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First Italian Congress of Econometrics and Empirical Economics

Università Ca’ Foscari, Venezia, Italy - Dipartimento di Scienze Economiche
Aula Magna, S. Giobbe 873 – 30121 Venezia
January 24-25 , 2005

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Monday 24th


08:00 REGISTRATION DESK OPENS


8:45 – 09:00 OPENING

GUIDO GAMBETTA (CiDE President)

09:00 – 11:00 CONTRIBUTED SESSIONS

Aula Magna: Applied Microeconomics

Rinaldo Brau, MATTEO LIPPI BRUNI and Anna Maria Pinna
“Public vs private demand for covering long term care expenditures”

LAURA SERLENGA and Yongcheol Shin
“Gravity Models of the Intra-EU Trade: Application of the Hausman-Taylor Estimation in Heterogeneous Panels with Common Time-specific Factors”

Gianna Boero, TIZIANA LAURETI and Robin Naylor
“University Reform in Italy: an econometric analysis of student progression”

Cheti Nicoletti and FRANCO PERACCHI
“The effects of income imputation on micro analyses: Evidence from the ECHP”

Aula 3: Multivariate Volatility Models

GIUSEPPE STORTI
“A multivariate Conditional Heteroskedastic model with asymmetric time-varying conditional correlations”

Massimiliano Caporin and PAOLO PARUOLO
"Spatial effects in multivariate ARCH"

Giampiero M. Gallo and EDOARDO OTRANTO
“Contagion and Interdependence in Financial Markets: A New Approach”

M. Hashem Pesaran and PAOLO ZAFFARONI
“Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management”

Aula 7 : Applied Industrial Economics

MARIA LUISA MANCUSI
"International Spillovers and Absorptive Capacity: A Cross-country Cross-sector Analysis Based on European Patents and Citations"

ANTONIO MUSOLESI
"Diffusion des connaissances, innovation et productivitι : une analyse microιconomιtrique des services franηais aux entreprises sur donnιes CIS"

PAOLO GHINETTI
“Technology Innovations, Organisational Changes and Firms’ Wages in Italy”

ANNALISA CRISTINI, Alessandro Gaj and Riccardo Leoni
“The Extent of Complementarity between Workplace Practices and New Technology”

Aula 27: Household Portfolio

SERGIO PASTORELLO
“Mean - Variance Econometric Analysis of Household Portfolios”

Monica Paiella, ANDREA TISENO
"Stock market optimism and participation cost: a mean-variance estimation”

MONICA PAIELLA
“The foregone gains of incomplete portfolios”

Loriana Pelizzon and GUGLIELMO WEBER
“Are Household Portfolios Efficient? An Analysis Conditional on Housing”

Aula 5: Forecasting

MASSIMILIANO CAPORIN and Domenico Sartore
“Methodological aspects of time series back-calculation”

Gianna Boero and EMANUELA MARROCU
"Evaluating non-linear models on point and interval forecasts: an application with exchange rate"

Carlo A. Favero and OTTAVIO RICCHI and Cristian Tegami
“Forecasting Italian inflation with large datasets and many models”

MASSIMILIANO MARCELLINO, James H. Stock and Mark W. Watson
“A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series”

11:00 – 11:30 COFFE BREAK


11:30 – 13:00 CONTRIBUTED SESSIONS

Aula Magna: Panel Cointegration

STEFANO FACHIN
“Long-Run Trends in Internal Migrations in Italy: A Study in Panel Cointegration with Dependent Units”

Chihwa Kao, LORENZO TRAPANI and Giovanni Urga
"A unified asymptotic framework for panel data models with latent variables "

JOERG BREITUNG and Samarjit Das
“Panel Unit Root Tests Under Cross Sectional Dependence”

Aula 3: Sub-national Regional Economics

RITA CAPARIELLO and Roberta Zizza
“Economia Sommersa e Contesto Istituzionale ed Economico: Un’Analisi Regionale”

CAMILLA MASTROMARCO and Ulrich Woitek
"Public Infrastructure Investment and Efficiency in Italian Regions"

Peter Egger and MICHAEL PFAFFERMAYR
"Spatial beta -and sigma -convergence: theoretical foundation, econometric estimation and an application to the growth of European regions”

Aula 7: Wages

ORIETTA DESSY
“The extent of nominal wage rigidity in Europe: estimates from the Europanel”

Francesco Devicienti, AGATA MAIDA and Paolo Sestito
“Nominal and Real Wage Rigidity: An Assessment Using Italian Microdata”

Sabrina Di Addario and ELEONORA PATACCHINI
“Is there an Urban Wage Premium in Italy?”

Aula 27: Applied Microeconomics 1

Fabrice Barthιlιmy, ALESSANDRA MICHELANGELI and Alain Trannoy
“Do sellers cheat with figures ?”

FRANCESCO COLUMBA
“Demand Deposits and Transaction Technology Innovation”

Mario Calderini, Chiara Franzoni and ANDREA VEZZULLI
"Scientific Eminence, Quality of Research and The Decision to Patent in Academic Career. An Event History Analysis"

Aula 5: Applied Microeconomics 2

LUCA PIERONI and Matteo Ricciarelli
“Modelling Dynamic Storage Function in Commodity Markets: Theory and Evidence”

MARIO PADULA
“Euler Equations and Durable Goods”

CINZIA DARAIO and Lιopold Simar
“Conditional Nonparametric Frontier Models for Convex and Non Convex Technologies: a Unifying Approach”

13:00 – 14:30 LUNCH

14:30 – 16:00 CARLO GIANNINI LECTURES

Chair: Giovanni Urga

ORAZIO ATTANASIO and Nicola Pavoni
"Testing Private Information Models with Asset Accumulation"

FEDERICO BANDI
”Full-information transaction costs”

16:00 – 16:30 COFFE BREAK


16:30 – 18:30 CONTRIBUTED SESSIONS

Aula Magna: Labor Market Policy

Daniele Feliziani and MATTIA MAKOVEC
"Returns to degree choice and the labor market outcomes of Italian graduates"

Clemente de Lucia and MARA MEACCI
“Does Job Security Matter for Consumption? An Analysis on Italian Microdata”

GIACOMO DE GIORGI
“ Long Term Effects of a Mandatory Multistage Program: The New Deal for Young People (NDYP) in the UK”

Adriano Paggiaro, ENRICO RETTORE and Ugo Trivellato
“The Impact of the Italian “Mobility Lists” on Employment Chances: New Evidence from Linked Administrative Archives”

Aula 3: Multivariate Dynamic Models

Christophe Planas, ALESSANDRO ROSSI and Gabriele Fiorentini
“Bayesian Analysis of Output Gap”

Fabio Canova, MATTEO CICCARELLI and Eva Ortega
“Similarities and Convergence in G-7 Cycles”

Gianni Amisano and LOREDANA FEDERICO
"Alternative Time-Varying Parameter Specifications for Bayesian VAR Models"

Bertrand Candelon and GIANLUCA CUBADDA
“Testing for Parameter Stability in Dynamic Models across Frequencies”

Aula 7: Applied Macroeconomics

Fabio Canova and LUCA GAMBETTI
“Structural changes in the US economy: Bad Luck or Bad Policy?”

Davide Fiaschi and ANDREA M. LAVEZZI
“Nonlinear Growth and the Productivity Slowdown”

Mauro Napoletano, ANDREA ROVENTINI and Sandro Sapio
“Are Business Cycles All Alike? A Bandpass Filter Analysis of the Italian and US Cycles”

CHRISTOPHE PLANAS, Werner Roeger and Alessandro Rossi
“How much has labour taxation contributed to European structural unemployment?”

Aula 27: Financial Econometrics

ANDREA CARRIERO
“Validating the Expectations Hypotesis as a Set of Uncertain Restrictions”

ALVARO A. NOVO
“Contagious Currency Crises: A Spatial Probit Approach”

DEAN FANTAZZINI
“Dynamic copula modelling for Value at Risk”

Juan Cajigas and GIOVANNI URGA
“Non-Normal Elliptical Distributions and Dynamic Conditional Correlation Models”

Aula 5: Time Series Models

BARBARA CHIZZOLINI
“A mixed parametric nonparametric model of exchange rates: a “divertissement”

STEPHEN POLLOCK
“Econometric Methods of Signal Extraction”

LUCIANO PIERACCINI
"Is aggregation ever necessary?"

TOMMASO PROIETTI
“On the Estimation of Nonlinearly Aggregated Mixed Models”

Tuesday 25th


09:00 – 11:00 CONTRIBUTED SESSIONS

Aula Magna: Microeconometric Theory

Andrea Ichino, Fabrizia Mealli and TOMMASO NANNICINI
"Sensitivity of Matching Estimators to Unconfoundedness”

STEFANO M. IACUS and Giuseppe Porro
“Average treatment effect estimation via random recursive partitioning”

VALENTINO DARDANONI and Antonio Forcina
“Multivariate Ordered Logit Regressions”

MARILENA FURNO
“A robust test of specificatio”

Aula 3: Unit Roots and Cointegration

Dietmar Bauer and MARTIN WAGNER
“Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes”

GIUSEPPE CAVALIERE and A. M. Robert Taylor
“Testing for Unit Roots in Time Series Models with Non-stationary Volatility”

MASSIMO FRANCHI
“A priori inequality restrictions and bound analysis in VAR models”

Francesca V. Monti and ROCCO MOSCONI
“Optimal Control in Cointegrated Linear Systems”

Aula 7: Continuos Time Models

Sergio Pastorello and EDUARDO ROSSI
“Efficient Importance Sampling Maximum Likelihood Estimation of Stochastic Differential Equations”

Silavno Bordignon and DAVIDE RAGGI
“Comparing and Forecasting Stochastic Volatility models with Jumps”

Paul Malliavin and MARIA ELVIRA MANCINO
“Harmonic analysis methods for nonparametric estimation of volatility”

FILIPPO ALTISSIMO and Antonio Mele
“Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns”

Aula 27: Spatial Econometrics

SASCHA O. BECKER, Karolina Ekholm, Robert Jδackle and Marc-Andreas Muendler
"Location Choice and Employment Decisions: A Comparison of German and Swedish Multinationals”

Stefano Federico , GAETANO A. MINERVA
“Fear of relocation? Assessing the impact of Italy's FDI on local employment”

FEDERICO MARTELLOSIO
“The Correlation Structure of Spatial Autoregressions”

Badi H. Baltagi, PETER EGGER and Michael Pfaffermayr
“Estimating Complex Models of FDI: Are there Third-Country Effects“

Aula 4: Corporate Finance and Risk

Andrea Brasili , GIUSEPPE VULPES
“Co-movements in EU banks’ fragility: a dynamic factor model approach”

ANDREA CIPOLLINI and G. Missaglia
“Integration of market risk with credit risk measurement: scenario generation through Dynamic Factor analysis”

Paul Mizen and PHILIP VERMEULEN
“Corporate Investment and Cash Flow sensitivity: What Drives the Relationship?”

Maria Elena Bontempi, Silvia Giannini and ROBERTO GOLINELLI
“Corporate taxation and financing decisions in Italy under a modified pecking order approach”

11:00 – 11:30 COFFE BREAK


11:30 – 13:00 POSTER SESSION

1. Imed Drine and CHRISTOPHE RAULT
“Can the Balassa-Samuelson theory explain long-run real exchange rate movements in OECD countries?”

2. RUGGERO M. PAOLILLO and Nadia Petragallo
“Asymmetries of Monetary Policy transmission between US and Euro Area”

3. CIRO RAPACCIOULO
“Misure di Efficienza Tecnica in due settori: Banche e Automobili”

4. SILVIA MAGRI
"Debt maturity of Italian firms and the effects of judicial efficiency"

5. GAETANO CARMECI
“A Bayesian State Space Approach to Cointegration in Panel Data Models”

6. UMBERTO TRIACCA
“Predictability and distance between non-negative AR processes”

7. Marco J. Lombardi and GIORGIO CALZOLARI
“Indirect estimation of alpha-stable distributions and processes”

8. Luca De Benedictis and CLAUDIO VICARELLI
“Trade Potentials in Gravity Panel Data Models”

9. LIDIA FARR OLALLA
“Macroeconomic Activity and the Distribution of Income: A Semiparametric Approach”

10. LUCA DE BENEDICTIS
“Stages of Diversification: Comment”

11. NUNZIO CAPPUCCIO and Diego Lubian
“Local asymptotic distributions of stationarity tests”

12. FRANCESCA DI IORIO and Stefano Fachin
“Maximum Likelihood Estimation of Input Demand Models With Fixed Costs Of Adjustment”

13. ILIYAN GEORGIEV
“A factor model for innovational outliers in multivariate time series”

14. ALESSIO MONETA
“Graphical Models for Structural Vector Autoregressions”

15. Pierpaolo Pierani and SILVIA TIEZZI
“Addiction and the Demand for Alcoholic Beverages: Evidence from Italian Data”

16. ANNETTA M. BINOTTI and Enrico Ghiani
“Relazioni statiche e caratteristiche dinamiche: un approccio VAR cointegrato all’analisi macroeconomica del mercato del lavoro italiano nell’ultimo trentennio”

17. MASSIMO TIVEGNA
“Daytrading the Euro-Dollar with a news-based model of exchange rates”

18. ROBERTO BARAGONA and Domenico Cucina
“Double Threshold Autoregressive Conditionally Heteroscedastic Model Building by Genetic Algorithms”

19. IOLANDA LO CASCIO and Stephen Pollock
"Comparative Economic Cycles"

20. ROBERTO RENO’
"Nonparametric stochastic volatility modelling"

21. LUCA ARCIERO
“Banks' Liquidity Management and Payment System Efficiency. Empirical Evidences from the Italian RTGS System”

22. DANIELE FABBRI and Chiara Monfardini
“Price Elasticity, Income and the demand for Physician Visits”

23. Leonardo Grilli and CARLA RAMPICHINI
“Sample selection in random effects models”

24. Rita Laura D’Ecclesia and SILVANA MUSTI
“Anomalous Return Behaviour in the Italian Market”

25. ROBERTO CASARIN
"Bayesian Inference for Markov Switching Stochastic Volatility Models"

26. Andrea Bonaccorsi, LUCIA PISCITELLO and Cristina Rossi
“Explaining the Territorial Adoption of New Technologies. A Spatial Econometric Approach”

13:00 – 14:30 LUNCH


14:30 – 16:00 CONTRIBUTED SESSIONS

Aula Magna: Panel Data

GIOVANNI S. F. BRUNO
“Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models”

ENRICA CRODA and Ekaterini Kyriazidou
“Intertemporal Labor Force Participation of Married Women in Germany: A Panel Data Analysis”

STEPHEN PUDNEY
"Estimation of dynamic linear models in short panels with ordinal observation of the endogenous variables"

Aula 3: Long Memory

MARCO AVARUCCI
“Non-linear fractional cointegration”

FABRIZIO IACONE
“Local Whittle Estimation of the Memory Parameterin Presence of Deterministic Components”

STEPANA LAZAROVA
“Locating structural change in regression with long memory processes”

Aula 7: Job Search and Wage Dispersion

Carlo Dell’Aringa, LAURA PAGANI
“Collective Bargaining and Wage Dispersion”

GIOVANNI SULIS
“Wage Dispersion and Equilibrium Search Models: Some Evidence from Italy”

FEDERICO CINGANO and Alfonso Rosolia
“People I know: social networks and job search outcomes”

Aula 27: Applied Microeconomics 3

TIZIANO RAZZOLINI
“The Norwegian market for pharmaceuticals and the non-mandatory substitution reform of 2001: the case of enalapril”

Elena Argentesi and LAPO FILISTRUCCHI
“Estimating market power in a two-sided market: the case of newspapers”

Gianni Amisano and MARIA LETIZIA GIORGETTI
“The Dynamics of Firms?Entry and Diversi?cation: A Bayesian Panel Probit Approach. A cross-country analysis”

Aula 4: Education

Piero Cipollone and ALFONSO ROSOLIA
"Social interactions in high school: lessons from an earthquake"

Anna Sanz de Galdeano and DANIELA VURI
“Does Parental Divorce A€ect Adolescents. Cognitive Development? Evidence from Longitudinal Data”

ELISABETTA LAZZARO
“Policy Effects on Music Education in Belgium: Do Tuition Fees Matter?”

16:00 – 16:30 COFFE BREAK


16:30 – 18:30 CONTRIBUTED SESSIONS

Aula Magna: Unemployment

Pietro Garibaldi and LIA PACELLI
“Do Larger Severance Payments Increase Individual Job Duration?”

PAOLO NATICCHIONI andv Demian Panigo
“Employment Protection, Job-Tenure and Short Term Mobility Wage Gains: A New Explanation for the Italian Case”

LORENZO CAPPELLARI and Stephen P. Jenkins
“Transitions between unemployment and low pay”

MICHELE PELLIZZARI
“Unemployment Duration and the Interaction Between Unemployment Insurance and Social Assistance”

Aula 3: Contagion

Lorenzo Cappiello, Bruno Gerard and SIMONE MANGANELLI
“The Contagion Box: Measuring Financial Market Co-movements by Regression Quantiles”

MONICA BILLIO, Marco Lo Duca and Loriana Pelizzon
“Contagion Detection with Switching Regime Models: a Short and Long Run Analysis”

Matteo Ciccarelli and ALESSANDRO REBUCCI
“Measuring Contagion and Interdependence with a Bayesian Time-Varying Coefficient Model: The Chilean FX Market During the Argentine Crisis”

Robert F. Engle and JURI MARCUCCI
“A Long Run Pure Variance Common Features Model for the Common Volatilities of the Dow Jones”

Aula 7: Applied Finance

Roberto Renς and ADAMO UBOLDI
"On the presence of unspanned volatility in European interest rate options"

MARCELLO PERICOLI and Massimo Sbracia
"The CAPM and the Risk Appetite Index: theoretical differences and empirical similarities”

H. Bertholon, A. Monfort and FULVIO PEGORARO
“Pricing and Inference with misture of conditionally normal processes”

EMILIO BARUCCI, Carlo Bianchi and Alberto Manconi
“Internal dealing regulation and insiders’ trades in the Italian financial market”

Aula 27: Model Selection and Testing

MARIA CATERINA BRAMATI, Marc Hallin and Davy Paindaveine
“Nonparametric Optimal Tests for Independence in the Elliptical VAR Model”

Christine Choirat and RAFFAELLO SERI
“The Structure of Model Selection”

Michele La Rocca and CIRA PERNA
“Subsampling Model Selection in Neural Networks for Nonlinear Time Series Analysis”

Daniele Fabbri, CHIARA MONFARDINI and Rosalba Radice
“Testing exogeneity in teh bivariate probit model: Monte Carlo evidence and application to health economics”

Aula 4: Monetary Policy and Inflation

YULIA VYMYATNINA
“How much control does Bank of Russia have over money supply?”

F. Iacone and RENZO ORSI
“Inflation control in Central and Eastern European Countries”

Fabio Busetti, Lorenzo Forni and FABRIZIO VENDITTI
"Inflation Convergence and Divergence within the European Monetary Union”

LUCA FANELLI
“Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area”