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Contacts, position and appointments
Corso di Introduzione alla Microeconomia
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Matlab Programs
adf.m (augmented Dikey-Fuller test) alm (see Werden, G.J. and Froeb, L.M. 1994 "The Effect of Mergers in Differentiated Products Industries: Logit Demand and Merger Policy", The Journal of Law, Economics & Organization) ( arex.m (autoregressive model with explanatory variable) autocor.m (autocorrelation) autor.m (autoregressive model) bifilt.m, bifilt2.m (two-sided symmetric filter) center.m (center variables) cestimate.m, covestimate.m (estimate the common covariance structure in the GDFM. See Forni, Hallin, Lippi and Reichlin 2000 "The Generalized Factor Model: Identification and Estimation", The Review of Economics and Statistics 82, 540-54.) cfilter.m (Bandpass filter) choleskiresponse.m (Cholesky identification, see also woldimpulse.m) coher.m, coheren.m, coheren2.m (coherence and squared coherency) dyncorr.m (dynamic correlation and cohesion, see A Measure of Comovements) cospec.m (cospectrum) crosscor.m, crosscov.m (crosscorrelation and cross-covariance functions) crosspe.m, crosspec.m (cross-spectrum) d1.m, d2.m (first and second order derivatives) distrib.m (frequency distribution) estraz.m (generate a random variable from any distribution) ftrans.m, ftrans2.m, iftrans.m, iftrans2.m (Fourier transform and inverse Fourier transform) invertepolynomialmatrix.m (inversion of a matrix of polynomials in the lag operator L) johansen.m (Johansen cointegration test) kestimate.m, kests.m (estimate the common components in the GDFM. See Forni, Hallin, Lippi and Reichlin 2000 "The Generalized Factor Model: Identification and Estimation", The Review of Economics and Statistics 82, 540-54.) kpss.m (KPSS stationarity test) ols.m (OLS estimation) olspan.m, olspan2.m (regress Y on the leads and lags of X) onesidedprediction.m, onesidedinsampleestimation.m (prediction with the Generalized Dynamic Factor Model. See Forni, Hallin, Lippi and Reichlin 2003 "The Generalized Dynamic Factor Model: One-sided Estimation and Forecasting", mimeo) pcaids (see Epstein R.J. e Rubinfeld, D. 2001 "Merger simulation: a simplified approach with new applications", Antitrust Law Journal) princom.m, (dynamic eigenvalue estimation, see Brillinger 1981) sestimate.m, spestimate.m (estimate the spectral matrix of the common components in the GDFM. See Forni, Hallin, Lippi and Reichlin 2000 "The Generalized Factor Model: Identification and Estimation", The Review of Economics and Statistics 82, 540-54.) spec.m (spectrum) var.m (var estimation) woldimpulse.m (Wold identification, see also Choleskyresponse.m)
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