PUBLICATIONS            (update: December 2014)

Fanelli, L. (with E. Bacchiocchi), 2014, "Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy" OXFORD BULLETIN OF ECONOMICS AND STATISTICS, forthcoming

Fanelli, L. (with Efrem Castelnuovo
), 2014, "Monetary policy indeterminacy and identification failures in the U.S.: results from a robust test", JOURNAL OF APPLIED ECONOMETRICS, DOWNLOAD EARLY VIEW
Fanelli, L. (with Gunnar Bårdsen), 2014, "Frequentist evaluation of small DSGE models", JOURNAL OF BUSINESS AND ECONOMIC STATISTICS, forthcoming. DOWNLOAD PAPER  ;  DOWNLOAD SUPPLEMENTARY MATERIAL  

Fanelli, L. (2012), "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models", JOURNAL OF ECONOMETRICS 170,  153-163  DOWNLOAD

  Fanelli, L. (2011) (with G. Palomba), "Simulation-based tests of forward-looking models under VAR learning dynamics", JOURNAL OF APPLIED ECONOMETRICS 26, 762-782  DOWNLOAD

   Fanelli, L. (2010) (with P. Paruolo), "Speed of adjustment in cointegrated systems" JOURNAL OF ECONOMETRICS 158, 150-141. DOWNLOAD

   Fanelli, L. (2009) (with Cavaliere, G. and Gardini, A.), "Consumption risk sharing under adjustment costs", ECONOMICS BULLETIN 29(2), 1128-1137.  DOWNLOAD

   Fanelli, L. (2008) (with Cavaliere, G. and Paruolo, P.), "Tests for cointegration rank and choice of the alternative". STATISTICAL METHODS & APPLICATIONS  18, 169-191   DOWNLOAD

   Fanelli (2008), "Evaluating the New Keynesian Phillips Curve under VAR-based Learning" ECONOMICS: THE OPEN-ACESS, OPEN-ASSESSMENT E-JOURNAL Vol. 2, 2008-33.  DOWNLOAD

Fanelli, L (2008) (with Cavaliere, G. and Gardini, A.), "International dynamic risk sharing". JOURNAL OF APPLIED ECONOMETRICS 23, 1-16. DOWNLOAD

Fanelli, L (2008),  "Testing the New Keynesian Phillips curve through Vector Autoregressive models: results from the Euro areaOXFORD BULLETIN OF ECONOMICS AND STATISTICS 70, 53-66. DOWNLOAD.

  Fanelli, L. (2007), "Present value relations, Granger non-causality and VAR stability", ECONOMETRIC THEORY (N&P) 23, 1254-1260. DOWNLOAD

  Fanelli, L (2006), Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration". JOURNAL OF ECONOMIC DYNAMICS AND CONTROL 30, 445-456.  DOWNLOAD

Fanelli, L. (2006), "Dynamic adjustment cost models with forward-looking behaviour". ECONOMETRICS JOURNAL 9, 23-47.

Fanelli, L. (2006) (with Cavaliere, G. and Gardini, A.), “Regional consumption dynamics and risk sharing in Italy”. INTERNATIONAL REVIEW OF ECONOMIC AND FINANCE 15(4), 525-542  DOWNLOAD

Fanelli, L. (2005) (with Bacchiocchi, E.), "Testing the purchasing power parity through I(2) cointegration techniques".  JOURNAL OF APPLIED ECONOMETRICS 20, 749-770 DOWNLOAD

Fanelli, L. (2005) (with Gardini, A. and Cavaliere, G.), "Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia". RIVISTA DI POLITICA ECONOMICA, maggio-giugno 2005 DOWNLOAD.

  Fanelli, L. (2002): "A new approach for estimating and testing the Linear Quadratic Adjustment Cost model under rational expectations and I(1) variables", JOURNAL OF ECONOMIC DYNAMICS AND CONTROL  26 (1), 117-139, DOWNLOAD.

  Fanelli, L. (2002) (with Mazzocchi, M.), "A cointegrated VECM demand system for meat in Italy", APPLIED ECONOMICS  34 (13), 1593-1605, DOWNLOAD.