Luca Scaffidi @scaffidi_luca
PhD, Postdoctoral Researcher at unifi. Research interests: financial econometrics, volatility modeling, markov switching models. Cycling 🚴♂️ Messina, Sicily Joined June 2012-
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My demise as a time series econometrician has been slightly exaggerated 🙂 -- thanks to @WeiningWan19218 and Mengshan Xu sites.google.com/view/mengshan-…. onlinelibrary.wiley.com/doi/10.1111/jt… The topic is traditional: How to improve over the Gaussian QMLE in models of means/variances/covariances?
🧵No, le importazioni non "bruciano" il Pil. E il Pil non può scendere sotto zero. La qualità dell’informazione, purtroppo, sì. Il modo in cui l’economia viene raccontata in questi giorni dice molto sullo stato di salute dell’informazione italiana. Per la prima volta dopo…
Our latest "fatigue" has been published in AoR. In this work, due to the issues encountered when we want to identify the number of states in MS models, we try to detect them through the typical indices used in a fuzzy clustering approach. link.springer.com/article/10.100…
After reading my students' senior seminar projects, I need to find out which of my colleagues are using epsilon_it, rather than u_it, for the idiosyncratic errors in models for panel.🤔
Damn it. Chat GPT thinks that OLS is both a model and an estimation method. How can the name "ordinary least squares" describe a model? That's like calling "least absolute deviations" a model, and no one would ever do that. Oh wait. The struggle is real.
An interesting example of reinforcement learning Chicken: “this is an incredibly annoying way to eat my lunch.” 😀 #Tiredearth #climate #climateEmergency #climateCrisis #animals
Pseudo Maximum Likelihood
I correct my students when they mean a "one percentage point" change if they write it as a "1%" change -- for example, in describing unemployment rates. I've seen prominent economists not make this distinction. Am I being too pedantic?
Updated version! Check it out
Updated version! Check it out
Hi #EconTwitter! 📊 Keen on mastering #Econometrics for #Finance and #Macroeconomics? Explore this course by @carloafavero (@Unibocconi) on modeling trends & cycles in macro-finance. It offers rich content on time series, VARs, term structure models, and more! Bonus: access to…
Il ministero del lavoro ed il numero delle code, prossimamente nei peggiori cinema #bonustrasporti
If an estimate is statistically significant at the 10%, 5%, and 1% significance levels, should we indicate that with ******? 😬
Hi #EconTwitter! 📈 Dealing with or interested in time series #econometrics and love using R #rstats for your analyses? Check out 👇 this incredible set of resources curated by Rob Hyndman and Rebecca Killick (@MonashUni)! It covers a lot, from basic infrastructure to advanced…
Hi #EconTwitter!📈 Want to dive deeper into the world of 𝐭𝐢𝐦𝐞 𝐬𝐞𝐫𝐢𝐞𝐬 & 𝐦𝐚𝐜𝐫𝐨𝐞𝐜𝐨𝐧𝐨𝐦𝐞𝐭𝐫𝐢𝐜𝐬? While we wait that @lucafanelli5's macroeconometrics slides are ready, if you missed these you should check out 👇these slides by @jimstockmetrics (@Harvard) and…
Hi #EconTwitter! How do you 𝐜𝐚𝐮𝐬𝐚𝐥 𝐢𝐧𝐟𝐞𝐫𝐞𝐧𝐜𝐞 using macroeconomic time series and macroeconometrics? If you missed it, check out👇this paper by @jimstockmetrics (@Harvard) and Mark Watson (@Princeton). Also recommended if you need to teach macro #econometrics!…
For those interested in heteroskedasticity robust estimator of the covariance matrix. A revolutionary paper. "Here, where it all began". You can download the paper at the following link: jstor.org/stable/1912934 #EconTwitter
Hi #EconTwitter! 📊 Looking for some material on #statistics and #econometrics, taught through the lens of applications in #finance? Check out the website of Nelson Mark's (@NotreDame) Financial econometrics course. Bonus: It features data and applications in Eview —…
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