Matteo BARIGOZZI

Post-Doctoral Researcher
European Center for Advanced Research in Economics and Statistics (ECARES) - Université Libre de Bruxelles

         

Contacts Vita Research Topics   Papers published in Refereed Journals Papers published  in Conference Proceedings Working Papers

Current Projects Teaching Notes Matlab Codes Talks Links

	Contacts	Top
	Office Address
	Room S 12.127 ECARES - Université Libre de Bruxelles 44 Avenue Jeanne B-1050 Brussels Belgium
	Postal Address
	ECARES - Université Libre de Bruxelles 50 Avenue F.D. Roosevelt CP 114 B-1050 Brussels Belgium
	Phone
	+32 (0)2 650 33 75 mattebar
	Email
	matteo.barigozzi gmail.com  -  matteo.barigozziulb.ac.be
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	Vita	Top
	Full CV
	Past Research Positions
	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
	PhD Economics and Management - Scuola Superiore Sant'Anna, Pisa - 2008.
	Dynamic Factor Models - New Developments in Forecasting and Structural Identification Techinques - Supervisor: Marco Lippi
	MSc Modeling and Simulation of Complex Realities - International Centre for Theoretical Physics, Trieste - 2003.
	BSc and MSc "Laurea" degree in Physics - Astrophysics - Universitá  degli Studi di Milano - 2002.
	Visiting
	Department of Quantitative Economics - Universiteit Maastricht - Maastricht - Feb 2010.
	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		Top
	Evolutionary dynamic factor models.  Dynamic factor models and spectral analysis. Nonfundamental representations of time series models.	Phenomenology of consumption behaviour. International trade networks ( http://www.tradenet-it.tk/).
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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).
	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).
	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.
	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).
	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	Top
	View my research on RePEc - SSRN - arXiv Author pages
	Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model, (with A.Conti and M. Luciani),  last version here .
	Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets, (with C. Brownlees, G. Gallo, and D. Veredas), last version here . Also as ECARES working paper.
	On the Sources of Euro Area Money Demand Stability: A Time-Varying Cointegration Analysis, (with A. Conti), last version here . Also as ECARES working paper.
	Nonfundamentalness in Structural Econometric Models: A Review, (with L. Alessi and M. Capasso),  last version here . Also as European Central Bank working paper.
	Optimal Penalization when Determining the Number of Factors in Approximate Static Factor Models, (with L. Alessi and M. Capasso),  Matlab code here, last version here . Also as ECARES working paper and European Central Bank working paper.
	Immigrant's Legal Status, Permanence in the Destination Country and the Distribution of Consumption Expenditure, (with B. Speciale), ECARES working paper .
	The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households, (with L. Alessi, M. Capasso and G. Fagiolo), European Central Bank working paper . Also as Max Planck discussion paper on Economics and Evolution.
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	Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors, (with L. Alessi and M. Capasso),  European Central Bank working paper .