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Dynamic adjustment cost models with forward-looking behaviour

Fanelli, Luca - In: The econometrics journal 9 (2006) 1, pp. 23-47

Persistent link: https://www.econbiz.de/10003320192

Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration

Fanelli, Luca - In: Journal of economic dynamics & control 30 (2006) 3, pp. 445-456

Persistent link: https://www.econbiz.de/10003289314

A new approach for estimating and testing the linear quadratic adjustment cost model under rational expextations and I(1) variables

Fanelli, Luca - In: Journal of economic dynamics & control 26 (2002) 1, pp. 117-139

Persistent link: https://www.econbiz.de/10001617129

Speed of adjustment in cointegrated systems

Fanelli, Luca; Paruolo, Paolo - In: Journal of econometrics 158 (2010) 1, pp. 130-141

Persistent link: https://www.econbiz.de/10008826868

Tests for cointegration rank and choice of the alternative

Cavaliere, Giuseppe; Fanelli, Luca; Paruolo, Paolo - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 2, pp. 169-191

Persistent link: https://www.econbiz.de/10003858175

Testing the purchasing power parity through I(2) cointegration techniques

Bacchiocchi, Emanuele; Fanelli, Luca - In: Journal of applied econometrics 20 (2005) 6, pp. 749-770

Persistent link: https://www.econbiz.de/10003168891

A cointegrated VECM demand system for meat in Italy

Fanelli, Luca; Mazzocchi, Mario - In: Applied economics 34 (2002) 13, pp. 1593-1605

Persistent link: https://www.econbiz.de/10001692497

Identification and Estimation Issues in Structural Vector Autoregressions with External Instruments

Angelini, Giovanni - 2018

In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external instruments, considering the case in which r valid instruments are used to identify g ≥ 1 structural shocks, where r ≥ g. We endow the SVAR with an auxiliary statistical model...

Persistent link: https://www.econbiz.de/10012918605

Co-integration rank determination in partial systems using information criteria

Cavaliere, Giuseppe; De Angelis, Luca; Fanelli, Luca - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 65-89

Persistent link: https://www.econbiz.de/10011969541