ROCCO MOSCONI

Born in Pavia (Italy), 1961, is Full Professor of Econometrics, Department of Business Engineering, Polytechnic of Milano (from March 2006). He is the author of papers on cointegration analysis, in particular about non-causality in cointegrated systems, VAR with exogenous variables and structural breaks. Scooby, PhDog, born in Pavia (Italy), 1993, is his dog.



blue.gif (104 byte)Affiliation and Address

Dipartimento di Ingegneria Gestionale
Politecnico di Milano
Piazza L. da Vinci 32
20133 Milano
Tel. (02)-2399-2747
Fax (02)-700423151
e-mail: rocco.mosconi@polimi.it
Web: http://www.dig.polimi.it/people/Mosconi.Rocco

 


blue.gif (104 byte)Education
Laurea, Economics, University of Pavia, 1985 (110/110 cum laude)
High School, Classical, Liceo "U.Foscolo", Pavia, 1980 (54/60)

 


blue.gif (104 byte)Principal present occupation
Full Professor of Econometrics, Department of Business Engineering, Polytechnic of Milano (from March 2006)

blue.gif (104 byte)Principal past occupations
Associate Professor of Econometrics, Department of Business Engineering, Polytechnic of Milano (March 1998 to March 2006)
Assistant Professor of Econometrics, Department of Economics and Production, Polytechnic of Milano (May 1993 to March 1998)
Research Associate, Department of Economics and Production, Polytechnic of Milano (May 1990 to May 1993)
Junior Research Fellow, Department of Economics, Polytechnic of Milano (March 1986 to April 1990)

 


blue.gif (104 byte)Reserch Interests

Theoretical Econometrics: Time Series Analysis, Non-stationary Time Series Modelling, VAR models, Survival Data Analysis, Discrete choice models

Applied Econometrics: Econometric Modelling of Financial Data, Models for the Diffusion of Technological Innovation, Estimation of Export Demand Functions, Estimation of Cost Functions
Economic Statistics: Index Numbers

 


blue.gif (104 byte)Major Pubblications

  • Mosconi R., Seri R., 2006, "Non Causality in Bivariate Binary Time Series", Journal of Econometrics 132, p 379-407
  • Johansen S., Mosconi R., Nielsen B., 2000, "Cointegration analysis in the presence of structural breaks in the deterministic trend", Econometrics Journal, vol. 3, 216-249
  • Mosconi R., Rahbek A., 1999, "Cointegration Rank Inference with Stationary Regressors in VAR Models", Econometrics Journal, vol. 2, 76-91
  • Mosconi R., 1998, "MALCOLM version 2.0: the Theory and Practice of Cointegration Analysis in RATS", Cafoscarina, 1998.
  • Colombo M.G., Mosconi R., 1995, "Complementarity and Cumulative Learning Effects in the Early Diffusion of Multiple Technologies", The Journal of Industrial Economics, March 1995
  • Giannini C., Mosconi R., 1992, "Non Causality in Cointegrated Systems: Representation, Estimation and Testing", Oxford Bulletin of Economics and Statistics, August 1992
blue.gif (104 byte)Recent working papers
  • Mosconi R., 2007, Assessing GARCH model's predictive ability from Traders' Point of View, presented at the Second Italian Congress of Econometrics and Empirical Economics, Rimini, January 2007.
  • Mosconi R., 2006, Preliminary evidence based on ultra high frequency data on the relationship among stock prices, traded quantities and order book quotes in the Italian stock market, presented at the Convegno Nazionale delle Ricerche in Serie Temporali - SER2006, Roma (Villa Mondragone) April 2006
  • Mosconi R., Olivetti F., 2005, "Bivariate Generalizations of the ACD Models", presented at the Journal of Applied Econometrics Annual Conference, Venezia, June 2005
  • Monti F., Mosconi R., 2005, "Optimal Control in Cointegrated Linear Systems", presented at the First Italian Congress of Econometrics and Empirical Economics, Venezia, January 2005

blue.gif (104 byte)Software
Rocco Mosconi is the author of the econometric package MALCOLM (http://www.greta.it/malcolm/), specialized in econometric analysis of non stationary time series. MALCOLM is adopted by several central banks, universities and research centers.


blue.gif (104 byte)Reffereeing activity
Rocco Mosconi regularly acts as a referee for: Journal of Econometrics, Journal of the Italian Statistical Society, European Economic Review, Journal of Industrial Economics, Oxford Bulletin of Economics and Statistics, Empirical Economics, The European Journal of Finance, Econometrics Journal


blue.gif (104 byte)Extra academic activities

  • 2001-2003: consultant for the monetary policy strategy division of the European Central Bank, on the role of cointegrated structural Vector AutoRegressive models and optimal control in monetary policy
  • 1999-2000: Research for the Italian Autority for Energy on econometric estimation of cost functions for eletcricity and gas
  • 1993-1994: Research for Telecom Italia on econometric analysis of the demand for telecomunication services