Matteo
BARIGOZZI
Post-Doctoral
Researcher
European Center for Advanced Research in Economics and
Statistics (ECARES) -
Université Libre de Bruxelles
| Contacts Research Topics Papers published in Refereed Journals Papers published in Conference Proceedings Working Papers |
Current Projects Teaching Notes Matlab Codes Talks Links |
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Contacts |
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| Office
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| Room S 12.127 ECARES - Université Libre de Bruxelles 44 Avenue Jeanne B-1050 Brussels Belgium |
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ECARES -
Université
Libre de
Bruxelles
50 Avenue F.D. Roosevelt CP 114 B-1050 Brussels Belgium
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![]() +32 (0)2 650 33 75 ![]() mattebar |
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matteo.barigozzi
gmail.com
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matteo.barigozzi ulb.ac.be |
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Vita | Top |
| Full CV | ||
| Past
Research Positions |
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| Researcher - Evolutionary Economics Group - Max Planck Institut für Ökonomik, Jena - 2008. | ||
| Researcher - Laboratory of Economics and Management - Scuola Superiore Sant'Anna, Pisa - 2006 - 2008. | ||
| Education | ||
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PhD Economics
and Management -
Scuola
Superiore Sant'Anna, Pisa - 2008.
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MSc Modeling
and
Simulation of Complex
Realities - International Centre for Theoretical Physics, Trieste -
2003.
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BSc and MSc "Laurea"
degree in Physics
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Astrophysics - Universitá
degli Studi di Milano - 2002.
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| Visiting |
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| Department of Quantitative
Economics - Universiteit
Maastricht - Maastricht - Feb 2010. |
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| Columbia Business School - Columbia University - New York - Oct 2006 - Apr 2007. | ||
| Departamento de Estadística -
Universidad Carlos III - Madrid - Oct 2005 - Dec 2005. |
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Research
Topics
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Evolutionary dynamic factor models. Dynamic factor models and spectral analysis. Nonfundamental representations of time series models. |
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| Publications in Refereed Journals | Top | |
| The
Multi-Network of International Trade: A Commodity-Specific Analysis, (with G. Fagiolo and D. Garlaschelli), Physical Review E, 2010, 81(1). |
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| Abstract: We study the topological properties of the multi-network of commodity-specific trade relations among world countries over the 1992-2003 period, comparing them with those of the aggregate-trade network, known in the literature as the international trade network (ITN). We show that link-weight distributions of commodity-specific networks are extremely heterogeneous and (quasi) log-normality of aggregate linkweight distribution is generated as a sheer outcome of aggregation. Commodity-specific networks also display average connectivity, clustering and centrality levels very different from their aggregate counterpart. We also find that ITN complete connectivity is mainly achieved through the presence of many weak links that keep commodity-specific networks together, and that the correlation structure existing between topological statistics within each single network is fairly robust and mimics that of the aggregate network. Finally, we employ cross-commodity correlations between link weights to build taxonomies of commodities. Our results suggest that on the top of a relatively time-invariant “intrinsic” taxonomy (based on inherent between-commodity similarities), the roles played by different commodities in the ITN have become more and more dissimilar, possibly as the result of an increased trade specialization. | ||
| On
the Distributional Properties of Household Consumption Expenditures.
The Case of Italy, (with L. Alessi, M. Capasso, G. Fagiolo), Empirical Economics, 2010, 38(3). |
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| Abstract: In this paper we explore the statistical properties of the distributions of consumption expenditures for a large sample of Italian households in the period 1989-2004. Goodness-of-fit tests show that household aggregate (and age-conditioned) consumption distributions are not log-normal. Rather, their logs can be invariably characterized by asymmetric exponential-power densities. Departures from log-normality are mainly due to the presence of thick lower tails coexisting with upper tails thinner than Gaussian ones. The emergence of this irreducible heterogeneity in statistical patterns casts some doubts on the attempts to explain log-normality of household consumption patterns by means of simple models based on Gibrat's Law applied to permanent income and marginal utility. | ||
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On Approximating the Distributions of Goodness-of-Fit Test
Statistics Based on the Empirical Distribution Function. The Case of
Unknown Parameters,
(with L. Alessi, M. Capasso and G.
Fagiolo), Advances
in Complex Systems, 2009, 12(2). |
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| Abstract: This paper discusses some problems possibly arising when approximating via Monte-Carlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown parameters on each simulated Monte-Carlo sample -- and thus avoiding to employ this information to build the test statistic -- may lead to wrong, overly-conservative testing. Furthermore, we present a simple example suggesting that the impact of this possible mistake may turn out to be dramatic and does not vanish as the sample size increases. | ||
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| Publications in Conference Proceedings | Top | |
| Dynamic Factor Models for Forecasting and
Structural Identification, Mathematisches Forschunginstitut Oberwolfach (MFO) Reports 2010, 05. |
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Working
Papers
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| View my research on RePEc - SSRN - arXiv Author pages | ||
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Measuring
Euro Area Monetary Policy Transmission in a Structural Dynamic Factor
Model, (with A.Conti and M. Luciani), |
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Disentangling
Systematic and Idiosyncratic Risk for Large Panels of Assets, (with C. Brownlees, G. Gallo, and D. Veredas), |
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On
the Sources of Euro Area Money Demand Stability: A Time-Varying
Cointegration Analysis, (with A. Conti), |
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| Nonfundamentalness in
Structural Econometric Models: A Review, (with L. Alessi and M. Capasso), |
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Optimal
Penalization when Determining the Number of Factors in Approximate
Static Factor Models,
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| Immigrant's
Legal Status, Permanence in the Destination Country and the
Distribution of Consumption Expenditure, (with B. Speciale), |
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| The
Distribution of
Consumption-Expenditure Budget Shares. Evidence from Italian Households, |
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| Estimation and
Forecasting in Large
Datasets with Conditionally Heteroskedastic Dynamic Common Factors, (with L. Alessi and M. Capasso), |
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Current Projects
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| Title |
Co-author(s) |
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| Volatility
in Macro Panels. |
Giovanni Motta | ||
| Smooth Forecasting of Evolutionary Panels. | Giovanni
Motta, Marco Lippi |
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| Aggregation
of Household Consumption Expenditures. |
Alessio Moneta | ||
| Structural
Dynamic Factor Models of the Euro
Area. |
Antonio Conti, Matteo Luciani |
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| Trade
Communities. |
Giorgio Fagiolo,
Giuseppe
Mangioni |

| Teaching | Top | |
| From Sepetember 2010 I will be
teaching at LSE as a lecturer in Statistics. |
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| Notes | Top | |||||||||
On
the Method of Social
Sciences
and Statistics ![]() |
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Advanced
Calculus:
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Notes
on Dynamic
Factor Models VERY OLD!! |
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| Codes |
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MATLAB - Number of Static
Factors in Approximate
Factor Models |
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MATLAB - Toolbox for the
Generalized Dynamic Factor Model version
1.3
(with M. Forni, R.Liška, C.
Mathias)
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| Conferences and Workshops |
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| XVI Conference on Computational Economics and Finance - City University of London - July 2010. | ||
| Sir Clive Granger Memorial
Conference - University of Nottingham - May 2010. |
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| XV
Spring Meeting of Young Economists - University of Luxembourg - April
2010. |
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| Workshop on Semiparametric
Modelling of Multivariate Economic Time Series With Changing Dynamics -
Mathematisches
Forschunginstitut Oberwolfach - January 2010. |
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| IAP meeting - Katholieke
Universiteit Leuven - October 2009. |
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| Fourth Bruxelles-Waseda
Seminar on Time Series and Financial Statistics - ENSAI, Rennes - June
2009. |
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| Conference
on Factor Structures for Panel and Multivariate Time Series Data - Universiteit Maastricht
- September 2008. |
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| XIV
Conference on Computational Economics and Finance - Université
Paris
Sorbonne - June 2008. |
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| Multivariate Volatility Models - Universidade do Algarve - Faro - October 2007. | ||
| XXVI International Symposium on Forecasting - Santander - June 2006. | ||
| Italian
Congress on Time Series - Villa Mondragone, Roma - April 2006. |
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| Invited Seminars | ||
| Université libre de Bruxelles - ECARES - March 2010. | ||
| London School of Economics and Political Science- Statistics - March 2010. | ||
| Université libre de Bruxelles - Institut de Recherche en Statistique - November 2009. | ||
| Université catholique de Louvain-la-Neuve - CORE - October 2009. | ||
| Universiteit Maastricht - Department of Quantitative Economics - July 2009. | ||
| Université libre de Bruxelles - Institut de Recherche en Statistique - December 2008. | ||
| Università degli Studi di Milano - Dipartimento di Matematica - April 2008. | ||
| ETH, Zürich - Chair of System Design - February 2008. | ||
| Max Planck Institute, Jena - Evolutionary Economics Group - January 2008. | ||
| Université libre de Bruxelles - ECARES - November 2007. | ||
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