My econometric half
I am Full Professor of econometrics at
of Economics - Ancona University (officially known as
Università Politecnica delle Marche -- boy, do I hate
this name). For e-mail communications, please
use this address.
I like doing different things. The list of my main works can be
The one thing I would say I'm quite good at is writing code; I've put
this to good use by contributing to the gretl
project (click here for more info).
Perhaps people who are into structural VARs will find my article
in structural VARs interesting;
paper version contains the same idea, but it's decidedly outdated
and abounds in typos and assorted mistakes. Here you'll find
the ox code to check identification
conditions. I also wrote (together with Sven Screiber)
package for estimating SVARs. If you try it out and spot any
mistakes, please tell me.
IV Interval Regression
Another article that a few people found useful is the one I wrote
together with Giulia Bettin
regression models with endogenous explanatory variables; the
title says it all.
You will find gretl code for doing IV interval
regression in this zip file. It
contains the same data that W. Greene uses in hist textbook to
illustrate ordinary IV estimation. The file "greene-ex.inp" contains
the example code. Unfortunately, we can't provide the data used in
the Empirical Economics article, as we have signed a strict
non-disclosure agreement, sorry.
To run the example, you should not need to modify any of the other
files, but of course you're welcome to study the code and any comment
is most welcome.
Giulia Bettin and I also wrote, together with Alberto Zazzaro,
a paper on
remittances by immigrants to Australia which attracted some
interest and was published on the Journal of Development
Economics. Apart from its content proper, a few people were
interested in the econometric techniques we employed. If you
download this zip file, you
will find the relevant gretl code on how to implement IV versions of
the Heckit and the double-hurdle estimators via LIML (no, we don't do
that funky nonparametric stuff here, thank you very much). I'd love to
give you the original Australian data to replicate the results in the
paper, but the NDA we signed forbids me to. Therefore, in the zip file
you will find a file, called "fakedata.gdt", containing artificial
data, which are simulated in such a way that the results you get are
roughly similar to those you find in the JDE paper.
Claudia Pigini and myself wrote a nice little piece of code to
estimate quickly and efficiently a variety of dynamic (that is, with
the lagged dependent variable among the regressors) binary response
models with panel datasets. It's called DPB, comes as a gretl package
and the documentation is available
a proper journal article is coming soon in the
JSS. Among the available
estimators you have a nice assortment of RE probit models, plus the QE
and Nigro (2010), which is more or less a FE estimator for dynamic
logit models (not exactly, but to give you the idea). It handles
unbalanced and gappy datasets, and it's relatively fast and robust.
It is my pride and privilege to contribute to the development of the
gretl econometric package. Gretl is
different from almost any other econometrics package, as it's released
under the GPL; this
means that copying and freely distributing the program is not only
perfectly legal, it's in fact encouraged. Clearly, this makes gretl
ideal for teaching (availability in several languages being an added
bonus point), but the most recent versions feature enough stuff to
make gretl not utterly useless for research work.
Nowadays, most advances in gretl happen through function
packages, that is, addons like you find on CRAN for R: have a
I've contributed quite a few.
Gretl is available for Windows, Mac OS X, Linux and BSD
(click here to
download). The software
review on gretl that you can find on the Journal of Applied
Econometrics is now very outdated; if you want to know what gretl
does and how, the easiest thing is to download it and to try it out
for yourselves: the user interface is so simple that everything should
be more or less obvious. Before downloading the program, you may want
to have a look
manuals; however, the manuals are included in the installer, so
you might as well grab the whole lot. Feel free to drop me an email
for suggestions and requests.
If you know a bit of C, you can even have a go at contributing
to have a look at the source code); not exactly easy-as-pie,
though. Moreover, compiling the source requires a reasonably
up-to-date Linux distibution (I
This is a tentative textbook for the Econometrics course I teach at
the undergraduate level. You can download it
Comments are most welcome.
Lecture notes on time series analysis (in Italian -- December
2008) Here are my lecture notes on time series analysis (in
Italian). There will never be a "final version". This one is
substantially revised and enlarged and there's even a preliminary
attempt to write a chapter on GARCH models. Thanks in advance to
anyone who spots and reports any error, omission or general
blunder. If you like them, please drop me an email (shameless
Note:I've been working on those lecture notes too little
recently. I must find some time to update them. Damn.
di analisi delle serie storiche (pdf format, about 1.8Mb)
Data in gretl format Here
you'll find a zip-compressed file holding the data (in gretl
format) used in the examples.
"Elementi di Econometria" (in Italian)