Lecturer of MSc-PhD courses of Nonstationary Time Series, Unobserved Component Models at the University of Roma "Tor Vergata"
Fellow of the Granger Center for Time Series Econometrics, the Euro Area Business Cycle Network, and the Working Group of Forecasting of the ESCB
Research Interests
Nonstationary timeseries, Unobserved component models, Structural change, Seasonality, Cointegration, Time varying-distributions and copulas, Convergence, Forecasting
Selected Publications
- "Variance shifts, structural breaks and stationarity tests" (with R. Taylor), Journal of Business and Economic Statistics, 2003.
- "Seasonality tests" (with A. Harvey), Journal of Business and Economic Statistics, 2003.
- "Tests of stationarity against a change in persistence" (with R. Taylor), Journal of Econometrics, 2004.
- "Stationarity tests for irregularly spaced observations and the effect of sampling frequency on power" (with R. Taylor), Econometric Theory, 2005.
- "Preliminary data and econometric forecasting: an application with the Bank of Italy quarterly model", Journal of Forecasting, 2006.
- "Tests of seasonal integration and cointegration in multivariate unobserved component models", Journal of Applied Econometrics, 2006.
- "Convergence of prices and rates of inflation" (with S. Fabiani, A. Harvey), Oxford Bulletin of Economics and Statistics, 2006.
- "Inflation convergence and divergence within the European Monetary Union" (with L. Forni, A. Harvey, F. Venditti), Intenational Journal of Central Banking, 2007.
- "Testing for trend" (with A. Harvey), Econometric Theory, 2008.
