My econometric half
In italiano
I am an Associate Professor of econometrics at the Department of
Economics - Ancona University (officially known as
Università Politecnica delle Marche -- yuck). For e-mail
communications, please use this address.
Research
My research activity is somewhat "scattered". I do
many different things because, in my opinion, being the only
econometrician in a department is a bit like being a country doctor:
you can't be picky about what you do. Most of the time, you work on
whatever circumstances dictate. I'm not complaining; quite the
contrary, I actually like it. The list of my main works can be seen here, but
perhaps people who are into structural VARs will find my article on identification
in structural VARs interesting; the working 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version contains the same idea, but it's decidedly outdated and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.
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.
Gretl is available for Windows, Mac OS X, Linux and BSD. The latest
official release is version 1.6.5 (click here for the
windows installer). 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Econometrics is now very outdated; if you want to know what gretl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 at the
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 yourself (click here 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 suggest Debian or Ubuntu).
Teaching
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
ego-feeding).
Note:I've been working on those lecture notes too little
recently. I must find some time to update them. Damn.
Appunti
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.
