Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 5 of 5
Full-Text Articles in Econometrics
Stochastic Convergence Among European Economies, Mauro Costantini, Claudio Lupi
Stochastic Convergence Among European Economies, Mauro Costantini, Claudio Lupi
Claudio Lupi
The aim of this paper is to test the stochastic convergence in real per capita GDP for 15 European countries using non−stationary panel data approaches over the period 1950−2003. Cross−sectional dependence is assumed due to the existence of strong linkages among European economies. However, tests derived under the assumption of cross−sectional independence are also carried out for completeness and comparison. We also split the whole sample into two sub−periods (1950−1976, 1977−2003) in order to take into account the effects of the first oil crisis (1973−1974) and to evaluate the robustness of the statistical analysis. Our results offer little support to …
Are Credit Constraints In Italy Really More Binding In The South?, Claudio Lupi
Are Credit Constraints In Italy Really More Binding In The South?, Claudio Lupi
Claudio Lupi
This paper is motivated by a very practical question: are there significant geographical differences in the accessibility to the credit market on the part of Italian households? The investigation is carried using robust probit model. Estimation is carried out in a Bayesian framework. The results are somewhat surprising, showing that the area where households are more likely to be credit constrained is not the South, as could be easily imagined, but rather the highly developed and industrialized North-West.
Unemployment Scarring In High Unemployment Regions, Claudio Lupi, Patrizia Ordine
Unemployment Scarring In High Unemployment Regions, Claudio Lupi, Patrizia Ordine
Claudio Lupi
This paper investigates the effect of individual unemployment experiences on re-employment wages. The empirical analysis is carried out on a panel of Italian individuals. The main result is that while in the northern regions the effect is similar to the one estimated for the UK, in the southern area of the country the impact is not significant. We link this result to the particular socio-economic environment in which the unemployment spells are experienced. We argue that this might be due to the fact that in a high unemployment environment individual unemployment experiences are perceived as "normal" and do not necessarily …
Testing For Asymmetry In Economic Time Series Using Bootstrap Methods, Claudio Lupi, Patrizia Ordine
Testing For Asymmetry In Economic Time Series Using Bootstrap Methods, Claudio Lupi, Patrizia Ordine
Claudio Lupi
In this paper we show that phase-scrambling bootstrap offers a natural framework for asymmetry testing in economic time series. A comparison with other bootstrap schemes is also sketched. A Monte Carlo analysis is carried out to evaluate the size and power properties of the phase-scrambling bootstrap-based test.
Direct Tests Of The Rational Expectations Hypothesis: A Study Of Italian Entrepreneurs’ Inflationary Expectations (1980-1988), Claudio Lupi
Direct Tests Of The Rational Expectations Hypothesis: A Study Of Italian Entrepreneurs’ Inflationary Expectations (1980-1988), Claudio Lupi
Claudio Lupi
The primary concern of this paper is to test the rational expectations hypothesis for Italian entrepreneurs' inflationary expectations between 1980 and 1988 using monthly observed expectations. Particular care is devoted to analyzing the problems arising when multiperiod expectations and a nonwhite noise measurement error in the expectations series are considered. The empirical analysis is carried out using cross correlations on ARIMA residuals and transfer function models. This technique seems to be particularly appealing for rationality testing.