (forthcoming). 3. A note on the asymptotic distribution of a perron-type innovational outlier unit root tests with a break, (with S. Popp), Statistical Papers, (forthcoming). 4. New Evidence on the Convergence of International Income from a Group of 29 Countries, (with A. Sen), Applied Economics Letters, (forthcoming) 5. Hierarchical procedure for the combination of forecasts, (with C. Pappalardo ), International Journal of Forecasting, 26, , Some nonparametric asymptotic results for a class of stochastic processes, (with R. Cerqueti), Communications in Statistics - Theory and Methods, 39, ,

6 7. A panel cointegration approach to estimating substitution elasticities in consumption, (with M. Auteri), Economic Modelling, 27, , Asymptotic solutions of a generalized eigenvalue problem, (with R. Cerqueti) Applied Mathematical Sciences 3, , Panel Cointegration and the Neutrality of Money, (with J. Westerlund), Empirical Economics, 36, 1-26, Cointegration Analysis for Cross-sectionally Dependent Panels. The Case of Regional Production Functions, (with S. Destefanis), Economic Modelling, 26, , On the Asymptotic Behavior of Random Matrices in a Multivariate Statistical Model, (with R. Cerqueti), Statistics and Probability Letters 78, , Simple Panel Unit Root Tests to Detect Changes in Persistence (with L. Gutierrez), Economics Letters, vol. 96, , An Analysis of Inflation and Interest Rates. New Panel Unit Root Results in the Presence of Structural breaks (with C. Lupi), Economics Letters, 95, , Co-movements and Correlations in International Stock Market (with R. D Ecclesia), The European Journal of Finance, 12, , Divergence and Long-Run Equilibria in Italian Regional Unemployment Rates, (with C. Lupi), Applied Economics letters, 13, 899-, Testing the Stochastic Convergence of Italian Regions using panel data (with G. Arbia), Applied Economics letters, 13, , Stochastic convergence among European economies (with C. Lupi), Economics Bulletin, vol. 3, No. 38, 1-17, Fiscal Policy and Economic Growth: the Case of Italian Regions (with M. Auteri), The Review of Regional Studies, vol. 34, n.1, 72-93,

7 19. Is Social Protection a Necessity or Luxury good? New Multivariate Cointegration Panel Data Results (with M. Auteri) Applied Economics, 36, , Proceedings 1. A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case (with R. Cerqueti and C.Lupi), American Statistical Association, Business and Economic Statistics Section, 2009 Working paper 1. FDR Control in the Presence of an Unknown Correlation Structure, (with R. Cerqueti and C. Lupi), University of Molise, Dept. SEGeS, Economics & Statistics Discussion Papers esdp11059, Molise, Italy, A Simple Panel-CADF Test for Unit Roots, (with C. Lupi), Institute for Advanced Studies, Economics Series, n.261, Vienna, Forecast combination based on multiple encompassing tests in a macroeconomic DSGE system, (with U. Gunter and R. Kunst), Institute for Advanced Studies, Economics Series, Vienna, Financial Restraints and Private Investment: Evidence from a Nonstationary Panel, (with P. Demetriades, G. James and K. Lee), Working Paper No. 10/6, Department of Economics, University of Leicester, UK, New panel tests to assess inflation persistence, (with R. Cerqueti and L. Gutierrez), Working Papers , Department of Finance and Economic Sciences, Macerata University, Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production, (with Westerlund, J., Paresh, N. and Popp, S.), Department of Economics, University Göteborg, Economics Series, n.377, Sweden,

8 7. Combining forecast based on multiple encompassing tests in a macroeconomic core system, (with R. Kunst), Institute for Advanced Studies, Economics Series, n.243, Vienna, Do Clean Hands Ensure Healthy Growth? Theory and Practice in the Battle Against Corruption, (with R. Coppier and G. Piga, Institute for Advanced Studies, Economics Series, 2009, Vienna. 9. Combination of forecast methods using encompassing tests: An algorithmbased procedure, (with C. Pappalardo), Institute for Advanced Studies, Economics Series, n.228, 2008, Vienna. 10. Estimates of Structural Changes in the Wage Equation: Some Evidence for Italy, (with S. de Nardis), ISAE working paper, Italy, n.86, Change in persistence tests for panels, (with R. Cerqueti and L. Gutierrez), Economics & Statistics Discussion Papers esdp07040, University of Molise, Dept. SEGeS, Italy, A Panel-CADF test for unit roots, (with C. Lupi and S. Popp), Economics & Statistics Discussion Papers ESDP07039, University of Molise, Dept. SEGeS, Italy, Fractional nonparametric cointegration analysis, (with R. Cerqueti), ISAE working paper, Italy, n.78, Panel cointegration and the Neutrality of Money, (with J. Westerlund) University of Lund, Working paper, Sweden, n. 18., Testing for rational bubbles, (with R. Cerqueti), Economics & Statistics Discussion Papers ESDP06030, University of Molise, Dept. SEGeS, Unit root and cointegration tests for cross-sectionally correlated panels. Estimating regional production functions, (with S. Basile and S. Destefanis), University of Salerno, Discussion Paper n. 94, CELPE, Italy,

9 17. Generalization of a nonparametric co-integration analysis for multivariate integrated process of an integer order, (with R. Cerqueti), Economics & Statistics Discussion Papers edsp05026, University of Molise, Dept. SEGeS, Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes, (with R. Cerqueti), Economics & Statistics Discussion Papers edsp05027, University of Molise, Dept. SEGeS, Italy, Intratemporal substitution and government spending: unit root and cointegration test for cross section correlated panels, (with M. Auteri), Siep Conference 2005, Working paper 419, University of Pavia. 20. EMU Convergence. An Empirical Analysis, Working Paper, n.24, Department of Economic Theory and Quantitative Methods, University of Rome, La Sapeinza, Italy, Contributions to volumes 1. Crime, Income inequality and Economic Growth: a Granger causality test with Italian panel data (with M. Auteri), University of Cagliari, Franco Angeli Editore Are Benefits luxury goods? A cointegration panel data approach (with M. Auteri) Vol. XX, University of Cagliari, , Franco Angeli Editore Statistical Analysis of the Main Determinants of the Human Development. The Experience of some Asian and African Countries (with P. Giacomello), in Siamo pochi o siamo troppo? Alcuni aspetti delle relazioni tra evoluzione demografica e sviluppo economico e sociale, Franco Angeli editore, Revised and resubmitted A Simple Panel-CADF Test for Unit Roots, with C. Lupi (Oxford Bulletin of Economics and Statistics) 9

10 Financial Restraints and Private Investment: Evidence from a Nonstationary Panel, with P. Demetriades, G. James and K. Lee (Economic Inquiry) New results on the convergence of random matrices, with R. Cerqueti (Statistics) Under submission 1. Forecast combination based on multiple encompassing tests in a macroeconomic DSGE system, U. Gunter and R. Kunst. 2. The role of monitoring of corruption in a simple endogenous growth model, with R. Coppier and G. Piga. 3. Bootstrap innovational outlier unit root tests in dependent panels, with L. Gutierrez 4. On the Distribution of a Simple Test for Trending and Breaking Series, with A. Sen 5. Crime, deterrence and economic conditions in Italian regions. New evidence based panel data, N. Speziale 6. Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production, with P.K. Narayan, S. Popp and J. Westerlund Conferences 2011 (21-26/8) On the usefulness of the Diebold-Mariano test in the selection of predictions models: Some Monte Carlo evidence, ISI, 58th Congress, Dublin (21-26/8) FDR Control in the Presence of an Unknown Correlation Structure, ISI, 58th Congress, Dublin (26-29/6) On the usefulness of the Diebold-Mariano test in the selection of predictions models: Some Monte Carlo evidence, 31st International Symposium on Forecasting, Prague, Czech Republic. 10

11 2010 (10-12/12) On the usefulness of the Diebold-Mariano test in the selection of predictions models: Some Monte Carlo evidence, 4th CSDA International Conference on Computational and Financial Econometrics, University of London, UK (20-23/6) Forecast combination based on multiple encompassing tests in a macroeconomic DSGE system, (U. Gunter), 30th Annual International Symposium on Forecasting, San Diego, USA (7-8/5) Forecast combination based on multiple encompassing tests in a macroeconomic DSGE system, (U. Gunter), QED Meeting, Alicante Spain (29-31/10) Combining forecasts based on multiple encompassing tests in a macroeconomic core system (R. Kunst), 5th Nordic Econometric Meeting, Lund, Sweden. 2009(17/9) Do Clean Hands Ensure Healthy Growth? Theory and Practice in the Battle Against Corruption (R. Coppier), Annual Conference, European Law & Economics Association, University of Rome LUISS, Italy (8/8) Density Functions of Multivariate ADF Tests with Cross Sectional Dependence (R. Cerqueti), Joint Statistical Meetings, Washington, USA (21/4) Financial Restraints, Globalization and Private Investment: Evidence from a Nonstationary Panel (J. Gregory), Royal Economic Society Conference, University of Surrey, UK (28/3) Combining forecasts based on multiple encompassing tests in a macroeconomic core system, First Macroeconomic Forecasting Conference, Rome, Italy (28/3) A Hierarchical procedure for the combination of forecasts, First Macroeconomic Forecasting Conference, Rome, Italy (30-31/1) A Panel-CADF Test for Unit Roots with an application to PPP, Third Italian Congress of Econometrics and Empirical Economic, Ancona, Italy (22-25/6) Combination of forecast methods using encompassing tests: An algorithm-based procedure, International Symposium on Forecasting, ISF, Nice, France (25-26/1) Change in persistence tests for panels, Recent Developments in Econometric Methodology, First International Conference in 11

12 Memory of Carlo Giannini, Bergamo, Italy (22-25/8) Panel CADF test for unit roots, Conference in honour of David Hendry, Oxford University, Oxford (23/2) Nonparametric Fractional Cointegration Analysis, 2nd Tinbergen Institute Conference 20 Years of Cointegration: Theory and Practice in Prospect and Retrospect Rotterdam, Netherlands (25/1) Unit root and cointegration tests for cross-sectionally correlated panels. Estimating regional production functions, Second Italian Congress of Econometrics and Empirical Economics, Rimini, Italy (25/1) Panel Cointegration and the Neutrality of Money, Second Italian Congress of Econometrics and Empirical Economics, Rimini, Italy (25/1) Nonparametric Fractional Cointegration Analysis, Second Italian Congress of Econometrics and Empirical Economics, Rimini, Italy (2/9) Panel Cointegration and the Neutrality of Money, International conference for the management of risk factors in economically relevant human activities II, Rome, Italy (29-9/1-10) Generalization of a nonparametric co-integration analysis for multivariate integrated process of an integer order, Unit root and cointegration testing, International conference, University of Algarve, Faro, Portugal (16/9) Intratemporal substitution and government spending: unit root and cointegration tests in a cross section correlated panel, Public sector, XVI Scientific Conference of Italian Society of Public Economy, University of Pavia, Italy (3/9): Speculative bubbles in International stock market. A Panel Cointegration analysis, International conference for the management of risk factors in economically relevant human activities I, University of Tuscia, Viterbo, Italy (10/6): Do European Economies Converge? A Nonstationary Panel Data Analysis, First Workshop on Dynamic Econometrics, in memory of Carlo Giannini, Pavia, Italy (4/4): A Correlation Among Stock Market Principal Component Analysis, Conference on Computational Econometrics and Statistics, Neuchâtel, Switzerland (3/4): Testing the Stochastic Convergence of Italian Regions using 12

13 panel data, Conference on Computational Econometrics and Statistics, Neuchâtel, Switzerland. 2003(3-4/10). Fiscal Policy and Economic Growth: the Case of Italian Regions, Rights, Rules and Market, XV Scientific Conference of Italian Society of Public Economy, University of Pavia, Italy. 2003(7/7): Co-movements and Correlation in International Stock Market, International Forum of Operational Research., Bogazici University, Department of Industrial Engineering, Istanbul, Turkey (30/5). Workshop on the Relationship between Demographic Evolution and Social and Economic Development. Paper presented: Statistical Analysis of the Main Determinants of the Human Development. The Experience of Some Asian and African Countries, Department of Economic Theory and Quantitative Methods, University of Rome, La Sapienza, Italy. Invited lectures 2010 (5/5) A panel cointegration approach to estimating substitution elasticities in consumption, Newcastle University, Business school, Newcastle, UK (30/3) A panel cointegration approach to estimating substitution elasticities in consumption, Department of Public Institutions, Economics and Society, Università Roma Tre, Italy (20/11) A Panel-CADF Test for Unit Roots with an application to PPP, Institute for Advanced Studies, Vienna (1/10) Change in persistence tests for panels, University of Leicester, Department of Economics, UK (6/2) Change in persistence tests for panels, University of Vienna, Department of Economics, Austria. 2007(30/5) Change in persistence tests for panels, Faculty of Economics, University of Molise, Dept. SEGeS, Italy 2007 (30/5) Detecting bubbles in stock market: new international evidence, Faculty of Economics, University of Molise, Dept. SEGeS, Italy (23/3) Simple Panel Unit Root to Detect Changes in Persistence, Faculty of Economics, University of Molise, Dept. SEGeS, Italy (16/3) Simple Panel Unit Root to Detect Changes in Persistence, 13

14 Ente Einaudi, Rome, Italy (23/11) Generalization of a nonparametric co-integration analysis for multivariate integrated process of an integer order, Faculty of Economics, Department of Statistics, Ca Foscari University, Venice, Italy. Work in Progress Simple panel stationary tests against changes in persistence, with R. Cerqueti and L. Gutierrez. Testing for Error Correction in Spatial Panels, with F. Moscone and E. Tosetti. Fractional nonparametric co-integration analysis, with R. Cerqueti and K. Lasak. Testing integration and cointegration in macro-panels: Do FDR and q- values help?, with C. Lupi and R.Cerqueti Density Functions of Multivariate ADF Tests with Cross Sectional Dependence, with C. Lupi and R. Cerqueti On the use and misuse of correlations in analysis business cycle convergence, M. Massmann Forecasting industrial production using factor models and business survey data Real Time Data and Combination Forecasting, with C. Pappalardo. Panel cointegration tests based on two stage procedure, with C. Hanck. New Perron-type innovational outlier unit root test with multiple breaks, with A. Sen Perron-type innovational outlier unit root test in the Presence of an Innovation Variance Break, with A. Sen. Multiple encompassing tests for nested models, G. Chevillon. How do the steps-ahead forecast affect the weight in forecast combinations?, G. Chevillon. New panel tests for testing structural breaks in dynamic factor models, R. Cerqueti and L. Gutierrez. A simple test for multiple structural changes in time series, S. Goudarzi Filtering analysis in case of structural changes, S. Goudarzi Neural network forecasting in presence of structural changes, S. Goudarzi 14

15 An analysis of crime, deterrence and economic determinant in Italian regions. New evidence based on panel data, N. Speziale Crime, education and economic determinants: An analysis based on OECD data, N. Speziale On the usefulness of the Diebold-Mariano test in the selection of predictions models: Some Monte Carlo evidence, R. Kunst Forecasting Industrial Production with Singular Spectrum Analysis, H. Hassani. Referee assignments Applied Economics, Applied Economics Letters, American Journal of Economics and Sociology, Economics Bulletin, Economics Letters, Economic Modeling, Emerging Markets Finance and Trade, Empirical Economics, European Journal of Finance, European Review of Agricultural Economics, Italian Journal of Regional Science, Journal of Statistical Software, Middle East Development Journal, National Science Foundation, Regional Science and Urban Economics, The Annals of Regional Science. Research Interests Econometrics of Panel data Time series econometrics Econometrics and Statistics of Financial Markets Time Series Forecasting Computer Skills Software: Word, Excel, Power Point, Latex. Econometric and Statistical Package: Eviews6, Gauss6.0, Matlab, PG-Give 10.0, Rats 6, Stata

16 Languages Italian: Native English: Fluent Spanish: Fluent German: Basic June