CURRICULUM VITAE ET STUDIORUM

Giorgio Calzolari

Italian, born in Ferrara (1946).

Professor of Econometrics. University of Firenze, Department of Statistics, Computer Science, Applications ”G. Parenti” (part time after retirement in 2016).

Main previous appointments

Professor of Econometrics, University of Firenze, Department of Statistics (1991-2016).

Research staff member (econometric team), IBM Scientific Center, Pisa (1971-90).

Other previous appointments

President of SIdE -IEA, Societ`a Italiana di Econometria -Italian Econometric Association, 2012.

Director of the summer econometric courses for doctoral students (CIDE, Centro Interuniversitario di Econome­

tria, 1999-2005), Part time Professor at CEIBS, China Europe International Business School, Jiaotong University, Shanghai, MBA Program (1996 and 1998);

Director of the Computer Center, Faculty of Economics, University of Firenze (1992-98). Professor of Econometrics, University of Messina, Faculty of Political Science (1990-91). Part time Professor of Econometrics, Universities of Perugia (1983-84), Padova (1985-87), Firenze (1988-90) and

Messina (1992-93).

Part time Professor of Computer Science, Istituto Agronomico per l’Oltremare, Ministero degli Affari Esteri, Firenze (1975-78). Officer of the Aeronautica Militare Italiana (1970-71). Research staff member, Laboratories Robert Bosch GmbH, Stuttgart, (1969-70).

Editorial and advisory panels

Chairman of the Econometrics Programme Committee of the European Meeting of the Econometric Society 1989

(ESEM’89, M¨unchen). Associate Editor of the Journal of Financial Econometrics (2001-2012), Bulletin of Economic Research (from 2000), International Journal of Forecasting (1987-1995), and of Metodoloski Zvezki -Journal of Statistical Society of Slovenia (from 2013).

Secretary of the Local Programme Committee of the 49-th Session of the International Statistical Institute (ISI) 1993 (Firenze). Member elected of the International Statistical Institute (ISI) (from 1993).

Member of the European Standing Committee of the Econometric Society (1988-91). Member of the Programme Committee of the European Meeting of the Econometric Society 1987 (Copenhagen), 1993 (Uppsala), 1994 (Maastricht), 1996 (Istanbul), and of the 7th World Congress of the Econometric Society 1995 (Tokyo).

Co-organizer of the IBM Europe Institute seminar on Econometric Modeling (Oberlech, July 1986). ´

Referee of Annales d’ Economie et de Statistique, Computational Statistics & Data Analysis, Econometrica, Econometric Reviews, Econometrics Journal, Econometric Theory, Empirical Economics, International Eco­nomic Review, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Journal of Econo­metrics, Journal of Economic Dynamics and Control, Journal of the Italian Statistical Society, Journal of the Royal Statistical Society B, Metron, Research in Economics, Scandinavian Journal of Statistics, Statistica.

Session Chairman (European Meeting of the Econometric Society, World Congress of the Econometric Society, International Symposium on Forecasting, International Statistical Institute, Societ`a Italiana di Statistica).

Reviewer of research projects, National Science Foundation (Washington D.C., 1984). Member of the Scientific Commissions Metodi Statistici ed Econometria (1990-93), and Nuove Tecnologie Infor­matiche in Statistica (1993-96) of the Italian Statistical Society (SIS).

Co-organizer of the CIDE and SIS Seminars Modelli Dinamici di Breve e Lungo Periodo (Firenze, November 1992) and Modelli Non Lineari e Reti Neurali (Bologna, January 1995).

Education

1969, University of Bologna: Laurea con lode in Electrical Engineering (2% graduated with honors, in 1969). 1964, Ferrara: Maturit`a Classica .

Visiting

Universit¨at Konstanz (January-February 2017 and 2018). Universit¨at Dortmund, Fachbereich Statistik (July 1998). Stockholm School of Economics, Department of Economic Statistics (June 1998). University of Wyoming, Laramie, Department of Economics (December 1990 and February-March 1998). University of Tilburg, CENTER (February 1990). University of Birmingham, Department of Economics (February 1990). University of Warwick, Department of Economics (Summer Workshop 1985). University of Bonn, Department of Economics (June-September 1979).

Invited seminars

University of Salerno (2018). University of Siena (2014). University of Konstanz (2014). University of Trieste (2001, 2010). University of Genova (2009). University of Verona (2009). University of Copenhagen (2008). ECARES-ULB (Bruxelles, 2007). Ente Einaudi (Roma, 2000). University of Salerno (2000). European Univer­sity Institute (Firenze, 1994, 1999). Stockholm School of Economics (1998). University of Dortmund (1998). Rheinisch Westf¨aliches Institut f¨ur Wirtshaftsforschung (Essen. 1998). Jiaotong University-CEIBS (Shanghai, 1996, 1998). University of Wyoming (Laramie, 1990, 1998). University of Udine (1997). University of Valencia (1995). University of Trento (1992). University of Tilburg-CENTER (1990). University of Birmingham (1990). University of Napoli Federico II (1990). University of Padova (1984, 1990). Seminari CIDE (Universit`a Cattolica, Milano, 1987, 1988). S´eminaire Malinvaud,INSEE (Paris, 1987). University of Venezia (1987). Banca d’Italia (Roma, 1987). University of Warwick (1985). Annual Meeting of the Swedish Econometricians (Kristianstadt, 1983). Michigan State University (East Lansing, 1983). University of Bonn (1979). Sogesta (Urbino, 1978). University of Modena (1977). Prometeia (Bologna, 1977).

Author of software packages

Indirect Estimation (from 1996):

variance reduction in indirect inference using control variates, constrained estimation, with application to stochas­tic volatility, conditionally heteroskedastic factor models and models with α-stable innovations. Stochastic Simulation of Tobit models and ARCH-GARCH models (1989-96): Monte Carlo simulation, computational performances of estimators (convergence speed), simulation approach to

small sample behaviour of estimators (for personal and mainframe computers). Stochastic Simulation of Macroeconometric Models (1976-88): Monte Carlo simulation of large scale nonlinear macroeconometric models, estimation of simultaneous equations,

simulation approach to small sample behaviour of estimators (instrumental variables and maximum likelihood), multipliers, forecasts and related confidence intervals (for mainframe computers, adapted to PC). Interactive Management of Time Series (1973-82):

data handling and transformation, regression analysis and construction of macroeconometric models (for main­frame computers, adapted to PC).

Applied econometric work

Estimation, simulation and validation of macroeconometric models: Il Modellaccio (University of Ancona). Italian model of Project Link (University of Bologna and Prometeia). ISPE model (Istituto di Studi per la Programmazione Economica, Roma). Mini-DMS and Micro-DMS models of INSEE (Paris). German models of Project Link, Model-5 and Model-10 (University of Bonn). IBM/UK quarterly model. COMET (a linkage model of the EEC countries). Model Link (the linkage import/ export matrix).

PUBLICATIONS

(A) Book

[1] Calzolari, G. (1987): La Varianza delle Previsioni nei Modelli Econometrici. Padova: CLEUP Editore.

(B) Journals printed in Italy

[5] Calzolari, G., F. Di Iorio, and G. Fiorentini (2001): “Indirect Inference and Variance Reduction using Control Variates”, Metron 59, 39-53.

[4] Calzolari, G., and G. Fiorentini (1993): “Estimating Variances and Covariances in a Censored Regression Model”, Statistica 53, 323-339.

[3] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1985): “Asymptotic Properties of Dynamic Multipliers in Nonlinear Econometric Models”, Economic Notes 14, 97-117.

[2] Calzolari, G. (1983): “Sull’Affidabilit`a Previsiva dei Modelli Econometrici: Valutazione A Priori degli Errori di Previsione”, Note di Informatica 3, 15-28.

[1] Bianchi, C., G. Calzolari e F. Sartori (1982): “Stime 2SLS con Componenti Principali di un Modello Non Lineare dell’Economia Italiana”, Note Economiche 2, 114-137.

(C) Journals printed in other countries

[36] Calzolari, G. (2017): “Econometrics Exams and Round Numbers: Use or Misuse of Indirect Estimation Meth­ods?”. Communications in Statistics -Simulation and Computation, DOI: 10.1080/03610918.2017.1348514.

[35] Gottard, A, and Calzolari, G. (2017):          “Estimating Multiple-Membership Logit Models with Mixed Effects: Indirect Inference versus Data Cloning”, Journal of Statistical Computation and Simulation 87, 2334-2348.

[34] Calzolari, G., and A. Di Pino Incognito (2017): “Self Selection and Direct Estimation of Across-Regime Corre­lation Parameter”, Journal of Applied Statistics 44 (12).

[33] Calzolari, G., R. Halbleib, and A. Parrini (2014): “Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood”, Computational Statistics and Data Analysis 76, 158-171.

[32] Calzolari, G., and L. Magazzini (2012):       “Autocorrelation and Masked Heterogeneity in Panel Data Models Estimated by Maximum Likelihood”, Empirical Economics 43, 145-152.

[31] Lombardi, M. J., and G. Calzolari (2009): “Indirect Estimation of α-Stable Stochastic Volatility Models”, Com­putational Statistics and Data Analysis 53, 2298-2308.

[30] Sentana, E., G. Calzolari, and G. Fiorentini (2008): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”, Journal of Econometrics 146, 10-25.

[29] Lombardi, M. J., and G. Calzolari (2008): “Indirect Estimation of α-Stable Distributions and Processes”, Econo­metrics Journal 11, 193-208.

[28] Di Iorio, F., and G. Calzolari (2006): “Discontinuities in Indirect Estimation: an Application to EAR Models”, Computational Statistics and Data Analysis 50, 2124-2136.

[27] Calzolari, G., G. Fiorentini, and E. Sentana (2004): “Constrained Indirect Estimation”,          Review of Economic Studies 71, 945-973.

[26] Fiorentini, G., E. Sentana, and G. Calzolari (2004):             “On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models”, Economics Letters 83, 307-312.

[25] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “Maximum Likelihood Estimation and Inference in Mul­tivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations, ”, Journal of Business & Economic Statistics 21, 532-546.

[24] Calzolari, G., and G. Fiorentini (1998): “A Tobit Model with GARCH Errors”, Econometric Reviews 17, 85-104.

[23] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”, Econometrics Journal 1, C100-C112.

[22] Fiorentini, G., G. Calzolari, and L. Panattoni (1996): “Analytic Derivatives and the Computation of GARCH Estimates”, Journal of Applied Econometrics 11, 399-417.

[21] Calzolari, G., and G. Fiorentini (1993):         “Alternative Covariance Estimators of the Standard Tobit Model”, Economics Letters 42, 5-13.

[20] Calzolari, G., and L. Sampoli (1993): “A Curious Result on Exact FIML and Instrumental Variables”, Econo­metric Theory 9, 296-309.

[19] Calzolari, G., and L. Panattoni (1990): “Mode Predictors in Nonlinear Systems with Identities”, International Journal of Forecasting 6, 317-326.

[18] Sterbenz, F. P., and G. Calzolari (1990):     “Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models”, Journal of Applied Econometrics 5, 137-150.

[17] Calzolari, G., and L. Panattoni (1988): “Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study”, Econometrica 56, 701-714.

[16] Calzolari, G. (1987): “Forecast Variance in Dynamic Simulation of Simultaneous Equation Models”, Econometrica 55, 1473-1476.

[15] Calzolari, G., L. Panattoni, and C. Weihs (1987): “Computational Efficiency of FIML Estimation”, Journal of Econometrics 36, 299-310.

[14] Bianchi, C., J. L. Brillet, and G. Calzolari (1987): “Measuring Forecast Uncertainty: A Review with Evaluation Based on a Macro Model of the French Economy”, International Journal of Forecasting 3, 211-227.

[13] Weihs, C., G. Calzolari, and L. Panattoni (1987): “The Behavior of Trust-Region Methods in FIML-Estimation”, Computing 38, 89-100.

[12] Calzolari, G., and F. P. Sterbenz (1986): “Control Variates to Estimate the Reduced Form Variances in Econo­metric Models”, Econometrica 54, 1483-1490.

[11] Bianchi, C., J. L. Brillet et G. Calzolari (1984): “Analyse et Mesure de l’Incertitude en Pr´evision d’un Mod`ele Econom´etrique. Application au Mod`ele Mini-DMS”, Annales de l’INSEE 54, 31-62.

[10] Calzolari, G. (1983): “Asymptotic Distribution of Power Spectra and Peak Frequencies in the Stochastic Response of Econometric Models”, Journal of Economic Dynamics and Control 5, 235-247.

[9] Calzolari, G. (1983): “Asymptotic Standard Errors of Point Elasticities Calculated from Simultaneous Equation Systems”, Economics Letters 11, 237-244.

[8] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Estimating Asymptotic Standard Errors and Inconsistencies of Impact Multipliers in Nonlinear Econometric Models”, Journal of Econometrics 16, 277-294.

[7] Calzolari, G. (1981): “A Note on the Variance of Ex-Post Forecasts in Econometric Models”, Econometrica 49, 1593-1595.

[6] Bianchi, C., and G. Calzolari (1980):            “The One-Period Forecast Errors in Nonlinear Econometric Models”, International Economic Review 21, 201-208. Reprinted in Macroeconometric Modelling, ed. by K. F. Wallis (1994). Cheltenham: Edward Elgar Publishing Ltd., The International Library of Critical Writings in Econometrics, Vol. 2, 183-190.

[5] Calzolari, G. (1979): “Antithetic Variates to Estimate the Simulation Bias in Non-Linear Models”, Economics Letters 4, 323-328.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Stability of the Klein-I Model”, Economics Letters 4, 33-35.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Monte Carlo Approach to Compute the Asymptotic Standard Errors of Dynamic Multipliers”, Economics Letters 2, 161-164.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Note on the Numerical Results by Goldberger, Nagar and Odeh”, Econometrica 47, 505-506.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1978): “A Program for Stochastic Simulation of Econometric Models”, Econometrica 46, 235-236.

(D) Book chapters, essays in collective volumes, conference proceedings

[29] Aielli, G. P., G. Calzolari, and G. Fiorentini (2013): “Fast Indirect Estimation of Latent Factor Models with Conditional Heteroskedasticity”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2579/335

[28] Calzolari, G., and A. Di Pino (2013): “Across-Regime Correlation in a Switching Regression Model: A FIML Approach”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2604/473

[27] Calzolari, G., and A. Di Pino (2009): “Individual Wage and Reservation Wage: Efficient Estimation of a Simul­taneous Equation Model with Endogenous Limited Dependent Variables”, in Proceedings of Scientific Meeting of the Italian Statistical Society: Statistical Methods for the Analysis of Large Data-Sets. Pescara: University G. D’Annunzio, September 23-25, 343-346. ISBN 978-88-6129-425-7.

[26] Otranto, E., G. Calzolari, and F. Di Iorio (2005):     “Indirect Estimation of Markov Switching Models with Endogenous Switching”, in S.Co. 2005: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 227-232.

[25] Lombardi, M. J., G. Calzolari, and G. M. Gallo (2003): “Indirect Inference for α-Stable Distributions”, in S.Co. 2003: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, Atti del Convegno, Treviso 4-6 settembre. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, 278-283.

[24] Calzolari, G., and L. Neri (2002): “Imputation of Continuous Variables Missing at Random using the Method of Simulated Scores”, in Compstat 2002, Proceedings in Computational Statistics, 15th Symposium held in Berlin, ed. by W. H¨ardle and B. R¨onz. Heidelberg: Physika Verlag, 389-394.

[23] Calzolari, G., L. Magazzini, and F. Mealli (2001): “Simulation-Based Estimation of Tobit Model with Random Effects”, in Econometric Studies, a Festschrift in Honour of Joachim Frohn, ed. by R. Friedmann, L. Kn¨uppel, and H. L¨utkepohl. M¨unster: LIT Verlag, 349-369.

[22] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, in Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 63-68.

[21] Calzolari, G. (1994): “Presentazione”, in Software Sperimentale per la Statistica: Una Raccolta di Programmi Didattico-Applicativi, a cura della Societ`a Italiana di Statistica. Firenze: Centro Duplicazione Offset, 5-6.

[20] Calzolari, G. (1992): “Stima delle Equazioni Simultanee Non-Lineari: Una Rassegna”, in Atti della XXXVI Riu­nione Scientifica della Societ`a Italiana di Statistica. Roma: CISU Centro d’informazione e stampa universitaria, Vol. 1, 447-458.

[19] Bianchi, G., J. L. Brillet, and G. Calzolari (1988): “A Trade-off Criterion for Evaluating Effectiveness and Reli­ability of Alternative Policy Actions”, in Atti del Dodicesimo Convegno A.M.A.S.E.S. Palermo, 14-16 Settembre, 185-217.

[18] Calzolari, G., and L. Panattoni (1988): “Finite Sample Performance of the Robust Wald Test in Simultaneous Equation Systems”, in Advances in Econometrics, Vol. 7, ed. by G. F. Rhodes, Jr., and T. B. Fomby. Greenwich, CO:JAI Press Inc., 163-191.

[17] Calzolari, G. e L. Panattoni (1988): “Il Problema della Coerenza delle Previsioni nei Modelli Econometrici Non Lineari”, in Atti della XXXIV Riunione Scientifica della Societ`a Italiana di Statistica. Siena: Nuova Immagine Editrice, Vol. 2/1, 271-278.

[16] Calzolari, G., and L. Panattoni (1987):         “Gradient Methods in FIML Estimation of Econometric Models”, in Developments of Control Theory for Economic Analysis, ed. by C. Carraro, and D. Sartore. Dordrecht: Martinus Nijhoff, Kluwer Academic Publishers, 143-153.

[15] Bianchi, C., and G. Calzolari (1983): “Standard Errors of Forecasts in Dynamic Simulation of Nonlinear Econo­metric Models: Some Empirical Results”, in Time Series Analysis: Theory and Practice 3, ed. by O. D. Anderson. Amsterdam: North-Holland Publishing Company, 177-198.

[14] Bianchi, C., and G. Calzolari (1982): “Evaluating Forecast Uncertainty Due to Errors in Estimated Coefficients: Empirical Comparison of Alternative Methods”, in Evaluating the Reliability of Macro-Economic Models, ed. by

[13] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Standard Errors of Multipliers and Forecasts from Structural Coefficients with Block-Diagonal Covariance Matrix”, in Dynamic Modelling and Control of National Economies (IFAC), ed. by J. M. L. Janssen, L. F. Pau, and A. J. Straszak. Oxford: Pergamon Press, 311-316.

[12] Bianchi, C., and G. Calzolari (1981):            “A Simulation Approach to Some Dynamic Properties of Econometric Models”, in Mathematical Programming and its Economic Application, ed. by G. Castellani, and P. Mazzoleni. Milano: Franco Angeli Editore, 607-621.

[11] Bianchi, C., and G. Calzolari (1980): “Simulation of a Nonlinear Econometric Model”, in Simulation of Systems ’79, ed. by L. Dekker, G. Savastano, and G. C. Vansteenkiste. Amsterdam: North-Holland Publishing Company, 105-113.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1980): “A Package for Analytic Simulation of Econometric Models”, in Optimization Techniques, Proceedings of the 9th IFIP Conference on Optimization Techniques, Warsaw, Septem­ber 4-8, 1979, ed. by K. Iracki, K. Malanowski, and S. Walukiewicz. Berlin: Springer Verlag, Part 2, 404-413.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “Some Results on the Stochastic Simulation of a Nonlinear Model of the Italian Economy”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 411-418.

[8] Ranuzzi, P., C. Bianchi, and G. Calzolari (1979): “A Bilateral Linkage Model for the EEC Economies”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 171-178.

[7] Bianchi, C., G. Calzolari, and E. M. Cleur (1978): “Spectral Analysis of Stochastic and Analytic Simulation Re­sults for a Nonlinear Model for the Italian Economy”, in Compstat 1978, Proceedings in Computational Statistics, ed. by L. C. A. Corsten, and J. Hermans. Vienna: Physica Verlag, 348-354.

[6] Calzolari, G., and P.           Corsi (1977): “Stochastic Simulation as a Validation Tool for Econometric Models”, in Models for Regional Planning and Policy-Making, ed. by A. Straszak, and B. V. Wagle. Peterlee: IBM UKSC 0097, 359-369.

[5] Bianchi, C., G. Calzolari, P. Corsi, F. Sartori e I. Specioso (1977): “Aggiornamento del Modello al 1974 e Nuove Simulazioni”, in Il Modellaccio, a cura di Giorgio Fu`a. Milano: Franco Angeli Editore, Vol. 4, 162-188.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Simulation Properties of Alternative Methods of Estimation: an Application to a Model of the Italian Economy”, in Compstat 1976, Proceedings in Computational Statistics, ed. by J. Gordesch, and P. Naeve. Vienna: Physica Verlag, 407-415.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Divergences in the Results of Stochastic and Deterministic Sim­ulation of an Italian Non-Linear Econometric Model”, in Simulation of Systems, ed. by L. Dekker. Amsterdam: North-Holland Publishing Company, 653-661.

[2] Bianchi, C., G. Calzolari, T. A. Ciriani, P.    Corsi, E. Cleur, G. C. Romagnoli e B. Sitzia (1976): “Analisi e Simulazione Stocastica di un Modello Aggregato dell’Economia Italiana 1952-1971”, in Teoria dei Sistemi ed Economia, a cura della Segreteria del G.E.S., prefazione di S. Lombardini e A. Ruberti. Bologna: Il Mulino, 193-219.

[1] Calzolari, G. (1974): “Interactive Management for Time Series”, in Compstat 1974, Proceedings in Computational Statistics, ed. by G. Bruckmann, F. Ferschl and L. Schmetterer. Vienna: Physica Verlag, 468-478.

(E) Working papers of universities and research institutes

[35] Calzolari, G. (2015): “Indirect Estimation and Econometrics Exams: How to Live a Round Life”. Econometrics Working Papers Archive 2015-01, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[34] Calzolari, G., and R. Halbleib (2014): “Estimating Stable Factor Models by Indirect Inference”. University of Konstanz, Department of Economics, Working Paper 2014-25.

[33] Gottard, A., and G. Calzolari (2014): “Alternative Estimating Procedures for Multiple Membership Logit Models with Mixed Effects: Indirect Inference and Data Cloning”, Econometrics Working Papers Archive 2014-07, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[32] Calzolari, G., and L. Magazzini (2014): “Improving GMM Efficiency in Dynamic Models for Panel Data with Mean Stationarity”, Working Paper 12/2014, University of Verona, Department of Economics.

[31] Calzolari, G., and A. Di Pino (2014): “Self-Selection and Direct Estimation of Across-Regime Correlation Pa­rameter”, Econometrics Working Papers Archive 2014-04, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[30] Calzolari, G., and L. Magazzini (2013): “A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence”, Working Paper 14/2013, University of Verona, Department of Economics.

[29] Calzolari, G., R. Halbleib, and A. Parrini (2012): “Indirect Estimation of α-Stable GARCH Models”. Univer­sity of Konstanz, Department of Economics, Working Paper 2012-31, presented at the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Conference Centre, Oviedo, December 1-3.

[28] Calzolari, G., and L. Magazzini (2011): “Moment Conditions and Neglected Endogeneity in Panel Data Models”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2011/02, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[27] Magazzini, L., and G. Calzolari (2010): “Negative Variance Estimates in Panel Data Models”.           Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2010/15.

[26] Calzolari, G., and L. Neri (2010):     “The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values”. Universit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2010/01.

[25] Calzolari, G., and L. Magazzini (2009): “Poor Identification and Estimation Problems in Panel Data Models with Random Effects and Autocorrelated Errors”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2009/53, presented at the third Italian Congress of Econometrics and Empirical Economics. Ancona: Universit`a Politecnica delle Marche, January 30-31.

[24] Sentana, E., G. Calzolari, and G. Fiorentini (2007): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”. Rimini Center for Economic Analysis, Working Paper 40-07.

[23] Lombardi, M. J., and G. Calzolari (2006): “Indirect Estimation of α-Stable Stochastic Volatility Models”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2006/07.

[22] Lombardi, M. J., and G. Calzolari (2004): “Indirect Estimation of α-Stable Distributions and Processes”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2004/07.

[21] Calzolari, G., and L. Neri (2002): “A Method of Simulated Scores for Imputation of Continuous Variables Missing at Random”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 49/2002, presented at the European Meeting of the Econometric Society. Venezia: Universit`a Ca’ Foscari, August 25-28.

[20] Calzolari, G., F. Mealli, and C. Rampichini (2001): “Alternative Simulation-Based Estimators of Logit Models with Random-Effects”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 48/2001, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1, 1999.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Constrained Indirect Inference Estimation”. London School of Economics, Financial Markets Group, discussion paper No. 384.

[18] Fiorentini, G., E. Sentana, and G. Calzolari (2000): “The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student-t Innovations, and an LM Test for Multivariate Normality”. Madrid: CEMFI, Working Paper No. 0007.

[17] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Estimation of Just-Identified Models with Control Variates”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 46/1999.

[16] Weihs, C., G. Calzolari, and M. C. R¨ohl (1999): “Variance Reduction with Monte Carlo Estimates of Error Rates in Multivariate Classification”. Universit¨at Dortmund: Technical Report 44/1999, SFB 475.

[15] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Inference and Variance Reduction using Control Variates”. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, Modelli Complessi e Metodi Computazion­ali Intensivi per la Stima e la Previsione 229-234.

[14] Calzolari, G., F. Di Iorio, and G. Fiorentini (1996): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”. Shanghai: Jiaotong University, China Europe International Business School, Working Paper No. 006, presented at the European Conferences of the Econom[etr]ic Community EC² , Firenze, 12-14 December.

[13] Calzolari, G., and G. Fiorentini (1994): “Conditional Heteroskedasticity in Nonlinear Simultaneous Equations”. Florence: European University Institute, Working Paper ECO No. 94/44, presented at the European Meeting of the Econometric Society, Maastricht, University of Limburg, August 29-September 2.

[12] Calzolari, G., G. Fiorentini, and L. Panattoni (1993):            “Alternative Estimators of the Covariance Matrix in GARCH Models”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 11, presented at the European Meeting of the Econometric Society, Uppsala, August 22-26.

[11] Calzolari, G., and G. Fiorentini (1992): “Alternative Methods for GARCH Estimation”, Universit`a di Firenze: Dipartimento Statistico, Working Paper No. 44, presented at the European Meeting of the Econometric Society, Bruxelles, August 24-28.

[10] Bianchi, C., G. Calzolari, and F. P. Sterbenz (1991): “Simulation of Interest Rate Options Using ARCH”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 10, presented at the European Meeting of the Econometric Society, Cambridge, U.K., September 2-6.

[9] Sterbenz, F. P., and G. Calzolari (1987):      “The Impact of Structural Error Specifications on the Simulation of Nonlinear Econometric Models”. Columbus: The Ohio State University, College of Business, WPS 87-37, presented at the European Meeting of the Econometric Society, Copenhagen, August 24-28.

[8] Bianchi, C. e G. Calzolari (1987): “Varianza delle Previsioni e dei Parametri della Forma Ridotta dei Modelli Simultanei: Metodi di Calcolo Analitici e Metodi Monte Carlo”. Milano: Universit`a Cattolica del Sacro Cuore, Istituto di Matematica Generale, Finanziaria ed Economica, Quaderno No. 3.

[7] Brillet, J. L., G. Calzolari, and L. Panattoni (1986): “Coherent Optimal Prediction with Large Nonlinear Systems: An Example Based on a French Model”. Paris: INSEE, Service des Programmes, presented at the European Meeting of the Econometric Society, Budapest, September 1-5.

[6] Bianchi, C., J. L. Brillet, and G. Calzolari (1986): “Forecasts and Constraints on Policy Actions: The Reliabil­ity of Alternative Instruments”. Paris: INSEE, Service des Programmes, presented at The Sixth International Symposium on Forecasting, Paris, INSEAD, June 15-18.

[5] Bianchi, C., J. L. Brillet, and G. Calzolari (1985):     “Effectiveness versus Reliability of Policy Actions under Government Budget Constraint: The Case of France”. Paris: INSEE, Service des Programmes, presented at The Fifth World Congress of the Econometric Society, M.I.T., Cambridge, MA, August 17-24.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “The Asymptotic Distribution of Impact Multipliers for a Non-Linear Structural Econometric Model”, in Seminari di Econometria e di Matematica Applicata. Universit`a degli Studi di Modena: Istituto Statistico-Matematico, Facolt`a di Economia e Commercio, 1-24.

[3] Calzolari, G. (1979): “Stochastic Simulation Experiments on Model5 of Bonn University”.    Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 102.

[2] Calzolari, G. (1979): “The Asymptotic Distribution of Power Spectra in Dynamic Econometric Models”. Univer­sit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 101.

[1] Calzolari, G. (1979): “The Deterministic Simulation Bias in the Klein-Goldberger Model”.      Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 100.

(F) Software: IBM Technical disclosure bulletin

[5] Bianchi, C., and G. Calzolari (1979):           “A Condensed Version of the O.E.C.D. Foreign Trade by Commodities Tapes”, IBM Technical Disclosure Bulletin 22, 1944-1946.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1978): “Stochastic Simulation: a Package for Monte Carlo Experiments on Econometric Models”, IBM Technical Disclosure Bulletin 20, 3972-3975.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Utilizing a Program Loaded into the User Program Area, to Load Another Module in the Same User Program Area”, IBM Technical Disclosure Bulletin 19, 1303-1305.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1976): “User Defined Functions and Operators”, IBM Technical Disclosure Bulletin 19, 1300-1302.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”, IBM Technical Disclo­sure Bulletin 17, 1653-1657.

(G) IBM Technical reports

[11] Calzolari, G., and L. Panattoni (1985): “Small Sample Performance of Tests in Econometric Models: The Cost of Robustness”. Pisa: IBM Technical Report G513-4075, presented at The Fifth World Congress of the Econometric Society,M.I.T., Cambridge, MA, August 17-24.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Alternative Estimates of the Klein-I Model”. Pisa: IBM Technical Report G513-3584.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Restricted Reduced Form of the Klein-I Model”. Pisa: IBM Technical Report G513-3575.

[8] Bianchi, C., G. Calzolari, and R. Doret (1978): “Van der Giessen’s Reordering Algorithm in the Program for Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report Z513-5101.

[7] Bianchi, C., G. Calzolari, and P.     Corsi (1978): “Stochastic Simulation of Econometric Models: Installation Procedures and User’s Instructions”. Pisa: IBM Technical Report G513-3568.

[6] Bianchi, C., G. Calzolari, and P. Lischi (1978): “A Manageable Support for the O.E.C.D. Data on Foreign Trade by Commodities”. Pisa: IBM Technical Report G513-3567.

[5] Bianchi, C., G. Calzolari, P. Corsi, and B. Sitzia (1976): “Stochastic Simulation of an Aggregated Model of the Italian Economy: Methodological and Empirical Aspects”. Pisa: IBM Technical Report G513-3545.

[4] Calzolari, G., T. A. Ciriani, and P. Corsi (1976): “Generation and Testing of Pseudo-Random Numbers with Assigned Statistical Properties to be Used in the Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report G513-3544.

[3] Bianchi, C., G. Calzolari e P. Corsi (1975): “DMS/2, Un Sistema per la Soluzione e Simulazione Interattiva di Modelli Econometrici”. Pisa: Rapporto Tecnico IBM G513-3538.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”. Pisa:         IBM Technical Report G513-3530.

[1] Calzolari, G. (1973): “Un Linguaggio per la Gestione dell’Archivio delle Serie Storiche”. Pisa: Nota Tecnica IBM G513-3704.

(H) Other papers presented at conferences

[24] Calzolari, G., and A. Di Pino (2011):          “Simultaneous Equation Models with Endogenous Limited Dependent Variables: Efficiency of Alternative Estimators”, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[23] Calzolari, G., and L. Magazzini (2008): “Estimating Tobit Models for Panel Data with Autocorrelated Errors”, presented at the European Meeting of the Econometric Society. Milano, Universit`a Bocconi, August 27-31.

[22] Magazzini, L., and G. Calzolari (2007): “Modello Tobit a Effetti Casuali: Metodi di Stima Basati sulla Simu­lazione”, presented at the 4^o Convegno Italiano degli Utenti di Stata. Roma: September 24-25.

[21] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “The Relative Efficiency of Pseudo Maximum Likelihood Es­timation and Inference in Conditionally Heteroskedastic Dynamic Regression Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[20] Di Iorio, F., and G. Calzolari (2003): “Relative Efficiency of Indirect Inference for ARFIMA Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (1999): “Constrained EMM Estimation”, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1.

[18] Calzolari, G., F. Mealli, and C. Rampichini (1999): “Indirect Estimation of Logit Multilevel Models”, presented at the 2nd International Amsterdam Conference on Multilevel Analysis. Amsterdam: August 30-31.

[17] Calzolari, G., G. Fiorentini, and E. Sentana (1998): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, presented at ASSET. Bologna, October 23-25.

[16] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998):   “Indirect Estimation of Continuous Time Interest Rate Models”, presented at the Workshop on China’s Financial Markets. Shanghai: Jiaotong University-CEIBS, August 19-20.

[15] Calzolari, G., F. Mealli, and C. Rampichini (1998): “Indirect Estimation of Logit Models with Random-Effects”, presented at the European Meeting of the Econometric Society. Berlin: Humboldt Universit¨at, August 29­September 2.

[14] Calzolari, G., and G. Fiorentini (1996): “Indirect Inference for Censored Regression Models with Conditional Het­eroskedasticity”, presented at the European Meeting of the Econometric Society. Istanbul: Bogazici University, August 25-29.

[13] Calzolari, G., and L. Sampoli (1989): “Instrumental Variables Interpretations of FIML and Nonlinear FIML”, presented at the European Meeting of the Econometric Society. Ludwig Maximilians Universit¨at M¨unchen, September 4-8.

[12] Calzolari, G., and L. Panattoni (1988):        “Coherent Forecast with Nonlinear Econometric Models”, presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit

Amsterdam, June 12-15.

[11] Bianchi, C., J. L. Brillet, and G. Calzolari (1985): “Measuring Forecast Uncertainty in a Macro Model of the French Economy”, presented at The Fifth International Symposium on Forecasting. Montreal: McGill University, June 9-12.

[10] Calzolari, G., and L. Panattoni (1984):         “A Simulation Study on FIML Covariance Matrix”, presented at the European Meeting of the Econometric Society. Universidad Autonoma de Madrid, September 3-7.

[9] Calzolari, G., and L. Panattoni (1984): “Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix”, presented at The Fourth International Symposium on Forecasting. London Business School, July 8-11.

[8] Bianchi, C., J. L. Brillet, and G. Calzolari (1983): “Analysis and Measurement of the Uncertainty in Mini-DMS Model for the French Economy”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[7] Calzolari, G., and L. Panattoni (1983): “Hessian and Approximated Hessian Matrices in Maximum Likelihood Estimation: A Monte Carlo Study”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[6] Bianchi, C., and G. Calzolari (1983): “Confidence Intervals of Forecasts from Nonlinear Econometric Models”, presented at The Third International Symposium on Forecasting. Philadelphia: The Wharton School, June 5-8.

[5] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1982): “Uncertainty of Policy Recommendations for Non­linear Econometric Models: Some Empirical Results”, presented at the 1982 Conference on Economic Dynamics and Control, “Decision Making Under Uncertainty”. Washington DC: Federal Reserve Board, June 9-11.

[4] Bianchi.      C., G. Calzolari, P. Corsi, and L. Panattoni (1980): “Significance of the Characteristic Roots in Linearized Econometric Models”, presented at the Economics and Control Conference. Princeton University, June 2-4.

[3] Bianchi, C. e G. Calzolari (1978): “La Varianza dell’Errore di Previsione nei Modelli Econometrici: Applicazione ad un Modello Nonlineare dell’Economia Italiana”, presentato al IV Convegno su Teoria dei Sistemi ed Economia. Udine: C.I.S.M., 23-25 Ottobre.

[2] Bianchi, C., G. Calzolari, E. M. Cleur, G. Gambetta, A. Stagni, and F. Sterbenz (1978): “Stochastic Simulation and Dynamic Properties of the New Version of the Italian Model”, presented at the Annual Meeting of Project Link. Athens: Center of Planning and Economic Research, October 2-7.

[1] Bianchi, C., G. Calzolari, and P.      Corsi (1976): “Monte Carlo Methods in Econometrics: a Package for the Stochastic Simulation”, presented at the Congr`es Europ´een des Statisticiens. Universit´e Scientifique et M´edicale de Grenoble, September 6-10.

(I) Thesis

[1] Calzolari, G. (1969): “Prove a Scariche Parziali negli Isolamenti Impregnati con Olii”. Universit`a di Bologna, Tesi di Laurea in Ingegneria Elettrotecnica, 25 Luglio.

 CURRICULUM VITAE ET STUDIORUM

Giorgio Calzolari

Italian, born in Ferrara (1946).

Professor of Econometrics. University of Firenze, Department of Statistics, Computer Science, Applications ”G. Parenti” (part time after retirement in 2016).

Main previous appointments

Professor of Econometrics, University of Firenze, Department of Statistics (1991-2016).

Research staff member (econometric team), IBM Scientific Center, Pisa (1971-90).

Other previous appointments

President of SIdE -IEA, Societ`a Italiana di Econometria -Italian Econometric Association, 2012.

Director of the summer econometric courses for doctoral students (CIDE, Centro Interuniversitario di Econome­

tria, 1999-2005), Part time Professor at CEIBS, China Europe International Business School, Jiaotong University, Shanghai, MBA Program (1996 and 1998);

Director of the Computer Center, Faculty of Economics, University of Firenze (1992-98). Professor of Econometrics, University of Messina, Faculty of Political Science (1990-91). Part time Professor of Econometrics, Universities of Perugia (1983-84), Padova (1985-87), Firenze (1988-90) and

Messina (1992-93).

Part time Professor of Computer Science, Istituto Agronomico per l’Oltremare, Ministero degli Affari Esteri, Firenze (1975-78). Officer of the Aeronautica Militare Italiana (1970-71). Research staff member, Laboratories Robert Bosch GmbH, Stuttgart, (1969-70).

Editorial and advisory panels

Chairman of the Econometrics Programme Committee of the European Meeting of the Econometric Society 1989

(ESEM’89, M¨unchen). Associate Editor of the Journal of Financial Econometrics (2001-2012), Bulletin of Economic Research (from 2000), International Journal of Forecasting (1987-1995), and of Metodoloski Zvezki -Journal of Statistical Society of Slovenia (from 2013).

Secretary of the Local Programme Committee of the 49-th Session of the International Statistical Institute (ISI) 1993 (Firenze). Member elected of the International Statistical Institute (ISI) (from 1993).

Member of the European Standing Committee of the Econometric Society (1988-91). Member of the Programme Committee of the European Meeting of the Econometric Society 1987 (Copenhagen), 1993 (Uppsala), 1994 (Maastricht), 1996 (Istanbul), and of the 7th World Congress of the Econometric Society 1995 (Tokyo).

Co-organizer of the IBM Europe Institute seminar on Econometric Modeling (Oberlech, July 1986). ´

Referee of Annales d’ Economie et de Statistique, Computational Statistics & Data Analysis, Econometrica, Econometric Reviews, Econometrics Journal, Econometric Theory, Empirical Economics, International Eco­nomic Review, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Journal of Econo­metrics, Journal of Economic Dynamics and Control, Journal of the Italian Statistical Society, Journal of the Royal Statistical Society B, Metron, Research in Economics, Scandinavian Journal of Statistics, Statistica.

Session Chairman (European Meeting of the Econometric Society, World Congress of the Econometric Society, International Symposium on Forecasting, International Statistical Institute, Societ`a Italiana di Statistica).

Reviewer of research projects, National Science Foundation (Washington D.C., 1984). Member of the Scientific Commissions Metodi Statistici ed Econometria (1990-93), and Nuove Tecnologie Infor­matiche in Statistica (1993-96) of the Italian Statistical Society (SIS).

Co-organizer of the CIDE and SIS Seminars Modelli Dinamici di Breve e Lungo Periodo (Firenze, November 1992) and Modelli Non Lineari e Reti Neurali (Bologna, January 1995).

Education

1969, University of Bologna: Laurea con lode in Electrical Engineering (2% graduated with honors, in 1969). 1964, Ferrara: Maturit`a Classica .

Visiting

Universit¨at Konstanz (January-February 2017 and 2018). Universit¨at Dortmund, Fachbereich Statistik (July 1998). Stockholm School of Economics, Department of Economic Statistics (June 1998). University of Wyoming, Laramie, Department of Economics (December 1990 and February-March 1998). University of Tilburg, CENTER (February 1990). University of Birmingham, Department of Economics (February 1990). University of Warwick, Department of Economics (Summer Workshop 1985). University of Bonn, Department of Economics (June-September 1979).

Invited seminars

University of Salerno (2018). University of Siena (2014). University of Konstanz (2014). University of Trieste (2001, 2010). University of Genova (2009). University of Verona (2009). University of Copenhagen (2008). ECARES-ULB (Bruxelles, 2007). Ente Einaudi (Roma, 2000). University of Salerno (2000). European Univer­sity Institute (Firenze, 1994, 1999). Stockholm School of Economics (1998). University of Dortmund (1998). Rheinisch Westf¨aliches Institut f¨ur Wirtshaftsforschung (Essen. 1998). Jiaotong University-CEIBS (Shanghai, 1996, 1998). University of Wyoming (Laramie, 1990, 1998). University of Udine (1997). University of Valencia (1995). University of Trento (1992). University of Tilburg-CENTER (1990). University of Birmingham (1990). University of Napoli Federico II (1990). University of Padova (1984, 1990). Seminari CIDE (Universit`a Cattolica, Milano, 1987, 1988). S´eminaire Malinvaud,INSEE (Paris, 1987). University of Venezia (1987). Banca d’Italia (Roma, 1987). University of Warwick (1985). Annual Meeting of the Swedish Econometricians (Kristianstadt, 1983). Michigan State University (East Lansing, 1983). University of Bonn (1979). Sogesta (Urbino, 1978). University of Modena (1977). Prometeia (Bologna, 1977).

Author of software packages

Indirect Estimation (from 1996):

variance reduction in indirect inference using control variates, constrained estimation, with application to stochas­tic volatility, conditionally heteroskedastic factor models and models with α-stable innovations. Stochastic Simulation of Tobit models and ARCH-GARCH models (1989-96): Monte Carlo simulation, computational performances of estimators (convergence speed), simulation approach to

small sample behaviour of estimators (for personal and mainframe computers). Stochastic Simulation of Macroeconometric Models (1976-88): Monte Carlo simulation of large scale nonlinear macroeconometric models, estimation of simultaneous equations,

simulation approach to small sample behaviour of estimators (instrumental variables and maximum likelihood), multipliers, forecasts and related confidence intervals (for mainframe computers, adapted to PC). Interactive Management of Time Series (1973-82):

data handling and transformation, regression analysis and construction of macroeconometric models (for main­frame computers, adapted to PC).

Applied econometric work

Estimation, simulation and validation of macroeconometric models: Il Modellaccio (University of Ancona). Italian model of Project Link (University of Bologna and Prometeia). ISPE model (Istituto di Studi per la Programmazione Economica, Roma). Mini-DMS and Micro-DMS models of INSEE (Paris). German models of Project Link, Model-5 and Model-10 (University of Bonn). IBM/UK quarterly model. COMET (a linkage model of the EEC countries). Model Link (the linkage import/ export matrix).

PUBLICATIONS

(A) Book

[1] Calzolari, G. (1987): La Varianza delle Previsioni nei Modelli Econometrici. Padova: CLEUP Editore.

(B) Journals printed in Italy

[5] Calzolari, G., F. Di Iorio, and G. Fiorentini (2001): “Indirect Inference and Variance Reduction using Control Variates”, Metron 59, 39-53.

[4] Calzolari, G., and G. Fiorentini (1993): “Estimating Variances and Covariances in a Censored Regression Model”, Statistica 53, 323-339.

[3] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1985): “Asymptotic Properties of Dynamic Multipliers in Nonlinear Econometric Models”, Economic Notes 14, 97-117.

[2] Calzolari, G. (1983): “Sull’Affidabilit`a Previsiva dei Modelli Econometrici: Valutazione A Priori degli Errori di Previsione”, Note di Informatica 3, 15-28.

[1] Bianchi, C., G. Calzolari e F. Sartori (1982): “Stime 2SLS con Componenti Principali di un Modello Non Lineare dell’Economia Italiana”, Note Economiche 2, 114-137.

(C) Journals printed in other countries

[36] Calzolari, G. (2017): “Econometrics Exams and Round Numbers: Use or Misuse of Indirect Estimation Meth­ods?”. Communications in Statistics -Simulation and Computation, DOI: 10.1080/03610918.2017.1348514.

[35] Gottard, A, and Calzolari, G. (2017):          “Estimating Multiple-Membership Logit Models with Mixed Effects: Indirect Inference versus Data Cloning”, Journal of Statistical Computation and Simulation 87, 2334-2348.

[34] Calzolari, G., and A. Di Pino Incognito (2017): “Self Selection and Direct Estimation of Across-Regime Corre­lation Parameter”, Journal of Applied Statistics 44 (12).

[33] Calzolari, G., R. Halbleib, and A. Parrini (2014): “Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood”, Computational Statistics and Data Analysis 76, 158-171.

[32] Calzolari, G., and L. Magazzini (2012):       “Autocorrelation and Masked Heterogeneity in Panel Data Models Estimated by Maximum Likelihood”, Empirical Economics 43, 145-152.

[31] Lombardi, M. J., and G. Calzolari (2009): “Indirect Estimation of α-Stable Stochastic Volatility Models”, Com­putational Statistics and Data Analysis 53, 2298-2308.

[30] Sentana, E., G. Calzolari, and G. Fiorentini (2008): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”, Journal of Econometrics 146, 10-25.

[29] Lombardi, M. J., and G. Calzolari (2008): “Indirect Estimation of α-Stable Distributions and Processes”, Econo­metrics Journal 11, 193-208.

[28] Di Iorio, F., and G. Calzolari (2006): “Discontinuities in Indirect Estimation: an Application to EAR Models”, Computational Statistics and Data Analysis 50, 2124-2136.

[27] Calzolari, G., G. Fiorentini, and E. Sentana (2004): “Constrained Indirect Estimation”,          Review of Economic Studies 71, 945-973.

[26] Fiorentini, G., E. Sentana, and G. Calzolari (2004):             “On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models”, Economics Letters 83, 307-312.

[25] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “Maximum Likelihood Estimation and Inference in Mul­tivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations, ”, Journal of Business & Economic Statistics 21, 532-546.

[24] Calzolari, G., and G. Fiorentini (1998): “A Tobit Model with GARCH Errors”, Econometric Reviews 17, 85-104.

[23] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”, Econometrics Journal 1, C100-C112.

[22] Fiorentini, G., G. Calzolari, and L. Panattoni (1996): “Analytic Derivatives and the Computation of GARCH Estimates”, Journal of Applied Econometrics 11, 399-417.

[21] Calzolari, G., and G. Fiorentini (1993):         “Alternative Covariance Estimators of the Standard Tobit Model”, Economics Letters 42, 5-13.

[20] Calzolari, G., and L. Sampoli (1993): “A Curious Result on Exact FIML and Instrumental Variables”, Econo­metric Theory 9, 296-309.

[19] Calzolari, G., and L. Panattoni (1990): “Mode Predictors in Nonlinear Systems with Identities”, International Journal of Forecasting 6, 317-326.

[18] Sterbenz, F. P., and G. Calzolari (1990):     “Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models”, Journal of Applied Econometrics 5, 137-150.

[17] Calzolari, G., and L. Panattoni (1988): “Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study”, Econometrica 56, 701-714.

[16] Calzolari, G. (1987): “Forecast Variance in Dynamic Simulation of Simultaneous Equation Models”, Econometrica 55, 1473-1476.

[15] Calzolari, G., L. Panattoni, and C. Weihs (1987): “Computational Efficiency of FIML Estimation”, Journal of Econometrics 36, 299-310.

[14] Bianchi, C., J. L. Brillet, and G. Calzolari (1987): “Measuring Forecast Uncertainty: A Review with Evaluation Based on a Macro Model of the French Economy”, International Journal of Forecasting 3, 211-227.

[13] Weihs, C., G. Calzolari, and L. Panattoni (1987): “The Behavior of Trust-Region Methods in FIML-Estimation”, Computing 38, 89-100.

[12] Calzolari, G., and F. P. Sterbenz (1986): “Control Variates to Estimate the Reduced Form Variances in Econo­metric Models”, Econometrica 54, 1483-1490.

[11] Bianchi, C., J. L. Brillet et G. Calzolari (1984): “Analyse et Mesure de l’Incertitude en Pr´evision d’un Mod`ele Econom´etrique. Application au Mod`ele Mini-DMS”, Annales de l’INSEE 54, 31-62.

[10] Calzolari, G. (1983): “Asymptotic Distribution of Power Spectra and Peak Frequencies in the Stochastic Response of Econometric Models”, Journal of Economic Dynamics and Control 5, 235-247.

[9] Calzolari, G. (1983): “Asymptotic Standard Errors of Point Elasticities Calculated from Simultaneous Equation Systems”, Economics Letters 11, 237-244.

[8] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Estimating Asymptotic Standard Errors and Inconsistencies of Impact Multipliers in Nonlinear Econometric Models”, Journal of Econometrics 16, 277-294.

[7] Calzolari, G. (1981): “A Note on the Variance of Ex-Post Forecasts in Econometric Models”, Econometrica 49, 1593-1595.

[6] Bianchi, C., and G. Calzolari (1980):            “The One-Period Forecast Errors in Nonlinear Econometric Models”, International Economic Review 21, 201-208. Reprinted in Macroeconometric Modelling, ed. by K. F. Wallis (1994). Cheltenham: Edward Elgar Publishing Ltd., The International Library of Critical Writings in Econometrics, Vol. 2, 183-190.

[5] Calzolari, G. (1979): “Antithetic Variates to Estimate the Simulation Bias in Non-Linear Models”, Economics Letters 4, 323-328.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Stability of the Klein-I Model”, Economics Letters 4, 33-35.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Monte Carlo Approach to Compute the Asymptotic Standard Errors of Dynamic Multipliers”, Economics Letters 2, 161-164.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Note on the Numerical Results by Goldberger, Nagar and Odeh”, Econometrica 47, 505-506.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1978): “A Program for Stochastic Simulation of Econometric Models”, Econometrica 46, 235-236.

(D) Book chapters, essays in collective volumes, conference proceedings

[29] Aielli, G. P., G. Calzolari, and G. Fiorentini (2013): “Fast Indirect Estimation of Latent Factor Models with Conditional Heteroskedasticity”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2579/335

[28] Calzolari, G., and A. Di Pino (2013): “Across-Regime Correlation in a Switching Regression Model: A FIML Approach”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2604/473

[27] Calzolari, G., and A. Di Pino (2009): “Individual Wage and Reservation Wage: Efficient Estimation of a Simul­taneous Equation Model with Endogenous Limited Dependent Variables”, in Proceedings of Scientific Meeting of the Italian Statistical Society: Statistical Methods for the Analysis of Large Data-Sets. Pescara: University G. D’Annunzio, September 23-25, 343-346. ISBN 978-88-6129-425-7.

[26] Otranto, E., G. Calzolari, and F. Di Iorio (2005):     “Indirect Estimation of Markov Switching Models with Endogenous Switching”, in S.Co. 2005: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 227-232.

[25] Lombardi, M. J., G. Calzolari, and G. M. Gallo (2003): “Indirect Inference for α-Stable Distributions”, in S.Co. 2003: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, Atti del Convegno, Treviso 4-6 settembre. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, 278-283.

[24] Calzolari, G., and L. Neri (2002): “Imputation of Continuous Variables Missing at Random using the Method of Simulated Scores”, in Compstat 2002, Proceedings in Computational Statistics, 15th Symposium held in Berlin, ed. by W. H¨ardle and B. R¨onz. Heidelberg: Physika Verlag, 389-394.

[23] Calzolari, G., L. Magazzini, and F. Mealli (2001): “Simulation-Based Estimation of Tobit Model with Random Effects”, in Econometric Studies, a Festschrift in Honour of Joachim Frohn, ed. by R. Friedmann, L. Kn¨uppel, and H. L¨utkepohl. M¨unster: LIT Verlag, 349-369.

[22] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, in Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 63-68.

[21] Calzolari, G. (1994): “Presentazione”, in Software Sperimentale per la Statistica: Una Raccolta di Programmi Didattico-Applicativi, a cura della Societ`a Italiana di Statistica. Firenze: Centro Duplicazione Offset, 5-6.

[20] Calzolari, G. (1992): “Stima delle Equazioni Simultanee Non-Lineari: Una Rassegna”, in Atti della XXXVI Riu­nione Scientifica della Societ`a Italiana di Statistica. Roma: CISU Centro d’informazione e stampa universitaria, Vol. 1, 447-458.

[19] Bianchi, G., J. L. Brillet, and G. Calzolari (1988): “A Trade-off Criterion for Evaluating Effectiveness and Reli­ability of Alternative Policy Actions”, in Atti del Dodicesimo Convegno A.M.A.S.E.S. Palermo, 14-16 Settembre, 185-217.

[18] Calzolari, G., and L. Panattoni (1988): “Finite Sample Performance of the Robust Wald Test in Simultaneous Equation Systems”, in Advances in Econometrics, Vol. 7, ed. by G. F. Rhodes, Jr., and T. B. Fomby. Greenwich, CO:JAI Press Inc., 163-191.

[17] Calzolari, G. e L. Panattoni (1988): “Il Problema della Coerenza delle Previsioni nei Modelli Econometrici Non Lineari”, in Atti della XXXIV Riunione Scientifica della Societ`a Italiana di Statistica. Siena: Nuova Immagine Editrice, Vol. 2/1, 271-278.

[16] Calzolari, G., and L. Panattoni (1987):         “Gradient Methods in FIML Estimation of Econometric Models”, in Developments of Control Theory for Economic Analysis, ed. by C. Carraro, and D. Sartore. Dordrecht: Martinus Nijhoff, Kluwer Academic Publishers, 143-153.

[15] Bianchi, C., and G. Calzolari (1983): “Standard Errors of Forecasts in Dynamic Simulation of Nonlinear Econo­metric Models: Some Empirical Results”, in Time Series Analysis: Theory and Practice 3, ed. by O. D. Anderson. Amsterdam: North-Holland Publishing Company, 177-198.

[14] Bianchi, C., and G. Calzolari (1982): “Evaluating Forecast Uncertainty Due to Errors in Estimated Coefficients: Empirical Comparison of Alternative Methods”, in Evaluating the Reliability of Macro-Economic Models, ed. by

[13] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Standard Errors of Multipliers and Forecasts from Structural Coefficients with Block-Diagonal Covariance Matrix”, in Dynamic Modelling and Control of National Economies (IFAC), ed. by J. M. L. Janssen, L. F. Pau, and A. J. Straszak. Oxford: Pergamon Press, 311-316.

[12] Bianchi, C., and G. Calzolari (1981):            “A Simulation Approach to Some Dynamic Properties of Econometric Models”, in Mathematical Programming and its Economic Application, ed. by G. Castellani, and P. Mazzoleni. Milano: Franco Angeli Editore, 607-621.

[11] Bianchi, C., and G. Calzolari (1980): “Simulation of a Nonlinear Econometric Model”, in Simulation of Systems ’79, ed. by L. Dekker, G. Savastano, and G. C. Vansteenkiste. Amsterdam: North-Holland Publishing Company, 105-113.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1980): “A Package for Analytic Simulation of Econometric Models”, in Optimization Techniques, Proceedings of the 9th IFIP Conference on Optimization Techniques, Warsaw, Septem­ber 4-8, 1979, ed. by K. Iracki, K. Malanowski, and S. Walukiewicz. Berlin: Springer Verlag, Part 2, 404-413.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “Some Results on the Stochastic Simulation of a Nonlinear Model of the Italian Economy”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 411-418.

[8] Ranuzzi, P., C. Bianchi, and G. Calzolari (1979): “A Bilateral Linkage Model for the EEC Economies”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 171-178.

[7] Bianchi, C., G. Calzolari, and E. M. Cleur (1978): “Spectral Analysis of Stochastic and Analytic Simulation Re­sults for a Nonlinear Model for the Italian Economy”, in Compstat 1978, Proceedings in Computational Statistics, ed. by L. C. A. Corsten, and J. Hermans. Vienna: Physica Verlag, 348-354.

[6] Calzolari, G., and P.           Corsi (1977): “Stochastic Simulation as a Validation Tool for Econometric Models”, in Models for Regional Planning and Policy-Making, ed. by A. Straszak, and B. V. Wagle. Peterlee: IBM UKSC 0097, 359-369.

[5] Bianchi, C., G. Calzolari, P. Corsi, F. Sartori e I. Specioso (1977): “Aggiornamento del Modello al 1974 e Nuove Simulazioni”, in Il Modellaccio, a cura di Giorgio Fu`a. Milano: Franco Angeli Editore, Vol. 4, 162-188.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Simulation Properties of Alternative Methods of Estimation: an Application to a Model of the Italian Economy”, in Compstat 1976, Proceedings in Computational Statistics, ed. by J. Gordesch, and P. Naeve. Vienna: Physica Verlag, 407-415.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Divergences in the Results of Stochastic and Deterministic Sim­ulation of an Italian Non-Linear Econometric Model”, in Simulation of Systems, ed. by L. Dekker. Amsterdam: North-Holland Publishing Company, 653-661.

[2] Bianchi, C., G. Calzolari, T. A. Ciriani, P.    Corsi, E. Cleur, G. C. Romagnoli e B. Sitzia (1976): “Analisi e Simulazione Stocastica di un Modello Aggregato dell’Economia Italiana 1952-1971”, in Teoria dei Sistemi ed Economia, a cura della Segreteria del G.E.S., prefazione di S. Lombardini e A. Ruberti. Bologna: Il Mulino, 193-219.

[1] Calzolari, G. (1974): “Interactive Management for Time Series”, in Compstat 1974, Proceedings in Computational Statistics, ed. by G. Bruckmann, F. Ferschl and L. Schmetterer. Vienna: Physica Verlag, 468-478.

(E) Working papers of universities and research institutes

[35] Calzolari, G. (2015): “Indirect Estimation and Econometrics Exams: How to Live a Round Life”. Econometrics Working Papers Archive 2015-01, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[34] Calzolari, G., and R. Halbleib (2014): “Estimating Stable Factor Models by Indirect Inference”. University of Konstanz, Department of Economics, Working Paper 2014-25.

[33] Gottard, A., and G. Calzolari (2014): “Alternative Estimating Procedures for Multiple Membership Logit Models with Mixed Effects: Indirect Inference and Data Cloning”, Econometrics Working Papers Archive 2014-07, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[32] Calzolari, G., and L. Magazzini (2014): “Improving GMM Efficiency in Dynamic Models for Panel Data with Mean Stationarity”, Working Paper 12/2014, University of Verona, Department of Economics.

[31] Calzolari, G., and A. Di Pino (2014): “Self-Selection and Direct Estimation of Across-Regime Correlation Pa­rameter”, Econometrics Working Papers Archive 2014-04, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[30] Calzolari, G., and L. Magazzini (2013): “A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence”, Working Paper 14/2013, University of Verona, Department of Economics.

[29] Calzolari, G., R. Halbleib, and A. Parrini (2012): “Indirect Estimation of α-Stable GARCH Models”. Univer­sity of Konstanz, Department of Economics, Working Paper 2012-31, presented at the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Conference Centre, Oviedo, December 1-3.

[28] Calzolari, G., and L. Magazzini (2011): “Moment Conditions and Neglected Endogeneity in Panel Data Models”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2011/02, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[27] Magazzini, L., and G. Calzolari (2010): “Negative Variance Estimates in Panel Data Models”.           Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2010/15.

[26] Calzolari, G., and L. Neri (2010):     “The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values”. Universit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2010/01.

[25] Calzolari, G., and L. Magazzini (2009): “Poor Identification and Estimation Problems in Panel Data Models with Random Effects and Autocorrelated Errors”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2009/53, presented at the third Italian Congress of Econometrics and Empirical Economics. Ancona: Universit`a Politecnica delle Marche, January 30-31.

[24] Sentana, E., G. Calzolari, and G. Fiorentini (2007): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”. Rimini Center for Economic Analysis, Working Paper 40-07.

[23] Lombardi, M. J., and G. Calzolari (2006): “Indirect Estimation of α-Stable Stochastic Volatility Models”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2006/07.

[22] Lombardi, M. J., and G. Calzolari (2004): “Indirect Estimation of α-Stable Distributions and Processes”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2004/07.

[21] Calzolari, G., and L. Neri (2002): “A Method of Simulated Scores for Imputation of Continuous Variables Missing at Random”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 49/2002, presented at the European Meeting of the Econometric Society. Venezia: Universit`a Ca’ Foscari, August 25-28.

[20] Calzolari, G., F. Mealli, and C. Rampichini (2001): “Alternative Simulation-Based Estimators of Logit Models with Random-Effects”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 48/2001, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1, 1999.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Constrained Indirect Inference Estimation”. London School of Economics, Financial Markets Group, discussion paper No. 384.

[18] Fiorentini, G., E. Sentana, and G. Calzolari (2000): “The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student-t Innovations, and an LM Test for Multivariate Normality”. Madrid: CEMFI, Working Paper No. 0007.

[17] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Estimation of Just-Identified Models with Control Variates”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 46/1999.

[16] Weihs, C., G. Calzolari, and M. C. R¨ohl (1999): “Variance Reduction with Monte Carlo Estimates of Error Rates in Multivariate Classification”. Universit¨at Dortmund: Technical Report 44/1999, SFB 475.

[15] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Inference and Variance Reduction using Control Variates”. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, Modelli Complessi e Metodi Computazion­ali Intensivi per la Stima e la Previsione 229-234.

[14] Calzolari, G., F. Di Iorio, and G. Fiorentini (1996): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”. Shanghai: Jiaotong University, China Europe International Business School, Working Paper No. 006, presented at the European Conferences of the Econom[etr]ic Community EC² , Firenze, 12-14 December.

[13] Calzolari, G., and G. Fiorentini (1994): “Conditional Heteroskedasticity in Nonlinear Simultaneous Equations”. Florence: European University Institute, Working Paper ECO No. 94/44, presented at the European Meeting of the Econometric Society, Maastricht, University of Limburg, August 29-September 2.

[12] Calzolari, G., G. Fiorentini, and L. Panattoni (1993):            “Alternative Estimators of the Covariance Matrix in GARCH Models”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 11, presented at the European Meeting of the Econometric Society, Uppsala, August 22-26.

[11] Calzolari, G., and G. Fiorentini (1992): “Alternative Methods for GARCH Estimation”, Universit`a di Firenze: Dipartimento Statistico, Working Paper No. 44, presented at the European Meeting of the Econometric Society, Bruxelles, August 24-28.

[10] Bianchi, C., G. Calzolari, and F. P. Sterbenz (1991): “Simulation of Interest Rate Options Using ARCH”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 10, presented at the European Meeting of the Econometric Society, Cambridge, U.K., September 2-6.

[9] Sterbenz, F. P., and G. Calzolari (1987):      “The Impact of Structural Error Specifications on the Simulation of Nonlinear Econometric Models”. Columbus: The Ohio State University, College of Business, WPS 87-37, presented at the European Meeting of the Econometric Society, Copenhagen, August 24-28.

[8] Bianchi, C. e G. Calzolari (1987): “Varianza delle Previsioni e dei Parametri della Forma Ridotta dei Modelli Simultanei: Metodi di Calcolo Analitici e Metodi Monte Carlo”. Milano: Universit`a Cattolica del Sacro Cuore, Istituto di Matematica Generale, Finanziaria ed Economica, Quaderno No. 3.

[7] Brillet, J. L., G. Calzolari, and L. Panattoni (1986): “Coherent Optimal Prediction with Large Nonlinear Systems: An Example Based on a French Model”. Paris: INSEE, Service des Programmes, presented at the European Meeting of the Econometric Society, Budapest, September 1-5.

[6] Bianchi, C., J. L. Brillet, and G. Calzolari (1986): “Forecasts and Constraints on Policy Actions: The Reliabil­ity of Alternative Instruments”. Paris: INSEE, Service des Programmes, presented at The Sixth International Symposium on Forecasting, Paris, INSEAD, June 15-18.

[5] Bianchi, C., J. L. Brillet, and G. Calzolari (1985):     “Effectiveness versus Reliability of Policy Actions under Government Budget Constraint: The Case of France”. Paris: INSEE, Service des Programmes, presented at The Fifth World Congress of the Econometric Society, M.I.T., Cambridge, MA, August 17-24.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “The Asymptotic Distribution of Impact Multipliers for a Non-Linear Structural Econometric Model”, in Seminari di Econometria e di Matematica Applicata. Universit`a degli Studi di Modena: Istituto Statistico-Matematico, Facolt`a di Economia e Commercio, 1-24.

[3] Calzolari, G. (1979): “Stochastic Simulation Experiments on Model5 of Bonn University”.    Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 102.

[2] Calzolari, G. (1979): “The Asymptotic Distribution of Power Spectra in Dynamic Econometric Models”. Univer­sit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 101.

[1] Calzolari, G. (1979): “The Deterministic Simulation Bias in the Klein-Goldberger Model”.      Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 100.

(F) Software: IBM Technical disclosure bulletin

[5] Bianchi, C., and G. Calzolari (1979):           “A Condensed Version of the O.E.C.D. Foreign Trade by Commodities Tapes”, IBM Technical Disclosure Bulletin 22, 1944-1946.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1978): “Stochastic Simulation: a Package for Monte Carlo Experiments on Econometric Models”, IBM Technical Disclosure Bulletin 20, 3972-3975.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Utilizing a Program Loaded into the User Program Area, to Load Another Module in the Same User Program Area”, IBM Technical Disclosure Bulletin 19, 1303-1305.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1976): “User Defined Functions and Operators”, IBM Technical Disclosure Bulletin 19, 1300-1302.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”, IBM Technical Disclo­sure Bulletin 17, 1653-1657.

(G) IBM Technical reports

[11] Calzolari, G., and L. Panattoni (1985): “Small Sample Performance of Tests in Econometric Models: The Cost of Robustness”. Pisa: IBM Technical Report G513-4075, presented at The Fifth World Congress of the Econometric Society,M.I.T., Cambridge, MA, August 17-24.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Alternative Estimates of the Klein-I Model”. Pisa: IBM Technical Report G513-3584.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Restricted Reduced Form of the Klein-I Model”. Pisa: IBM Technical Report G513-3575.

[8] Bianchi, C., G. Calzolari, and R. Doret (1978): “Van der Giessen’s Reordering Algorithm in the Program for Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report Z513-5101.

[7] Bianchi, C., G. Calzolari, and P.     Corsi (1978): “Stochastic Simulation of Econometric Models: Installation Procedures and User’s Instructions”. Pisa: IBM Technical Report G513-3568.

[6] Bianchi, C., G. Calzolari, and P. Lischi (1978): “A Manageable Support for the O.E.C.D. Data on Foreign Trade by Commodities”. Pisa: IBM Technical Report G513-3567.

[5] Bianchi, C., G. Calzolari, P. Corsi, and B. Sitzia (1976): “Stochastic Simulation of an Aggregated Model of the Italian Economy: Methodological and Empirical Aspects”. Pisa: IBM Technical Report G513-3545.

[4] Calzolari, G., T. A. Ciriani, and P. Corsi (1976): “Generation and Testing of Pseudo-Random Numbers with Assigned Statistical Properties to be Used in the Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report G513-3544.

[3] Bianchi, C., G. Calzolari e P. Corsi (1975): “DMS/2, Un Sistema per la Soluzione e Simulazione Interattiva di Modelli Econometrici”. Pisa: Rapporto Tecnico IBM G513-3538.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”. Pisa:         IBM Technical Report G513-3530.

[1] Calzolari, G. (1973): “Un Linguaggio per la Gestione dell’Archivio delle Serie Storiche”. Pisa: Nota Tecnica IBM G513-3704.

(H) Other papers presented at conferences

[24] Calzolari, G., and A. Di Pino (2011):          “Simultaneous Equation Models with Endogenous Limited Dependent Variables: Efficiency of Alternative Estimators”, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[23] Calzolari, G., and L. Magazzini (2008): “Estimating Tobit Models for Panel Data with Autocorrelated Errors”, presented at the European Meeting of the Econometric Society. Milano, Universit`a Bocconi, August 27-31.

[22] Magazzini, L., and G. Calzolari (2007): “Modello Tobit a Effetti Casuali: Metodi di Stima Basati sulla Simu­lazione”, presented at the 4^o Convegno Italiano degli Utenti di Stata. Roma: September 24-25.

[21] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “The Relative Efficiency of Pseudo Maximum Likelihood Es­timation and Inference in Conditionally Heteroskedastic Dynamic Regression Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[20] Di Iorio, F., and G. Calzolari (2003): “Relative Efficiency of Indirect Inference for ARFIMA Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (1999): “Constrained EMM Estimation”, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1.

[18] Calzolari, G., F. Mealli, and C. Rampichini (1999): “Indirect Estimation of Logit Multilevel Models”, presented at the 2nd International Amsterdam Conference on Multilevel Analysis. Amsterdam: August 30-31.

[17] Calzolari, G., G. Fiorentini, and E. Sentana (1998): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, presented at ASSET. Bologna, October 23-25.

[16] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998):   “Indirect Estimation of Continuous Time Interest Rate Models”, presented at the Workshop on China’s Financial Markets. Shanghai: Jiaotong University-CEIBS, August 19-20.

[15] Calzolari, G., F. Mealli, and C. Rampichini (1998): “Indirect Estimation of Logit Models with Random-Effects”, presented at the European Meeting of the Econometric Society. Berlin: Humboldt Universit¨at, August 29­September 2.

[14] Calzolari, G., and G. Fiorentini (1996): “Indirect Inference for Censored Regression Models with Conditional Het­eroskedasticity”, presented at the European Meeting of the Econometric Society. Istanbul: Bogazici University, August 25-29.

[13] Calzolari, G., and L. Sampoli (1989): “Instrumental Variables Interpretations of FIML and Nonlinear FIML”, presented at the European Meeting of the Econometric Society. Ludwig Maximilians Universit¨at M¨unchen, September 4-8.

[12] Calzolari, G., and L. Panattoni (1988):        “Coherent Forecast with Nonlinear Econometric Models”, presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit

Amsterdam, June 12-15.

[11] Bianchi, C., J. L. Brillet, and G. Calzolari (1985): “Measuring Forecast Uncertainty in a Macro Model of the French Economy”, presented at The Fifth International Symposium on Forecasting. Montreal: McGill University, June 9-12.

[10] Calzolari, G., and L. Panattoni (1984):         “A Simulation Study on FIML Covariance Matrix”, presented at the European Meeting of the Econometric Society. Universidad Autonoma de Madrid, September 3-7.

[9] Calzolari, G., and L. Panattoni (1984): “Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix”, presented at The Fourth International Symposium on Forecasting. London Business School, July 8-11.

[8] Bianchi, C., J. L. Brillet, and G. Calzolari (1983): “Analysis and Measurement of the Uncertainty in Mini-DMS Model for the French Economy”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[7] Calzolari, G., and L. Panattoni (1983): “Hessian and Approximated Hessian Matrices in Maximum Likelihood Estimation: A Monte Carlo Study”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[6] Bianchi, C., and G. Calzolari (1983): “Confidence Intervals of Forecasts from Nonlinear Econometric Models”, presented at The Third International Symposium on Forecasting. Philadelphia: The Wharton School, June 5-8.

[5] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1982): “Uncertainty of Policy Recommendations for Non­linear Econometric Models: Some Empirical Results”, presented at the 1982 Conference on Economic Dynamics and Control, “Decision Making Under Uncertainty”. Washington DC: Federal Reserve Board, June 9-11.

[4] Bianchi.      C., G. Calzolari, P. Corsi, and L. Panattoni (1980): “Significance of the Characteristic Roots in Linearized Econometric Models”, presented at the Economics and Control Conference. Princeton University, June 2-4.

[3] Bianchi, C. e G. Calzolari (1978): “La Varianza dell’Errore di Previsione nei Modelli Econometrici: Applicazione ad un Modello Nonlineare dell’Economia Italiana”, presentato al IV Convegno su Teoria dei Sistemi ed Economia. Udine: C.I.S.M., 23-25 Ottobre.

[2] Bianchi, C., G. Calzolari, E. M. Cleur, G. Gambetta, A. Stagni, and F. Sterbenz (1978): “Stochastic Simulation and Dynamic Properties of the New Version of the Italian Model”, presented at the Annual Meeting of Project Link. Athens: Center of Planning and Economic Research, October 2-7.

[1] Bianchi, C., G. Calzolari, and P.      Corsi (1976): “Monte Carlo Methods in Econometrics: a Package for the Stochastic Simulation”, presented at the Congr`es Europ´een des Statisticiens. Universit´e Scientifique et M´edicale de Grenoble, September 6-10.

(I) Thesis

[1] Calzolari, G. (1969): “Prove a Scariche Parziali negli Isolamenti Impregnati con Olii”. Universit`a di Bologna, Tesi di Laurea in Ingegneria Elettrotecnica, 25 Luglio.

Econometria: simulazione, simulation-based estimators, stima indiretta, equazioni simultanee, modelli Arch-Garch, stima modelli per dati panel. 

Dispense dei corsi di Econometria: http://local.disia.unifi.it/calzolari/materiale-didattico/index.php

 CURRICULUM VITAE ET STUDIORUM

Giorgio Calzolari

Italian, born in Ferrara (1946).

Professor of Econometrics. University of Firenze, Department of Statistics, Computer Science, Applications ”G. Parenti” (part time after retirement in 2016).

Main previous appointments

Professor of Econometrics, University of Firenze, Department of Statistics (1991-2016).

Research staff member (econometric team), IBM Scientific Center, Pisa (1971-90).

Other previous appointments

President of SIdE -IEA, Societ`a Italiana di Econometria -Italian Econometric Association, 2012.

Director of the summer econometric courses for doctoral students (CIDE, Centro Interuniversitario di Econome­

tria, 1999-2005), Part time Professor at CEIBS, China Europe International Business School, Jiaotong University, Shanghai, MBA Program (1996 and 1998);

Director of the Computer Center, Faculty of Economics, University of Firenze (1992-98). Professor of Econometrics, University of Messina, Faculty of Political Science (1990-91). Part time Professor of Econometrics, Universities of Perugia (1983-84), Padova (1985-87), Firenze (1988-90) and

Messina (1992-93).

Part time Professor of Computer Science, Istituto Agronomico per l’Oltremare, Ministero degli Affari Esteri, Firenze (1975-78). Officer of the Aeronautica Militare Italiana (1970-71). Research staff member, Laboratories Robert Bosch GmbH, Stuttgart, (1969-70).

Editorial and advisory panels

Chairman of the Econometrics Programme Committee of the European Meeting of the Econometric Society 1989

(ESEM’89, M¨unchen). Associate Editor of the Journal of Financial Econometrics (2001-2012), Bulletin of Economic Research (from 2000), International Journal of Forecasting (1987-1995), and of Metodoloski Zvezki -Journal of Statistical Society of Slovenia (from 2013).

Secretary of the Local Programme Committee of the 49-th Session of the International Statistical Institute (ISI) 1993 (Firenze). Member elected of the International Statistical Institute (ISI) (from 1993).

Member of the European Standing Committee of the Econometric Society (1988-91). Member of the Programme Committee of the European Meeting of the Econometric Society 1987 (Copenhagen), 1993 (Uppsala), 1994 (Maastricht), 1996 (Istanbul), and of the 7th World Congress of the Econometric Society 1995 (Tokyo).

Co-organizer of the IBM Europe Institute seminar on Econometric Modeling (Oberlech, July 1986). ´

Referee of Annales d’ Economie et de Statistique, Computational Statistics & Data Analysis, Econometrica, Econometric Reviews, Econometrics Journal, Econometric Theory, Empirical Economics, International Eco­nomic Review, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Journal of Econo­metrics, Journal of Economic Dynamics and Control, Journal of the Italian Statistical Society, Journal of the Royal Statistical Society B, Metron, Research in Economics, Scandinavian Journal of Statistics, Statistica.

Session Chairman (European Meeting of the Econometric Society, World Congress of the Econometric Society, International Symposium on Forecasting, International Statistical Institute, Societ`a Italiana di Statistica).

Reviewer of research projects, National Science Foundation (Washington D.C., 1984). Member of the Scientific Commissions Metodi Statistici ed Econometria (1990-93), and Nuove Tecnologie Infor­matiche in Statistica (1993-96) of the Italian Statistical Society (SIS).

Co-organizer of the CIDE and SIS Seminars Modelli Dinamici di Breve e Lungo Periodo (Firenze, November 1992) and Modelli Non Lineari e Reti Neurali (Bologna, January 1995).

Education

1969, University of Bologna: Laurea con lode in Electrical Engineering (2% graduated with honors, in 1969). 1964, Ferrara: Maturit`a Classica .

Visiting

Universit¨at Konstanz (January-February 2017 and 2018). Universit¨at Dortmund, Fachbereich Statistik (July 1998). Stockholm School of Economics, Department of Economic Statistics (June 1998). University of Wyoming, Laramie, Department of Economics (December 1990 and February-March 1998). University of Tilburg, CENTER (February 1990). University of Birmingham, Department of Economics (February 1990). University of Warwick, Department of Economics (Summer Workshop 1985). University of Bonn, Department of Economics (June-September 1979).

Invited seminars

University of Salerno (2018). University of Siena (2014). University of Konstanz (2014). University of Trieste (2001, 2010). University of Genova (2009). University of Verona (2009). University of Copenhagen (2008). ECARES-ULB (Bruxelles, 2007). Ente Einaudi (Roma, 2000). University of Salerno (2000). European Univer­sity Institute (Firenze, 1994, 1999). Stockholm School of Economics (1998). University of Dortmund (1998). Rheinisch Westf¨aliches Institut f¨ur Wirtshaftsforschung (Essen. 1998). Jiaotong University-CEIBS (Shanghai, 1996, 1998). University of Wyoming (Laramie, 1990, 1998). University of Udine (1997). University of Valencia (1995). University of Trento (1992). University of Tilburg-CENTER (1990). University of Birmingham (1990). University of Napoli Federico II (1990). University of Padova (1984, 1990). Seminari CIDE (Universit`a Cattolica, Milano, 1987, 1988). S´eminaire Malinvaud,INSEE (Paris, 1987). University of Venezia (1987). Banca d’Italia (Roma, 1987). University of Warwick (1985). Annual Meeting of the Swedish Econometricians (Kristianstadt, 1983). Michigan State University (East Lansing, 1983). University of Bonn (1979). Sogesta (Urbino, 1978). University of Modena (1977). Prometeia (Bologna, 1977).

Author of software packages

Indirect Estimation (from 1996):

variance reduction in indirect inference using control variates, constrained estimation, with application to stochas­tic volatility, conditionally heteroskedastic factor models and models with α-stable innovations. Stochastic Simulation of Tobit models and ARCH-GARCH models (1989-96): Monte Carlo simulation, computational performances of estimators (convergence speed), simulation approach to

small sample behaviour of estimators (for personal and mainframe computers). Stochastic Simulation of Macroeconometric Models (1976-88): Monte Carlo simulation of large scale nonlinear macroeconometric models, estimation of simultaneous equations,

simulation approach to small sample behaviour of estimators (instrumental variables and maximum likelihood), multipliers, forecasts and related confidence intervals (for mainframe computers, adapted to PC). Interactive Management of Time Series (1973-82):

data handling and transformation, regression analysis and construction of macroeconometric models (for main­frame computers, adapted to PC).

Applied econometric work

Estimation, simulation and validation of macroeconometric models: Il Modellaccio (University of Ancona). Italian model of Project Link (University of Bologna and Prometeia). ISPE model (Istituto di Studi per la Programmazione Economica, Roma). Mini-DMS and Micro-DMS models of INSEE (Paris). German models of Project Link, Model-5 and Model-10 (University of Bonn). IBM/UK quarterly model. COMET (a linkage model of the EEC countries). Model Link (the linkage import/ export matrix).

PUBLICATIONS

(A) Book

[1] Calzolari, G. (1987): La Varianza delle Previsioni nei Modelli Econometrici. Padova: CLEUP Editore.

(B) Journals printed in Italy

[5] Calzolari, G., F. Di Iorio, and G. Fiorentini (2001): “Indirect Inference and Variance Reduction using Control Variates”, Metron 59, 39-53.

[4] Calzolari, G., and G. Fiorentini (1993): “Estimating Variances and Covariances in a Censored Regression Model”, Statistica 53, 323-339.

[3] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1985): “Asymptotic Properties of Dynamic Multipliers in Nonlinear Econometric Models”, Economic Notes 14, 97-117.

[2] Calzolari, G. (1983): “Sull’Affidabilit`a Previsiva dei Modelli Econometrici: Valutazione A Priori degli Errori di Previsione”, Note di Informatica 3, 15-28.

[1] Bianchi, C., G. Calzolari e F. Sartori (1982): “Stime 2SLS con Componenti Principali di un Modello Non Lineare dell’Economia Italiana”, Note Economiche 2, 114-137.

(C) Journals printed in other countries

[36] Calzolari, G. (2017): “Econometrics Exams and Round Numbers: Use or Misuse of Indirect Estimation Meth­ods?”. Communications in Statistics -Simulation and Computation, DOI: 10.1080/03610918.2017.1348514.

[35] Gottard, A, and Calzolari, G. (2017):          “Estimating Multiple-Membership Logit Models with Mixed Effects: Indirect Inference versus Data Cloning”, Journal of Statistical Computation and Simulation 87, 2334-2348.

[34] Calzolari, G., and A. Di Pino Incognito (2017): “Self Selection and Direct Estimation of Across-Regime Corre­lation Parameter”, Journal of Applied Statistics 44 (12).

[33] Calzolari, G., R. Halbleib, and A. Parrini (2014): “Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood”, Computational Statistics and Data Analysis 76, 158-171.

[32] Calzolari, G., and L. Magazzini (2012):       “Autocorrelation and Masked Heterogeneity in Panel Data Models Estimated by Maximum Likelihood”, Empirical Economics 43, 145-152.

[31] Lombardi, M. J., and G. Calzolari (2009): “Indirect Estimation of α-Stable Stochastic Volatility Models”, Com­putational Statistics and Data Analysis 53, 2298-2308.

[30] Sentana, E., G. Calzolari, and G. Fiorentini (2008): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”, Journal of Econometrics 146, 10-25.

[29] Lombardi, M. J., and G. Calzolari (2008): “Indirect Estimation of α-Stable Distributions and Processes”, Econo­metrics Journal 11, 193-208.

[28] Di Iorio, F., and G. Calzolari (2006): “Discontinuities in Indirect Estimation: an Application to EAR Models”, Computational Statistics and Data Analysis 50, 2124-2136.

[27] Calzolari, G., G. Fiorentini, and E. Sentana (2004): “Constrained Indirect Estimation”,          Review of Economic Studies 71, 945-973.

[26] Fiorentini, G., E. Sentana, and G. Calzolari (2004):             “On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models”, Economics Letters 83, 307-312.

[25] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “Maximum Likelihood Estimation and Inference in Mul­tivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations, ”, Journal of Business & Economic Statistics 21, 532-546.

[24] Calzolari, G., and G. Fiorentini (1998): “A Tobit Model with GARCH Errors”, Econometric Reviews 17, 85-104.

[23] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”, Econometrics Journal 1, C100-C112.

[22] Fiorentini, G., G. Calzolari, and L. Panattoni (1996): “Analytic Derivatives and the Computation of GARCH Estimates”, Journal of Applied Econometrics 11, 399-417.

[21] Calzolari, G., and G. Fiorentini (1993):         “Alternative Covariance Estimators of the Standard Tobit Model”, Economics Letters 42, 5-13.

[20] Calzolari, G., and L. Sampoli (1993): “A Curious Result on Exact FIML and Instrumental Variables”, Econo­metric Theory 9, 296-309.

[19] Calzolari, G., and L. Panattoni (1990): “Mode Predictors in Nonlinear Systems with Identities”, International Journal of Forecasting 6, 317-326.

[18] Sterbenz, F. P., and G. Calzolari (1990):     “Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models”, Journal of Applied Econometrics 5, 137-150.

[17] Calzolari, G., and L. Panattoni (1988): “Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study”, Econometrica 56, 701-714.

[16] Calzolari, G. (1987): “Forecast Variance in Dynamic Simulation of Simultaneous Equation Models”, Econometrica 55, 1473-1476.

[15] Calzolari, G., L. Panattoni, and C. Weihs (1987): “Computational Efficiency of FIML Estimation”, Journal of Econometrics 36, 299-310.

[14] Bianchi, C., J. L. Brillet, and G. Calzolari (1987): “Measuring Forecast Uncertainty: A Review with Evaluation Based on a Macro Model of the French Economy”, International Journal of Forecasting 3, 211-227.

[13] Weihs, C., G. Calzolari, and L. Panattoni (1987): “The Behavior of Trust-Region Methods in FIML-Estimation”, Computing 38, 89-100.

[12] Calzolari, G., and F. P. Sterbenz (1986): “Control Variates to Estimate the Reduced Form Variances in Econo­metric Models”, Econometrica 54, 1483-1490.

[11] Bianchi, C., J. L. Brillet et G. Calzolari (1984): “Analyse et Mesure de l’Incertitude en Pr´evision d’un Mod`ele Econom´etrique. Application au Mod`ele Mini-DMS”, Annales de l’INSEE 54, 31-62.

[10] Calzolari, G. (1983): “Asymptotic Distribution of Power Spectra and Peak Frequencies in the Stochastic Response of Econometric Models”, Journal of Economic Dynamics and Control 5, 235-247.

[9] Calzolari, G. (1983): “Asymptotic Standard Errors of Point Elasticities Calculated from Simultaneous Equation Systems”, Economics Letters 11, 237-244.

[8] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Estimating Asymptotic Standard Errors and Inconsistencies of Impact Multipliers in Nonlinear Econometric Models”, Journal of Econometrics 16, 277-294.

[7] Calzolari, G. (1981): “A Note on the Variance of Ex-Post Forecasts in Econometric Models”, Econometrica 49, 1593-1595.

[6] Bianchi, C., and G. Calzolari (1980):            “The One-Period Forecast Errors in Nonlinear Econometric Models”, International Economic Review 21, 201-208. Reprinted in Macroeconometric Modelling, ed. by K. F. Wallis (1994). Cheltenham: Edward Elgar Publishing Ltd., The International Library of Critical Writings in Econometrics, Vol. 2, 183-190.

[5] Calzolari, G. (1979): “Antithetic Variates to Estimate the Simulation Bias in Non-Linear Models”, Economics Letters 4, 323-328.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Stability of the Klein-I Model”, Economics Letters 4, 33-35.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Monte Carlo Approach to Compute the Asymptotic Standard Errors of Dynamic Multipliers”, Economics Letters 2, 161-164.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Note on the Numerical Results by Goldberger, Nagar and Odeh”, Econometrica 47, 505-506.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1978): “A Program for Stochastic Simulation of Econometric Models”, Econometrica 46, 235-236.

(D) Book chapters, essays in collective volumes, conference proceedings

[29] Aielli, G. P., G. Calzolari, and G. Fiorentini (2013): “Fast Indirect Estimation of Latent Factor Models with Conditional Heteroskedasticity”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2579/335

[28] Calzolari, G., and A. Di Pino (2013): “Across-Regime Correlation in a Switching Regression Model: A FIML Approach”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2604/473

[27] Calzolari, G., and A. Di Pino (2009): “Individual Wage and Reservation Wage: Efficient Estimation of a Simul­taneous Equation Model with Endogenous Limited Dependent Variables”, in Proceedings of Scientific Meeting of the Italian Statistical Society: Statistical Methods for the Analysis of Large Data-Sets. Pescara: University G. D’Annunzio, September 23-25, 343-346. ISBN 978-88-6129-425-7.

[26] Otranto, E., G. Calzolari, and F. Di Iorio (2005):     “Indirect Estimation of Markov Switching Models with Endogenous Switching”, in S.Co. 2005: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 227-232.

[25] Lombardi, M. J., G. Calzolari, and G. M. Gallo (2003): “Indirect Inference for α-Stable Distributions”, in S.Co. 2003: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, Atti del Convegno, Treviso 4-6 settembre. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, 278-283.

[24] Calzolari, G., and L. Neri (2002): “Imputation of Continuous Variables Missing at Random using the Method of Simulated Scores”, in Compstat 2002, Proceedings in Computational Statistics, 15th Symposium held in Berlin, ed. by W. H¨ardle and B. R¨onz. Heidelberg: Physika Verlag, 389-394.

[23] Calzolari, G., L. Magazzini, and F. Mealli (2001): “Simulation-Based Estimation of Tobit Model with Random Effects”, in Econometric Studies, a Festschrift in Honour of Joachim Frohn, ed. by R. Friedmann, L. Kn¨uppel, and H. L¨utkepohl. M¨unster: LIT Verlag, 349-369.

[22] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, in Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 63-68.

[21] Calzolari, G. (1994): “Presentazione”, in Software Sperimentale per la Statistica: Una Raccolta di Programmi Didattico-Applicativi, a cura della Societ`a Italiana di Statistica. Firenze: Centro Duplicazione Offset, 5-6.

[20] Calzolari, G. (1992): “Stima delle Equazioni Simultanee Non-Lineari: Una Rassegna”, in Atti della XXXVI Riu­nione Scientifica della Societ`a Italiana di Statistica. Roma: CISU Centro d’informazione e stampa universitaria, Vol. 1, 447-458.

[19] Bianchi, G., J. L. Brillet, and G. Calzolari (1988): “A Trade-off Criterion for Evaluating Effectiveness and Reli­ability of Alternative Policy Actions”, in Atti del Dodicesimo Convegno A.M.A.S.E.S. Palermo, 14-16 Settembre, 185-217.

[18] Calzolari, G., and L. Panattoni (1988): “Finite Sample Performance of the Robust Wald Test in Simultaneous Equation Systems”, in Advances in Econometrics, Vol. 7, ed. by G. F. Rhodes, Jr., and T. B. Fomby. Greenwich, CO:JAI Press Inc., 163-191.

[17] Calzolari, G. e L. Panattoni (1988): “Il Problema della Coerenza delle Previsioni nei Modelli Econometrici Non Lineari”, in Atti della XXXIV Riunione Scientifica della Societ`a Italiana di Statistica. Siena: Nuova Immagine Editrice, Vol. 2/1, 271-278.

[16] Calzolari, G., and L. Panattoni (1987):         “Gradient Methods in FIML Estimation of Econometric Models”, in Developments of Control Theory for Economic Analysis, ed. by C. Carraro, and D. Sartore. Dordrecht: Martinus Nijhoff, Kluwer Academic Publishers, 143-153.

[15] Bianchi, C., and G. Calzolari (1983): “Standard Errors of Forecasts in Dynamic Simulation of Nonlinear Econo­metric Models: Some Empirical Results”, in Time Series Analysis: Theory and Practice 3, ed. by O. D. Anderson. Amsterdam: North-Holland Publishing Company, 177-198.

[14] Bianchi, C., and G. Calzolari (1982): “Evaluating Forecast Uncertainty Due to Errors in Estimated Coefficients: Empirical Comparison of Alternative Methods”, in Evaluating the Reliability of Macro-Economic Models, ed. by

[13] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Standard Errors of Multipliers and Forecasts from Structural Coefficients with Block-Diagonal Covariance Matrix”, in Dynamic Modelling and Control of National Economies (IFAC), ed. by J. M. L. Janssen, L. F. Pau, and A. J. Straszak. Oxford: Pergamon Press, 311-316.

[12] Bianchi, C., and G. Calzolari (1981):            “A Simulation Approach to Some Dynamic Properties of Econometric Models”, in Mathematical Programming and its Economic Application, ed. by G. Castellani, and P. Mazzoleni. Milano: Franco Angeli Editore, 607-621.

[11] Bianchi, C., and G. Calzolari (1980): “Simulation of a Nonlinear Econometric Model”, in Simulation of Systems ’79, ed. by L. Dekker, G. Savastano, and G. C. Vansteenkiste. Amsterdam: North-Holland Publishing Company, 105-113.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1980): “A Package for Analytic Simulation of Econometric Models”, in Optimization Techniques, Proceedings of the 9th IFIP Conference on Optimization Techniques, Warsaw, Septem­ber 4-8, 1979, ed. by K. Iracki, K. Malanowski, and S. Walukiewicz. Berlin: Springer Verlag, Part 2, 404-413.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “Some Results on the Stochastic Simulation of a Nonlinear Model of the Italian Economy”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 411-418.

[8] Ranuzzi, P., C. Bianchi, and G. Calzolari (1979): “A Bilateral Linkage Model for the EEC Economies”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 171-178.

[7] Bianchi, C., G. Calzolari, and E. M. Cleur (1978): “Spectral Analysis of Stochastic and Analytic Simulation Re­sults for a Nonlinear Model for the Italian Economy”, in Compstat 1978, Proceedings in Computational Statistics, ed. by L. C. A. Corsten, and J. Hermans. Vienna: Physica Verlag, 348-354.

[6] Calzolari, G., and P.           Corsi (1977): “Stochastic Simulation as a Validation Tool for Econometric Models”, in Models for Regional Planning and Policy-Making, ed. by A. Straszak, and B. V. Wagle. Peterlee: IBM UKSC 0097, 359-369.

[5] Bianchi, C., G. Calzolari, P. Corsi, F. Sartori e I. Specioso (1977): “Aggiornamento del Modello al 1974 e Nuove Simulazioni”, in Il Modellaccio, a cura di Giorgio Fu`a. Milano: Franco Angeli Editore, Vol. 4, 162-188.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Simulation Properties of Alternative Methods of Estimation: an Application to a Model of the Italian Economy”, in Compstat 1976, Proceedings in Computational Statistics, ed. by J. Gordesch, and P. Naeve. Vienna: Physica Verlag, 407-415.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Divergences in the Results of Stochastic and Deterministic Sim­ulation of an Italian Non-Linear Econometric Model”, in Simulation of Systems, ed. by L. Dekker. Amsterdam: North-Holland Publishing Company, 653-661.

[2] Bianchi, C., G. Calzolari, T. A. Ciriani, P.    Corsi, E. Cleur, G. C. Romagnoli e B. Sitzia (1976): “Analisi e Simulazione Stocastica di un Modello Aggregato dell’Economia Italiana 1952-1971”, in Teoria dei Sistemi ed Economia, a cura della Segreteria del G.E.S., prefazione di S. Lombardini e A. Ruberti. Bologna: Il Mulino, 193-219.

[1] Calzolari, G. (1974): “Interactive Management for Time Series”, in Compstat 1974, Proceedings in Computational Statistics, ed. by G. Bruckmann, F. Ferschl and L. Schmetterer. Vienna: Physica Verlag, 468-478.

(E) Working papers of universities and research institutes

[35] Calzolari, G. (2015): “Indirect Estimation and Econometrics Exams: How to Live a Round Life”. Econometrics Working Papers Archive 2015-01, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[34] Calzolari, G., and R. Halbleib (2014): “Estimating Stable Factor Models by Indirect Inference”. University of Konstanz, Department of Economics, Working Paper 2014-25.

[33] Gottard, A., and G. Calzolari (2014): “Alternative Estimating Procedures for Multiple Membership Logit Models with Mixed Effects: Indirect Inference and Data Cloning”, Econometrics Working Papers Archive 2014-07, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[32] Calzolari, G., and L. Magazzini (2014): “Improving GMM Efficiency in Dynamic Models for Panel Data with Mean Stationarity”, Working Paper 12/2014, University of Verona, Department of Economics.

[31] Calzolari, G., and A. Di Pino (2014): “Self-Selection and Direct Estimation of Across-Regime Correlation Pa­rameter”, Econometrics Working Papers Archive 2014-04, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[30] Calzolari, G., and L. Magazzini (2013): “A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence”, Working Paper 14/2013, University of Verona, Department of Economics.

[29] Calzolari, G., R. Halbleib, and A. Parrini (2012): “Indirect Estimation of α-Stable GARCH Models”. Univer­sity of Konstanz, Department of Economics, Working Paper 2012-31, presented at the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Conference Centre, Oviedo, December 1-3.

[28] Calzolari, G., and L. Magazzini (2011): “Moment Conditions and Neglected Endogeneity in Panel Data Models”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2011/02, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[27] Magazzini, L., and G. Calzolari (2010): “Negative Variance Estimates in Panel Data Models”.           Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2010/15.

[26] Calzolari, G., and L. Neri (2010):     “The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values”. Universit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2010/01.

[25] Calzolari, G., and L. Magazzini (2009): “Poor Identification and Estimation Problems in Panel Data Models with Random Effects and Autocorrelated Errors”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2009/53, presented at the third Italian Congress of Econometrics and Empirical Economics. Ancona: Universit`a Politecnica delle Marche, January 30-31.

[24] Sentana, E., G. Calzolari, and G. Fiorentini (2007): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”. Rimini Center for Economic Analysis, Working Paper 40-07.

[23] Lombardi, M. J., and G. Calzolari (2006): “Indirect Estimation of α-Stable Stochastic Volatility Models”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2006/07.

[22] Lombardi, M. J., and G. Calzolari (2004): “Indirect Estimation of α-Stable Distributions and Processes”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2004/07.

[21] Calzolari, G., and L. Neri (2002): “A Method of Simulated Scores for Imputation of Continuous Variables Missing at Random”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 49/2002, presented at the European Meeting of the Econometric Society. Venezia: Universit`a Ca’ Foscari, August 25-28.

[20] Calzolari, G., F. Mealli, and C. Rampichini (2001): “Alternative Simulation-Based Estimators of Logit Models with Random-Effects”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 48/2001, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1, 1999.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Constrained Indirect Inference Estimation”. London School of Economics, Financial Markets Group, discussion paper No. 384.

[18] Fiorentini, G., E. Sentana, and G. Calzolari (2000): “The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student-t Innovations, and an LM Test for Multivariate Normality”. Madrid: CEMFI, Working Paper No. 0007.

[17] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Estimation of Just-Identified Models with Control Variates”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 46/1999.

[16] Weihs, C., G. Calzolari, and M. C. R¨ohl (1999): “Variance Reduction with Monte Carlo Estimates of Error Rates in Multivariate Classification”. Universit¨at Dortmund: Technical Report 44/1999, SFB 475.

[15] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Inference and Variance Reduction using Control Variates”. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, Modelli Complessi e Metodi Computazion­ali Intensivi per la Stima e la Previsione 229-234.

[14] Calzolari, G., F. Di Iorio, and G. Fiorentini (1996): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”. Shanghai: Jiaotong University, China Europe International Business School, Working Paper No. 006, presented at the European Conferences of the Econom[etr]ic Community EC² , Firenze, 12-14 December.

[13] Calzolari, G., and G. Fiorentini (1994): “Conditional Heteroskedasticity in Nonlinear Simultaneous Equations”. Florence: European University Institute, Working Paper ECO No. 94/44, presented at the European Meeting of the Econometric Society, Maastricht, University of Limburg, August 29-September 2.

[12] Calzolari, G., G. Fiorentini, and L. Panattoni (1993):            “Alternative Estimators of the Covariance Matrix in GARCH Models”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 11, presented at the European Meeting of the Econometric Society, Uppsala, August 22-26.

[11] Calzolari, G., and G. Fiorentini (1992): “Alternative Methods for GARCH Estimation”, Universit`a di Firenze: Dipartimento Statistico, Working Paper No. 44, presented at the European Meeting of the Econometric Society, Bruxelles, August 24-28.

[10] Bianchi, C., G. Calzolari, and F. P. Sterbenz (1991): “Simulation of Interest Rate Options Using ARCH”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 10, presented at the European Meeting of the Econometric Society, Cambridge, U.K., September 2-6.

[9] Sterbenz, F. P., and G. Calzolari (1987):      “The Impact of Structural Error Specifications on the Simulation of Nonlinear Econometric Models”. Columbus: The Ohio State University, College of Business, WPS 87-37, presented at the European Meeting of the Econometric Society, Copenhagen, August 24-28.

[8] Bianchi, C. e G. Calzolari (1987): “Varianza delle Previsioni e dei Parametri della Forma Ridotta dei Modelli Simultanei: Metodi di Calcolo Analitici e Metodi Monte Carlo”. Milano: Universit`a Cattolica del Sacro Cuore, Istituto di Matematica Generale, Finanziaria ed Economica, Quaderno No. 3.

[7] Brillet, J. L., G. Calzolari, and L. Panattoni (1986): “Coherent Optimal Prediction with Large Nonlinear Systems: An Example Based on a French Model”. Paris: INSEE, Service des Programmes, presented at the European Meeting of the Econometric Society, Budapest, September 1-5.

[6] Bianchi, C., J. L. Brillet, and G. Calzolari (1986): “Forecasts and Constraints on Policy Actions: The Reliabil­ity of Alternative Instruments”. Paris: INSEE, Service des Programmes, presented at The Sixth International Symposium on Forecasting, Paris, INSEAD, June 15-18.

[5] Bianchi, C., J. L. Brillet, and G. Calzolari (1985):     “Effectiveness versus Reliability of Policy Actions under Government Budget Constraint: The Case of France”. Paris: INSEE, Service des Programmes, presented at The Fifth World Congress of the Econometric Society, M.I.T., Cambridge, MA, August 17-24.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “The Asymptotic Distribution of Impact Multipliers for a Non-Linear Structural Econometric Model”, in Seminari di Econometria e di Matematica Applicata. Universit`a degli Studi di Modena: Istituto Statistico-Matematico, Facolt`a di Economia e Commercio, 1-24.

[3] Calzolari, G. (1979): “Stochastic Simulation Experiments on Model5 of Bonn University”.    Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 102.

[2] Calzolari, G. (1979): “The Asymptotic Distribution of Power Spectra in Dynamic Econometric Models”. Univer­sit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 101.

[1] Calzolari, G. (1979): “The Deterministic Simulation Bias in the Klein-Goldberger Model”.      Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 100.

(F) Software: IBM Technical disclosure bulletin

[5] Bianchi, C., and G. Calzolari (1979):           “A Condensed Version of the O.E.C.D. Foreign Trade by Commodities Tapes”, IBM Technical Disclosure Bulletin 22, 1944-1946.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1978): “Stochastic Simulation: a Package for Monte Carlo Experiments on Econometric Models”, IBM Technical Disclosure Bulletin 20, 3972-3975.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Utilizing a Program Loaded into the User Program Area, to Load Another Module in the Same User Program Area”, IBM Technical Disclosure Bulletin 19, 1303-1305.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1976): “User Defined Functions and Operators”, IBM Technical Disclosure Bulletin 19, 1300-1302.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”, IBM Technical Disclo­sure Bulletin 17, 1653-1657.

(G) IBM Technical reports

[11] Calzolari, G., and L. Panattoni (1985): “Small Sample Performance of Tests in Econometric Models: The Cost of Robustness”. Pisa: IBM Technical Report G513-4075, presented at The Fifth World Congress of the Econometric Society,M.I.T., Cambridge, MA, August 17-24.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Alternative Estimates of the Klein-I Model”. Pisa: IBM Technical Report G513-3584.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Restricted Reduced Form of the Klein-I Model”. Pisa: IBM Technical Report G513-3575.

[8] Bianchi, C., G. Calzolari, and R. Doret (1978): “Van der Giessen’s Reordering Algorithm in the Program for Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report Z513-5101.

[7] Bianchi, C., G. Calzolari, and P.     Corsi (1978): “Stochastic Simulation of Econometric Models: Installation Procedures and User’s Instructions”. Pisa: IBM Technical Report G513-3568.

[6] Bianchi, C., G. Calzolari, and P. Lischi (1978): “A Manageable Support for the O.E.C.D. Data on Foreign Trade by Commodities”. Pisa: IBM Technical Report G513-3567.

[5] Bianchi, C., G. Calzolari, P. Corsi, and B. Sitzia (1976): “Stochastic Simulation of an Aggregated Model of the Italian Economy: Methodological and Empirical Aspects”. Pisa: IBM Technical Report G513-3545.

[4] Calzolari, G., T. A. Ciriani, and P. Corsi (1976): “Generation and Testing of Pseudo-Random Numbers with Assigned Statistical Properties to be Used in the Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report G513-3544.

[3] Bianchi, C., G. Calzolari e P. Corsi (1975): “DMS/2, Un Sistema per la Soluzione e Simulazione Interattiva di Modelli Econometrici”. Pisa: Rapporto Tecnico IBM G513-3538.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”. Pisa:         IBM Technical Report G513-3530.

[1] Calzolari, G. (1973): “Un Linguaggio per la Gestione dell’Archivio delle Serie Storiche”. Pisa: Nota Tecnica IBM G513-3704.

(H) Other papers presented at conferences

[24] Calzolari, G., and A. Di Pino (2011):          “Simultaneous Equation Models with Endogenous Limited Dependent Variables: Efficiency of Alternative Estimators”, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[23] Calzolari, G., and L. Magazzini (2008): “Estimating Tobit Models for Panel Data with Autocorrelated Errors”, presented at the European Meeting of the Econometric Society. Milano, Universit`a Bocconi, August 27-31.

[22] Magazzini, L., and G. Calzolari (2007): “Modello Tobit a Effetti Casuali: Metodi di Stima Basati sulla Simu­lazione”, presented at the 4^o Convegno Italiano degli Utenti di Stata. Roma: September 24-25.

[21] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “The Relative Efficiency of Pseudo Maximum Likelihood Es­timation and Inference in Conditionally Heteroskedastic Dynamic Regression Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[20] Di Iorio, F., and G. Calzolari (2003): “Relative Efficiency of Indirect Inference for ARFIMA Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (1999): “Constrained EMM Estimation”, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1.

[18] Calzolari, G., F. Mealli, and C. Rampichini (1999): “Indirect Estimation of Logit Multilevel Models”, presented at the 2nd International Amsterdam Conference on Multilevel Analysis. Amsterdam: August 30-31.

[17] Calzolari, G., G. Fiorentini, and E. Sentana (1998): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, presented at ASSET. Bologna, October 23-25.

[16] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998):   “Indirect Estimation of Continuous Time Interest Rate Models”, presented at the Workshop on China’s Financial Markets. Shanghai: Jiaotong University-CEIBS, August 19-20.

[15] Calzolari, G., F. Mealli, and C. Rampichini (1998): “Indirect Estimation of Logit Models with Random-Effects”, presented at the European Meeting of the Econometric Society. Berlin: Humboldt Universit¨at, August 29­September 2.

[14] Calzolari, G., and G. Fiorentini (1996): “Indirect Inference for Censored Regression Models with Conditional Het­eroskedasticity”, presented at the European Meeting of the Econometric Society. Istanbul: Bogazici University, August 25-29.

[13] Calzolari, G., and L. Sampoli (1989): “Instrumental Variables Interpretations of FIML and Nonlinear FIML”, presented at the European Meeting of the Econometric Society. Ludwig Maximilians Universit¨at M¨unchen, September 4-8.

[12] Calzolari, G., and L. Panattoni (1988):        “Coherent Forecast with Nonlinear Econometric Models”, presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit

Amsterdam, June 12-15.

[11] Bianchi, C., J. L. Brillet, and G. Calzolari (1985): “Measuring Forecast Uncertainty in a Macro Model of the French Economy”, presented at The Fifth International Symposium on Forecasting. Montreal: McGill University, June 9-12.

[10] Calzolari, G., and L. Panattoni (1984):         “A Simulation Study on FIML Covariance Matrix”, presented at the European Meeting of the Econometric Society. Universidad Autonoma de Madrid, September 3-7.

[9] Calzolari, G., and L. Panattoni (1984): “Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix”, presented at The Fourth International Symposium on Forecasting. London Business School, July 8-11.

[8] Bianchi, C., J. L. Brillet, and G. Calzolari (1983): “Analysis and Measurement of the Uncertainty in Mini-DMS Model for the French Economy”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[7] Calzolari, G., and L. Panattoni (1983): “Hessian and Approximated Hessian Matrices in Maximum Likelihood Estimation: A Monte Carlo Study”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[6] Bianchi, C., and G. Calzolari (1983): “Confidence Intervals of Forecasts from Nonlinear Econometric Models”, presented at The Third International Symposium on Forecasting. Philadelphia: The Wharton School, June 5-8.

[5] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1982): “Uncertainty of Policy Recommendations for Non­linear Econometric Models: Some Empirical Results”, presented at the 1982 Conference on Economic Dynamics and Control, “Decision Making Under Uncertainty”. Washington DC: Federal Reserve Board, June 9-11.

[4] Bianchi.      C., G. Calzolari, P. Corsi, and L. Panattoni (1980): “Significance of the Characteristic Roots in Linearized Econometric Models”, presented at the Economics and Control Conference. Princeton University, June 2-4.

[3] Bianchi, C. e G. Calzolari (1978): “La Varianza dell’Errore di Previsione nei Modelli Econometrici: Applicazione ad un Modello Nonlineare dell’Economia Italiana”, presentato al IV Convegno su Teoria dei Sistemi ed Economia. Udine: C.I.S.M., 23-25 Ottobre.

[2] Bianchi, C., G. Calzolari, E. M. Cleur, G. Gambetta, A. Stagni, and F. Sterbenz (1978): “Stochastic Simulation and Dynamic Properties of the New Version of the Italian Model”, presented at the Annual Meeting of Project Link. Athens: Center of Planning and Economic Research, October 2-7.

[1] Bianchi, C., G. Calzolari, and P.      Corsi (1976): “Monte Carlo Methods in Econometrics: a Package for the Stochastic Simulation”, presented at the Congr`es Europ´een des Statisticiens. Universit´e Scientifique et M´edicale de Grenoble, September 6-10.

(I) Thesis

[1] Calzolari, G. (1969): “Prove a Scariche Parziali negli Isolamenti Impregnati con Olii”. Universit`a di Bologna, Tesi di Laurea in Ingegneria Elettrotecnica, 25 Luglio.

 CURRICULUM VITAE ET STUDIORUM

Giorgio Calzolari

Italian, born in Ferrara (1946).

Professor of Econometrics. University of Firenze, Department of Statistics, Computer Science, Applications ”G. Parenti” (part time after retirement in 2016).

Main previous appointments

Professor of Econometrics, University of Firenze, Department of Statistics (1991-2016).

Research staff member (econometric team), IBM Scientific Center, Pisa (1971-90).

Other previous appointments

President of SIdE -IEA, Societ`a Italiana di Econometria -Italian Econometric Association, 2012.

Director of the summer econometric courses for doctoral students (CIDE, Centro Interuniversitario di Econome­

tria, 1999-2005), Part time Professor at CEIBS, China Europe International Business School, Jiaotong University, Shanghai, MBA Program (1996 and 1998);

Director of the Computer Center, Faculty of Economics, University of Firenze (1992-98). Professor of Econometrics, University of Messina, Faculty of Political Science (1990-91). Part time Professor of Econometrics, Universities of Perugia (1983-84), Padova (1985-87), Firenze (1988-90) and

Messina (1992-93).

Part time Professor of Computer Science, Istituto Agronomico per l’Oltremare, Ministero degli Affari Esteri, Firenze (1975-78). Officer of the Aeronautica Militare Italiana (1970-71). Research staff member, Laboratories Robert Bosch GmbH, Stuttgart, (1969-70).

Editorial and advisory panels

Chairman of the Econometrics Programme Committee of the European Meeting of the Econometric Society 1989

(ESEM’89, M¨unchen). Associate Editor of the Journal of Financial Econometrics (2001-2012), Bulletin of Economic Research (from 2000), International Journal of Forecasting (1987-1995), and of Metodoloski Zvezki -Journal of Statistical Society of Slovenia (from 2013).

Secretary of the Local Programme Committee of the 49-th Session of the International Statistical Institute (ISI) 1993 (Firenze). Member elected of the International Statistical Institute (ISI) (from 1993).

Member of the European Standing Committee of the Econometric Society (1988-91). Member of the Programme Committee of the European Meeting of the Econometric Society 1987 (Copenhagen), 1993 (Uppsala), 1994 (Maastricht), 1996 (Istanbul), and of the 7th World Congress of the Econometric Society 1995 (Tokyo).

Co-organizer of the IBM Europe Institute seminar on Econometric Modeling (Oberlech, July 1986). ´

Referee of Annales d’ Economie et de Statistique, Computational Statistics & Data Analysis, Econometrica, Econometric Reviews, Econometrics Journal, Econometric Theory, Empirical Economics, International Eco­nomic Review, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Journal of Econo­metrics, Journal of Economic Dynamics and Control, Journal of the Italian Statistical Society, Journal of the Royal Statistical Society B, Metron, Research in Economics, Scandinavian Journal of Statistics, Statistica.

Session Chairman (European Meeting of the Econometric Society, World Congress of the Econometric Society, International Symposium on Forecasting, International Statistical Institute, Societ`a Italiana di Statistica).

Reviewer of research projects, National Science Foundation (Washington D.C., 1984). Member of the Scientific Commissions Metodi Statistici ed Econometria (1990-93), and Nuove Tecnologie Infor­matiche in Statistica (1993-96) of the Italian Statistical Society (SIS).

Co-organizer of the CIDE and SIS Seminars Modelli Dinamici di Breve e Lungo Periodo (Firenze, November 1992) and Modelli Non Lineari e Reti Neurali (Bologna, January 1995).

Education

1969, University of Bologna: Laurea con lode in Electrical Engineering (2% graduated with honors, in 1969). 1964, Ferrara: Maturit`a Classica .

Visiting

Universit¨at Konstanz (January-February 2017 and 2018). Universit¨at Dortmund, Fachbereich Statistik (July 1998). Stockholm School of Economics, Department of Economic Statistics (June 1998). University of Wyoming, Laramie, Department of Economics (December 1990 and February-March 1998). University of Tilburg, CENTER (February 1990). University of Birmingham, Department of Economics (February 1990). University of Warwick, Department of Economics (Summer Workshop 1985). University of Bonn, Department of Economics (June-September 1979).

Invited seminars

University of Salerno (2018). University of Siena (2014). University of Konstanz (2014). University of Trieste (2001, 2010). University of Genova (2009). University of Verona (2009). University of Copenhagen (2008). ECARES-ULB (Bruxelles, 2007). Ente Einaudi (Roma, 2000). University of Salerno (2000). European Univer­sity Institute (Firenze, 1994, 1999). Stockholm School of Economics (1998). University of Dortmund (1998). Rheinisch Westf¨aliches Institut f¨ur Wirtshaftsforschung (Essen. 1998). Jiaotong University-CEIBS (Shanghai, 1996, 1998). University of Wyoming (Laramie, 1990, 1998). University of Udine (1997). University of Valencia (1995). University of Trento (1992). University of Tilburg-CENTER (1990). University of Birmingham (1990). University of Napoli Federico II (1990). University of Padova (1984, 1990). Seminari CIDE (Universit`a Cattolica, Milano, 1987, 1988). S´eminaire Malinvaud,INSEE (Paris, 1987). University of Venezia (1987). Banca d’Italia (Roma, 1987). University of Warwick (1985). Annual Meeting of the Swedish Econometricians (Kristianstadt, 1983). Michigan State University (East Lansing, 1983). University of Bonn (1979). Sogesta (Urbino, 1978). University of Modena (1977). Prometeia (Bologna, 1977).

Author of software packages

Indirect Estimation (from 1996):

variance reduction in indirect inference using control variates, constrained estimation, with application to stochas­tic volatility, conditionally heteroskedastic factor models and models with α-stable innovations. Stochastic Simulation of Tobit models and ARCH-GARCH models (1989-96): Monte Carlo simulation, computational performances of estimators (convergence speed), simulation approach to

small sample behaviour of estimators (for personal and mainframe computers). Stochastic Simulation of Macroeconometric Models (1976-88): Monte Carlo simulation of large scale nonlinear macroeconometric models, estimation of simultaneous equations,

simulation approach to small sample behaviour of estimators (instrumental variables and maximum likelihood), multipliers, forecasts and related confidence intervals (for mainframe computers, adapted to PC). Interactive Management of Time Series (1973-82):

data handling and transformation, regression analysis and construction of macroeconometric models (for main­frame computers, adapted to PC).

Applied econometric work

Estimation, simulation and validation of macroeconometric models: Il Modellaccio (University of Ancona). Italian model of Project Link (University of Bologna and Prometeia). ISPE model (Istituto di Studi per la Programmazione Economica, Roma). Mini-DMS and Micro-DMS models of INSEE (Paris). German models of Project Link, Model-5 and Model-10 (University of Bonn). IBM/UK quarterly model. COMET (a linkage model of the EEC countries). Model Link (the linkage import/ export matrix).

PUBLICATIONS

(A) Book

[1] Calzolari, G. (1987): La Varianza delle Previsioni nei Modelli Econometrici. Padova: CLEUP Editore.

(B) Journals printed in Italy

[5] Calzolari, G., F. Di Iorio, and G. Fiorentini (2001): “Indirect Inference and Variance Reduction using Control Variates”, Metron 59, 39-53.

[4] Calzolari, G., and G. Fiorentini (1993): “Estimating Variances and Covariances in a Censored Regression Model”, Statistica 53, 323-339.

[3] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1985): “Asymptotic Properties of Dynamic Multipliers in Nonlinear Econometric Models”, Economic Notes 14, 97-117.

[2] Calzolari, G. (1983): “Sull’Affidabilit`a Previsiva dei Modelli Econometrici: Valutazione A Priori degli Errori di Previsione”, Note di Informatica 3, 15-28.

[1] Bianchi, C., G. Calzolari e F. Sartori (1982): “Stime 2SLS con Componenti Principali di un Modello Non Lineare dell’Economia Italiana”, Note Economiche 2, 114-137.

(C) Journals printed in other countries

[36] Calzolari, G. (2017): “Econometrics Exams and Round Numbers: Use or Misuse of Indirect Estimation Meth­ods?”. Communications in Statistics -Simulation and Computation, DOI: 10.1080/03610918.2017.1348514.

[35] Gottard, A, and Calzolari, G. (2017):          “Estimating Multiple-Membership Logit Models with Mixed Effects: Indirect Inference versus Data Cloning”, Journal of Statistical Computation and Simulation 87, 2334-2348.

[34] Calzolari, G., and A. Di Pino Incognito (2017): “Self Selection and Direct Estimation of Across-Regime Corre­lation Parameter”, Journal of Applied Statistics 44 (12).

[33] Calzolari, G., R. Halbleib, and A. Parrini (2014): “Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood”, Computational Statistics and Data Analysis 76, 158-171.

[32] Calzolari, G., and L. Magazzini (2012):       “Autocorrelation and Masked Heterogeneity in Panel Data Models Estimated by Maximum Likelihood”, Empirical Economics 43, 145-152.

[31] Lombardi, M. J., and G. Calzolari (2009): “Indirect Estimation of α-Stable Stochastic Volatility Models”, Com­putational Statistics and Data Analysis 53, 2298-2308.

[30] Sentana, E., G. Calzolari, and G. Fiorentini (2008): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”, Journal of Econometrics 146, 10-25.

[29] Lombardi, M. J., and G. Calzolari (2008): “Indirect Estimation of α-Stable Distributions and Processes”, Econo­metrics Journal 11, 193-208.

[28] Di Iorio, F., and G. Calzolari (2006): “Discontinuities in Indirect Estimation: an Application to EAR Models”, Computational Statistics and Data Analysis 50, 2124-2136.

[27] Calzolari, G., G. Fiorentini, and E. Sentana (2004): “Constrained Indirect Estimation”,          Review of Economic Studies 71, 945-973.

[26] Fiorentini, G., E. Sentana, and G. Calzolari (2004):             “On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models”, Economics Letters 83, 307-312.

[25] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “Maximum Likelihood Estimation and Inference in Mul­tivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations, ”, Journal of Business & Economic Statistics 21, 532-546.

[24] Calzolari, G., and G. Fiorentini (1998): “A Tobit Model with GARCH Errors”, Econometric Reviews 17, 85-104.

[23] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”, Econometrics Journal 1, C100-C112.

[22] Fiorentini, G., G. Calzolari, and L. Panattoni (1996): “Analytic Derivatives and the Computation of GARCH Estimates”, Journal of Applied Econometrics 11, 399-417.

[21] Calzolari, G., and G. Fiorentini (1993):         “Alternative Covariance Estimators of the Standard Tobit Model”, Economics Letters 42, 5-13.

[20] Calzolari, G., and L. Sampoli (1993): “A Curious Result on Exact FIML and Instrumental Variables”, Econo­metric Theory 9, 296-309.

[19] Calzolari, G., and L. Panattoni (1990): “Mode Predictors in Nonlinear Systems with Identities”, International Journal of Forecasting 6, 317-326.

[18] Sterbenz, F. P., and G. Calzolari (1990):     “Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models”, Journal of Applied Econometrics 5, 137-150.

[17] Calzolari, G., and L. Panattoni (1988): “Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study”, Econometrica 56, 701-714.

[16] Calzolari, G. (1987): “Forecast Variance in Dynamic Simulation of Simultaneous Equation Models”, Econometrica 55, 1473-1476.

[15] Calzolari, G., L. Panattoni, and C. Weihs (1987): “Computational Efficiency of FIML Estimation”, Journal of Econometrics 36, 299-310.

[14] Bianchi, C., J. L. Brillet, and G. Calzolari (1987): “Measuring Forecast Uncertainty: A Review with Evaluation Based on a Macro Model of the French Economy”, International Journal of Forecasting 3, 211-227.

[13] Weihs, C., G. Calzolari, and L. Panattoni (1987): “The Behavior of Trust-Region Methods in FIML-Estimation”, Computing 38, 89-100.

[12] Calzolari, G., and F. P. Sterbenz (1986): “Control Variates to Estimate the Reduced Form Variances in Econo­metric Models”, Econometrica 54, 1483-1490.

[11] Bianchi, C., J. L. Brillet et G. Calzolari (1984): “Analyse et Mesure de l’Incertitude en Pr´evision d’un Mod`ele Econom´etrique. Application au Mod`ele Mini-DMS”, Annales de l’INSEE 54, 31-62.

[10] Calzolari, G. (1983): “Asymptotic Distribution of Power Spectra and Peak Frequencies in the Stochastic Response of Econometric Models”, Journal of Economic Dynamics and Control 5, 235-247.

[9] Calzolari, G. (1983): “Asymptotic Standard Errors of Point Elasticities Calculated from Simultaneous Equation Systems”, Economics Letters 11, 237-244.

[8] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Estimating Asymptotic Standard Errors and Inconsistencies of Impact Multipliers in Nonlinear Econometric Models”, Journal of Econometrics 16, 277-294.

[7] Calzolari, G. (1981): “A Note on the Variance of Ex-Post Forecasts in Econometric Models”, Econometrica 49, 1593-1595.

[6] Bianchi, C., and G. Calzolari (1980):            “The One-Period Forecast Errors in Nonlinear Econometric Models”, International Economic Review 21, 201-208. Reprinted in Macroeconometric Modelling, ed. by K. F. Wallis (1994). Cheltenham: Edward Elgar Publishing Ltd., The International Library of Critical Writings in Econometrics, Vol. 2, 183-190.

[5] Calzolari, G. (1979): “Antithetic Variates to Estimate the Simulation Bias in Non-Linear Models”, Economics Letters 4, 323-328.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Stability of the Klein-I Model”, Economics Letters 4, 33-35.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Monte Carlo Approach to Compute the Asymptotic Standard Errors of Dynamic Multipliers”, Economics Letters 2, 161-164.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1979): “A Note on the Numerical Results by Goldberger, Nagar and Odeh”, Econometrica 47, 505-506.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1978): “A Program for Stochastic Simulation of Econometric Models”, Econometrica 46, 235-236.

(D) Book chapters, essays in collective volumes, conference proceedings

[29] Aielli, G. P., G. Calzolari, and G. Fiorentini (2013): “Fast Indirect Estimation of Latent Factor Models with Conditional Heteroskedasticity”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2579/335

[28] Calzolari, G., and A. Di Pino (2013): “Across-Regime Correlation in a Switching Regression Model: A FIML Approach”, in Advances in Latent Variables, ed. by E. Brentari and M. Carpita. Milano: Vita e Pensiero. ISBN 978-88-343-2556-8. http://meetings.sis-statistica.org/index.php/sis2013/ALV/paper/viewFile/2604/473

[27] Calzolari, G., and A. Di Pino (2009): “Individual Wage and Reservation Wage: Efficient Estimation of a Simul­taneous Equation Model with Endogenous Limited Dependent Variables”, in Proceedings of Scientific Meeting of the Italian Statistical Society: Statistical Methods for the Analysis of Large Data-Sets. Pescara: University G. D’Annunzio, September 23-25, 343-346. ISBN 978-88-6129-425-7.

[26] Otranto, E., G. Calzolari, and F. Di Iorio (2005):     “Indirect Estimation of Markov Switching Models with Endogenous Switching”, in S.Co. 2005: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 227-232.

[25] Lombardi, M. J., G. Calzolari, and G. M. Gallo (2003): “Indirect Inference for α-Stable Distributions”, in S.Co. 2003: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, Atti del Convegno, Treviso 4-6 settembre. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, 278-283.

[24] Calzolari, G., and L. Neri (2002): “Imputation of Continuous Variables Missing at Random using the Method of Simulated Scores”, in Compstat 2002, Proceedings in Computational Statistics, 15th Symposium held in Berlin, ed. by W. H¨ardle and B. R¨onz. Heidelberg: Physika Verlag, 389-394.

[23] Calzolari, G., L. Magazzini, and F. Mealli (2001): “Simulation-Based Estimation of Tobit Model with Random Effects”, in Econometric Studies, a Festschrift in Honour of Joachim Frohn, ed. by R. Friedmann, L. Kn¨uppel, and H. L¨utkepohl. M¨unster: LIT Verlag, 349-369.

[22] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, in Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione, a cura di C. Provasi. Padova: CLEUP Editrice, 63-68.

[21] Calzolari, G. (1994): “Presentazione”, in Software Sperimentale per la Statistica: Una Raccolta di Programmi Didattico-Applicativi, a cura della Societ`a Italiana di Statistica. Firenze: Centro Duplicazione Offset, 5-6.

[20] Calzolari, G. (1992): “Stima delle Equazioni Simultanee Non-Lineari: Una Rassegna”, in Atti della XXXVI Riu­nione Scientifica della Societ`a Italiana di Statistica. Roma: CISU Centro d’informazione e stampa universitaria, Vol. 1, 447-458.

[19] Bianchi, G., J. L. Brillet, and G. Calzolari (1988): “A Trade-off Criterion for Evaluating Effectiveness and Reli­ability of Alternative Policy Actions”, in Atti del Dodicesimo Convegno A.M.A.S.E.S. Palermo, 14-16 Settembre, 185-217.

[18] Calzolari, G., and L. Panattoni (1988): “Finite Sample Performance of the Robust Wald Test in Simultaneous Equation Systems”, in Advances in Econometrics, Vol. 7, ed. by G. F. Rhodes, Jr., and T. B. Fomby. Greenwich, CO:JAI Press Inc., 163-191.

[17] Calzolari, G. e L. Panattoni (1988): “Il Problema della Coerenza delle Previsioni nei Modelli Econometrici Non Lineari”, in Atti della XXXIV Riunione Scientifica della Societ`a Italiana di Statistica. Siena: Nuova Immagine Editrice, Vol. 2/1, 271-278.

[16] Calzolari, G., and L. Panattoni (1987):         “Gradient Methods in FIML Estimation of Econometric Models”, in Developments of Control Theory for Economic Analysis, ed. by C. Carraro, and D. Sartore. Dordrecht: Martinus Nijhoff, Kluwer Academic Publishers, 143-153.

[15] Bianchi, C., and G. Calzolari (1983): “Standard Errors of Forecasts in Dynamic Simulation of Nonlinear Econo­metric Models: Some Empirical Results”, in Time Series Analysis: Theory and Practice 3, ed. by O. D. Anderson. Amsterdam: North-Holland Publishing Company, 177-198.

[14] Bianchi, C., and G. Calzolari (1982): “Evaluating Forecast Uncertainty Due to Errors in Estimated Coefficients: Empirical Comparison of Alternative Methods”, in Evaluating the Reliability of Macro-Economic Models, ed. by

[13] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Standard Errors of Multipliers and Forecasts from Structural Coefficients with Block-Diagonal Covariance Matrix”, in Dynamic Modelling and Control of National Economies (IFAC), ed. by J. M. L. Janssen, L. F. Pau, and A. J. Straszak. Oxford: Pergamon Press, 311-316.

[12] Bianchi, C., and G. Calzolari (1981):            “A Simulation Approach to Some Dynamic Properties of Econometric Models”, in Mathematical Programming and its Economic Application, ed. by G. Castellani, and P. Mazzoleni. Milano: Franco Angeli Editore, 607-621.

[11] Bianchi, C., and G. Calzolari (1980): “Simulation of a Nonlinear Econometric Model”, in Simulation of Systems ’79, ed. by L. Dekker, G. Savastano, and G. C. Vansteenkiste. Amsterdam: North-Holland Publishing Company, 105-113.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1980): “A Package for Analytic Simulation of Econometric Models”, in Optimization Techniques, Proceedings of the 9th IFIP Conference on Optimization Techniques, Warsaw, Septem­ber 4-8, 1979, ed. by K. Iracki, K. Malanowski, and S. Walukiewicz. Berlin: Springer Verlag, Part 2, 404-413.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “Some Results on the Stochastic Simulation of a Nonlinear Model of the Italian Economy”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 411-418.

[8] Ranuzzi, P., C. Bianchi, and G. Calzolari (1979): “A Bilateral Linkage Model for the EEC Economies”, in Models and Decision Making in National Economies, ed. by J. M. L. Janssen, L. F. Pau, and A. Straszak. Amsterdam: North-Holland Publishing Company, 171-178.

[7] Bianchi, C., G. Calzolari, and E. M. Cleur (1978): “Spectral Analysis of Stochastic and Analytic Simulation Re­sults for a Nonlinear Model for the Italian Economy”, in Compstat 1978, Proceedings in Computational Statistics, ed. by L. C. A. Corsten, and J. Hermans. Vienna: Physica Verlag, 348-354.

[6] Calzolari, G., and P.           Corsi (1977): “Stochastic Simulation as a Validation Tool for Econometric Models”, in Models for Regional Planning and Policy-Making, ed. by A. Straszak, and B. V. Wagle. Peterlee: IBM UKSC 0097, 359-369.

[5] Bianchi, C., G. Calzolari, P. Corsi, F. Sartori e I. Specioso (1977): “Aggiornamento del Modello al 1974 e Nuove Simulazioni”, in Il Modellaccio, a cura di Giorgio Fu`a. Milano: Franco Angeli Editore, Vol. 4, 162-188.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Simulation Properties of Alternative Methods of Estimation: an Application to a Model of the Italian Economy”, in Compstat 1976, Proceedings in Computational Statistics, ed. by J. Gordesch, and P. Naeve. Vienna: Physica Verlag, 407-415.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Divergences in the Results of Stochastic and Deterministic Sim­ulation of an Italian Non-Linear Econometric Model”, in Simulation of Systems, ed. by L. Dekker. Amsterdam: North-Holland Publishing Company, 653-661.

[2] Bianchi, C., G. Calzolari, T. A. Ciriani, P.    Corsi, E. Cleur, G. C. Romagnoli e B. Sitzia (1976): “Analisi e Simulazione Stocastica di un Modello Aggregato dell’Economia Italiana 1952-1971”, in Teoria dei Sistemi ed Economia, a cura della Segreteria del G.E.S., prefazione di S. Lombardini e A. Ruberti. Bologna: Il Mulino, 193-219.

[1] Calzolari, G. (1974): “Interactive Management for Time Series”, in Compstat 1974, Proceedings in Computational Statistics, ed. by G. Bruckmann, F. Ferschl and L. Schmetterer. Vienna: Physica Verlag, 468-478.

(E) Working papers of universities and research institutes

[35] Calzolari, G. (2015): “Indirect Estimation and Econometrics Exams: How to Live a Round Life”. Econometrics Working Papers Archive 2015-01, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[34] Calzolari, G., and R. Halbleib (2014): “Estimating Stable Factor Models by Indirect Inference”. University of Konstanz, Department of Economics, Working Paper 2014-25.

[33] Gottard, A., and G. Calzolari (2014): “Alternative Estimating Procedures for Multiple Membership Logit Models with Mixed Effects: Indirect Inference and Data Cloning”, Econometrics Working Papers Archive 2014-07, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[32] Calzolari, G., and L. Magazzini (2014): “Improving GMM Efficiency in Dynamic Models for Panel Data with Mean Stationarity”, Working Paper 12/2014, University of Verona, Department of Economics.

[31] Calzolari, G., and A. Di Pino (2014): “Self-Selection and Direct Estimation of Across-Regime Correlation Pa­rameter”, Econometrics Working Papers Archive 2014-04, Universit`a di Firenze, Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”.

[30] Calzolari, G., and L. Magazzini (2013): “A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence”, Working Paper 14/2013, University of Verona, Department of Economics.

[29] Calzolari, G., R. Halbleib, and A. Parrini (2012): “Indirect Estimation of α-Stable GARCH Models”. Univer­sity of Konstanz, Department of Economics, Working Paper 2012-31, presented at the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Conference Centre, Oviedo, December 1-3.

[28] Calzolari, G., and L. Magazzini (2011): “Moment Conditions and Neglected Endogeneity in Panel Data Models”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2011/02, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[27] Magazzini, L., and G. Calzolari (2010): “Negative Variance Estimates in Panel Data Models”.           Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2010/15.

[26] Calzolari, G., and L. Neri (2010):     “The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values”. Universit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2010/01.

[25] Calzolari, G., and L. Magazzini (2009): “Poor Identification and Estimation Problems in Panel Data Models with Random Effects and Autocorrelated Errors”. Universit`a di Verona, Dipartimento di Scienze Economiche, Working Paper 2009/53, presented at the third Italian Congress of Econometrics and Empirical Economics. Ancona: Universit`a Politecnica delle Marche, January 30-31.

[24] Sentana, E., G. Calzolari, and G. Fiorentini (2007): “Indirect Estimation of Large Conditionally Heteroskedastic Factor Models, with an Application to the Dow 30 Stocks”. Rimini Center for Economic Analysis, Working Paper 40-07.

[23] Lombardi, M. J., and G. Calzolari (2006): “Indirect Estimation of α-Stable Stochastic Volatility Models”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2006/07.

[22] Lombardi, M. J., and G. Calzolari (2004): “Indirect Estimation of α-Stable Distributions and Processes”. Uni­versit`a di Firenze, Dipartimento di Statistica “G. Parenti”, Working Paper 2004/07.

[21] Calzolari, G., and L. Neri (2002): “A Method of Simulated Scores for Imputation of Continuous Variables Missing at Random”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 49/2002, presented at the European Meeting of the Econometric Society. Venezia: Universit`a Ca’ Foscari, August 25-28.

[20] Calzolari, G., F. Mealli, and C. Rampichini (2001): “Alternative Simulation-Based Estimators of Logit Models with Random-Effects”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 48/2001, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1, 1999.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (2001): “Constrained Indirect Inference Estimation”. London School of Economics, Financial Markets Group, discussion paper No. 384.

[18] Fiorentini, G., E. Sentana, and G. Calzolari (2000): “The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student-t Innovations, and an LM Test for Multivariate Normality”. Madrid: CEMFI, Working Paper No. 0007.

[17] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Estimation of Just-Identified Models with Control Variates”. Universit`a di Firenze, Quaderni del Dipartimento di Statistica “G. Parenti”, 46/1999.

[16] Weihs, C., G. Calzolari, and M. C. R¨ohl (1999): “Variance Reduction with Monte Carlo Estimates of Error Rates in Multivariate Classification”. Universit¨at Dortmund: Technical Report 44/1999, SFB 475.

[15] Calzolari, G., F. Di Iorio, and G. Fiorentini (1999): “Indirect Inference and Variance Reduction using Control Variates”. Venezia: Universit`a Ca’ Foscari, Dipartimento di Statistica, Modelli Complessi e Metodi Computazion­ali Intensivi per la Stima e la Previsione 229-234.

[14] Calzolari, G., F. Di Iorio, and G. Fiorentini (1996): “Control Variates for Variance Reduction in Indirect Inference: Interest Rate Models in Continuous Time”. Shanghai: Jiaotong University, China Europe International Business School, Working Paper No. 006, presented at the European Conferences of the Econom[etr]ic Community EC² , Firenze, 12-14 December.

[13] Calzolari, G., and G. Fiorentini (1994): “Conditional Heteroskedasticity in Nonlinear Simultaneous Equations”. Florence: European University Institute, Working Paper ECO No. 94/44, presented at the European Meeting of the Econometric Society, Maastricht, University of Limburg, August 29-September 2.

[12] Calzolari, G., G. Fiorentini, and L. Panattoni (1993):            “Alternative Estimators of the Covariance Matrix in GARCH Models”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 11, presented at the European Meeting of the Econometric Society, Uppsala, August 22-26.

[11] Calzolari, G., and G. Fiorentini (1992): “Alternative Methods for GARCH Estimation”, Universit`a di Firenze: Dipartimento Statistico, Working Paper No. 44, presented at the European Meeting of the Econometric Society, Bruxelles, August 24-28.

[10] Bianchi, C., G. Calzolari, and F. P. Sterbenz (1991): “Simulation of Interest Rate Options Using ARCH”. Universit`a di Messina: Facolt`a di Scienze Politiche, Istituto di Economia, Statistica e Analisi del Territorio, Quaderno No. 10, presented at the European Meeting of the Econometric Society, Cambridge, U.K., September 2-6.

[9] Sterbenz, F. P., and G. Calzolari (1987):      “The Impact of Structural Error Specifications on the Simulation of Nonlinear Econometric Models”. Columbus: The Ohio State University, College of Business, WPS 87-37, presented at the European Meeting of the Econometric Society, Copenhagen, August 24-28.

[8] Bianchi, C. e G. Calzolari (1987): “Varianza delle Previsioni e dei Parametri della Forma Ridotta dei Modelli Simultanei: Metodi di Calcolo Analitici e Metodi Monte Carlo”. Milano: Universit`a Cattolica del Sacro Cuore, Istituto di Matematica Generale, Finanziaria ed Economica, Quaderno No. 3.

[7] Brillet, J. L., G. Calzolari, and L. Panattoni (1986): “Coherent Optimal Prediction with Large Nonlinear Systems: An Example Based on a French Model”. Paris: INSEE, Service des Programmes, presented at the European Meeting of the Econometric Society, Budapest, September 1-5.

[6] Bianchi, C., J. L. Brillet, and G. Calzolari (1986): “Forecasts and Constraints on Policy Actions: The Reliabil­ity of Alternative Instruments”. Paris: INSEE, Service des Programmes, presented at The Sixth International Symposium on Forecasting, Paris, INSEAD, June 15-18.

[5] Bianchi, C., J. L. Brillet, and G. Calzolari (1985):     “Effectiveness versus Reliability of Policy Actions under Government Budget Constraint: The Case of France”. Paris: INSEE, Service des Programmes, presented at The Fifth World Congress of the Econometric Society, M.I.T., Cambridge, MA, August 17-24.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1979): “The Asymptotic Distribution of Impact Multipliers for a Non-Linear Structural Econometric Model”, in Seminari di Econometria e di Matematica Applicata. Universit`a degli Studi di Modena: Istituto Statistico-Matematico, Facolt`a di Economia e Commercio, 1-24.

[3] Calzolari, G. (1979): “Stochastic Simulation Experiments on Model5 of Bonn University”.    Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 102.

[2] Calzolari, G. (1979): “The Asymptotic Distribution of Power Spectra in Dynamic Econometric Models”. Univer­sit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 101.

[1] Calzolari, G. (1979): “The Deterministic Simulation Bias in the Klein-Goldberger Model”.      Universit¨at Bonn: Institut f¨ur Gesellschafts-und Wirtschaftswissenschaften, Wirtschaftstheoretische Abteilung, paper No. 100.

(F) Software: IBM Technical disclosure bulletin

[5] Bianchi, C., and G. Calzolari (1979):           “A Condensed Version of the O.E.C.D. Foreign Trade by Commodities Tapes”, IBM Technical Disclosure Bulletin 22, 1944-1946.

[4] Bianchi, C., G. Calzolari, and P. Corsi (1978): “Stochastic Simulation: a Package for Monte Carlo Experiments on Econometric Models”, IBM Technical Disclosure Bulletin 20, 3972-3975.

[3] Bianchi, C., G. Calzolari, and P. Corsi (1976): “Utilizing a Program Loaded into the User Program Area, to Load Another Module in the Same User Program Area”, IBM Technical Disclosure Bulletin 19, 1303-1305.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1976): “User Defined Functions and Operators”, IBM Technical Disclosure Bulletin 19, 1300-1302.

[1] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”, IBM Technical Disclo­sure Bulletin 17, 1653-1657.

(G) IBM Technical reports

[11] Calzolari, G., and L. Panattoni (1985): “Small Sample Performance of Tests in Econometric Models: The Cost of Robustness”. Pisa: IBM Technical Report G513-4075, presented at The Fifth World Congress of the Econometric Society,M.I.T., Cambridge, MA, August 17-24.

[10] Bianchi, C., G. Calzolari, and P. Corsi (1981): “Alternative Estimates of the Klein-I Model”. Pisa: IBM Technical Report G513-3584.

[9] Bianchi, C., G. Calzolari, and P. Corsi (1979): “On the Restricted Reduced Form of the Klein-I Model”. Pisa: IBM Technical Report G513-3575.

[8] Bianchi, C., G. Calzolari, and R. Doret (1978): “Van der Giessen’s Reordering Algorithm in the Program for Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report Z513-5101.

[7] Bianchi, C., G. Calzolari, and P.     Corsi (1978): “Stochastic Simulation of Econometric Models: Installation Procedures and User’s Instructions”. Pisa: IBM Technical Report G513-3568.

[6] Bianchi, C., G. Calzolari, and P. Lischi (1978): “A Manageable Support for the O.E.C.D. Data on Foreign Trade by Commodities”. Pisa: IBM Technical Report G513-3567.

[5] Bianchi, C., G. Calzolari, P. Corsi, and B. Sitzia (1976): “Stochastic Simulation of an Aggregated Model of the Italian Economy: Methodological and Empirical Aspects”. Pisa: IBM Technical Report G513-3545.

[4] Calzolari, G., T. A. Ciriani, and P. Corsi (1976): “Generation and Testing of Pseudo-Random Numbers with Assigned Statistical Properties to be Used in the Stochastic Simulation of Econometric Models”. Pisa: IBM Technical Report G513-3544.

[3] Bianchi, C., G. Calzolari e P. Corsi (1975): “DMS/2, Un Sistema per la Soluzione e Simulazione Interattiva di Modelli Econometrici”. Pisa: Rapporto Tecnico IBM G513-3538.

[2] Bianchi, C., G. Calzolari, and P. Corsi (1974): “Interactive Management of Time Series”. Pisa:         IBM Technical Report G513-3530.

[1] Calzolari, G. (1973): “Un Linguaggio per la Gestione dell’Archivio delle Serie Storiche”. Pisa: Nota Tecnica IBM G513-3704.

(H) Other papers presented at conferences

[24] Calzolari, G., and A. Di Pino (2011):          “Simultaneous Equation Models with Endogenous Limited Dependent Variables: Efficiency of Alternative Estimators”, presented at the fourth Italian Congress of Econometrics and Empirical Economics. Universit`a di Pisa, January 19-21.

[23] Calzolari, G., and L. Magazzini (2008): “Estimating Tobit Models for Panel Data with Autocorrelated Errors”, presented at the European Meeting of the Econometric Society. Milano, Universit`a Bocconi, August 27-31.

[22] Magazzini, L., and G. Calzolari (2007): “Modello Tobit a Effetti Casuali: Metodi di Stima Basati sulla Simu­lazione”, presented at the 4^o Convegno Italiano degli Utenti di Stata. Roma: September 24-25.

[21] Fiorentini, G., E. Sentana, and G. Calzolari (2003): “The Relative Efficiency of Pseudo Maximum Likelihood Es­timation and Inference in Conditionally Heteroskedastic Dynamic Regression Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[20] Di Iorio, F., and G. Calzolari (2003): “Relative Efficiency of Indirect Inference for ARFIMA Models”, presented at the European Meeting of the Econometric Society. Stockholm University: August 20-24.

[19] Calzolari, G., G. Fiorentini, and E. Sentana (1999): “Constrained EMM Estimation”, presented at the European Meeting of the Econometric Society. Universidade de Santiago de Compostela: August 29-September 1.

[18] Calzolari, G., F. Mealli, and C. Rampichini (1999): “Indirect Estimation of Logit Multilevel Models”, presented at the 2nd International Amsterdam Conference on Multilevel Analysis. Amsterdam: August 30-31.

[17] Calzolari, G., G. Fiorentini, and E. Sentana (1998): “Indirect Inference Estimation of Conditionally Heteroskedas­tic Factor Models”, presented at ASSET. Bologna, October 23-25.

[16] Calzolari, G., F. Di Iorio, and G. Fiorentini (1998):   “Indirect Estimation of Continuous Time Interest Rate Models”, presented at the Workshop on China’s Financial Markets. Shanghai: Jiaotong University-CEIBS, August 19-20.

[15] Calzolari, G., F. Mealli, and C. Rampichini (1998): “Indirect Estimation of Logit Models with Random-Effects”, presented at the European Meeting of the Econometric Society. Berlin: Humboldt Universit¨at, August 29­September 2.

[14] Calzolari, G., and G. Fiorentini (1996): “Indirect Inference for Censored Regression Models with Conditional Het­eroskedasticity”, presented at the European Meeting of the Econometric Society. Istanbul: Bogazici University, August 25-29.

[13] Calzolari, G., and L. Sampoli (1989): “Instrumental Variables Interpretations of FIML and Nonlinear FIML”, presented at the European Meeting of the Econometric Society. Ludwig Maximilians Universit¨at M¨unchen, September 4-8.

[12] Calzolari, G., and L. Panattoni (1988):        “Coherent Forecast with Nonlinear Econometric Models”, presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit

Amsterdam, June 12-15.

[11] Bianchi, C., J. L. Brillet, and G. Calzolari (1985): “Measuring Forecast Uncertainty in a Macro Model of the French Economy”, presented at The Fifth International Symposium on Forecasting. Montreal: McGill University, June 9-12.

[10] Calzolari, G., and L. Panattoni (1984):         “A Simulation Study on FIML Covariance Matrix”, presented at the European Meeting of the Econometric Society. Universidad Autonoma de Madrid, September 3-7.

[9] Calzolari, G., and L. Panattoni (1984): “Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix”, presented at The Fourth International Symposium on Forecasting. London Business School, July 8-11.

[8] Bianchi, C., J. L. Brillet, and G. Calzolari (1983): “Analysis and Measurement of the Uncertainty in Mini-DMS Model for the French Economy”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[7] Calzolari, G., and L. Panattoni (1983): “Hessian and Approximated Hessian Matrices in Maximum Likelihood Estimation: A Monte Carlo Study”, presented at the European Meeting of the Econometric Society. Universit`a di Pisa, August 29-September 2.

[6] Bianchi, C., and G. Calzolari (1983): “Confidence Intervals of Forecasts from Nonlinear Econometric Models”, presented at The Third International Symposium on Forecasting. Philadelphia: The Wharton School, June 5-8.

[5] Bianchi. C., G. Calzolari, P. Corsi, and L. Panattoni (1982): “Uncertainty of Policy Recommendations for Non­linear Econometric Models: Some Empirical Results”, presented at the 1982 Conference on Economic Dynamics and Control, “Decision Making Under Uncertainty”. Washington DC: Federal Reserve Board, June 9-11.

[4] Bianchi.      C., G. Calzolari, P. Corsi, and L. Panattoni (1980): “Significance of the Characteristic Roots in Linearized Econometric Models”, presented at the Economics and Control Conference. Princeton University, June 2-4.

[3] Bianchi, C. e G. Calzolari (1978): “La Varianza dell’Errore di Previsione nei Modelli Econometrici: Applicazione ad un Modello Nonlineare dell’Economia Italiana”, presentato al IV Convegno su Teoria dei Sistemi ed Economia. Udine: C.I.S.M., 23-25 Ottobre.

[2] Bianchi, C., G. Calzolari, E. M. Cleur, G. Gambetta, A. Stagni, and F. Sterbenz (1978): “Stochastic Simulation and Dynamic Properties of the New Version of the Italian Model”, presented at the Annual Meeting of Project Link. Athens: Center of Planning and Economic Research, October 2-7.

[1] Bianchi, C., G. Calzolari, and P.      Corsi (1976): “Monte Carlo Methods in Econometrics: a Package for the Stochastic Simulation”, presented at the Congr`es Europ´een des Statisticiens. Universit´e Scientifique et M´edicale de Grenoble, September 6-10.

(I) Thesis

[1] Calzolari, G. (1969): “Prove a Scariche Parziali negli Isolamenti Impregnati con Olii”. Universit`a di Bologna, Tesi di Laurea in Ingegneria Elettrotecnica, 25 Luglio.

Downloadable teaching materials (Econometric notes):

http://local.disia.unifi.it/calzolari/materiale-didattico/index.php