Curriculum Vitae: Lorenzo Trapani
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CURRICULUM VITAE: LORENZO TRAPANI
Updated: September 2009
Date of birth: 21st March 1976Nationality: Italian
EDUCATION/DEGREES
2001 – 2004 PhD in “Economics and Management of Technology”, Faculty of Engineering, University of Bergamo. Dissertation on Essays on Dynamic Panel Data Econometrics (Advisors: Prof. A. Salanti, Prof. G. Urga)
1995 – 2001 “Laurea” in Management and Production Engineering at the Polytechnic University of Milan (cum laude). Dissertation on Theoretical Tools for the Analysis of Nonlinear, Nonstationary Time Series (in Italian; advisor: Prof. R. Mosconi)
RESEARCH AND KNOWLEDGE TRANSFER
Research interests
Econometric theory, Asymptotic theory, Structural breaks, Nonparametric statistics and empirical processes, Unobserved factor models, Bootstrap, Large Matrices
Published and working papers
Published
[1] “Micro versus Macro Cointegration in Heterogeneous Panels” (2009) with G Urga, forthcoming at the Journal of Econometrics.
[2] “Optimal Forecasting with Heterogeneous Panels: a Monte Carlo Study” (2009), with G Urga, International Journal of Forecasting, 25, p.567-586.
[3] “Common Stochastic Trends and Aggregation in Heterogeneous Panels” (2007), with S. Lazarova and G. Urga, Econometric Theory, 1, 89-106.
Under review
[4] “On the Asymptotic t-test for Large Nonstationary Panel Models” (2008). [2nd round at Computational Statistics and Data Analysis]
[5] “Cross Section versus Time Series Measures of Uncertainty”(2008), with C Driver and G Urga. [Major revisions, 2nd round at the International Journal of Forecasting]
[6] “Sieve Boostrap for Non-Stationary Panel Factor Models” (2009), CEA@Cass working paper WP-CEA-9-2008. [Submitted to Bernoulli]
[7] “Asymptotics for Panel Models with Common Shocks” (2009), with C Kao and G Urga. [2nd round atEconometrics Reviews]
Working papers
[8] “Micro versus Macro Cointegration in Heterogeneous Panels: an Application to Financial Data” with G. De Rossi and G.Urga (2010)
[9] “Large Dimensional Factor-Based Covariance Estimation when Factors are Unknown”, with J.Bai and C.Kao (2010)
[10] “Long-run Variance Estimation in a Large Panel Setting” (2009), mimeo.
[11] “Modelling and Testing for Structural Breaks in Panels with Common and Idiosyncratic Stochastic Trends” (2009), with C Kao and G Urga. [Under substantial revision; to be submitted to the Journal of Econometrics]
[12] “Cointegration versus Spurious Regression and Heterogeneity in Large Panels” (2009), mimeo. [To be submitted to theReview of Economic Studies]
[13] “Testing for Instability in Covariance Structures with Finite n” (2009), with C.Kao, and G.Urga, mimeo. [To be submitted to the Review of Economics and Statistics]
[14] “A Distribution-Free Test for Changes in the Distribution” (2008), mimeo.
PhD Students
Ekaterina Ipatova (2009 – ), “Factor Models and Large Matrices in Financial Econometrics” (provisional title)
Conferences and invited seminars(selective list since 2006)
2009
6th OxMetrics Users Conference, Cass; paper presented:“Cointegration versus Spurious Regression and Heterogeneity in Large Panels”
ESRC Econometric Study Group Annual Conference, University of Bristol; paper presented:“Cointegration versus Spurious Regression and Heterogeneity in Large Panels”
The 4th annual New York Camp Econometrics, SyracuseUniversity; paper presented:“Cointegration versus Spurious Regression and Heterogeneity in Large Panels”.
3rd Italian Congress of Econometrics and Empirical Economics; paper presented:“Sieve Boostrap for Non-Stationary Panel Factor Models”
2008
Bangor Business School Seminar Series (invited); paper presented:“Modelling and Testing for Structural Breaks in Panels with Common and Idiosyncratic Stochastic Trends”
“Unobserved Factor Models” (Cemmap Seminar Series), BirkbeckCollege; paper presented:“Asymptotics for Panel Models with Common Shocks”
City University Department of Economics Seminar Series (invited); paper presented:“A Distribution-Free Test for Changes in the Distribution”
Far Eastern and South Asian Meeting of the Econometric Society, SingaporeManagementUniversity; paper presented:“A Distribution-Free Test for Changes in the Distribution”
European Meeting of the Econometric Society, BocconiUniversity, Milano; paper presented:“A Distribution-Free Test for Changes in the Distribution”
The 3rd annual New York Camp Econometrics, SyracuseUniversity; paper presented:“Sieve Boostrap for Non-Stationary Panel Factor Models”
Economics Department Seminar Series, SyracuseUniversity (invited);paper presented:“Modelling and Testing for Structural Breaks in Panels with Common and Idiosyncratic Stochastic Trends”
ESRC Econometric Study Group Annual Conference, University of Bristol; paper presented:“Sieve Boostrap for Non-Stationary Panel Factor Models”
"Recent Developments in Econometric Methodology", 1stInternational Conference in Memory of Carlo Giannini, University of Bergamo; paper presented:“A Distribution-Free Test for Changes in the Distribution”
2007
North American Summer Meeting of the Econometric Society, DukeUniversity, Durham, NC; paper presented:“Cross Section versus Time Series Measures of Uncertainty”
4th OxMetrics Users Conference, Cass; paper presented:“A Distribution-Free Test for Changes in the Distribution”
2006
European Meeting of the Econometric Society, University of Vienna; paper presented:“Asymptotics for Panel Models with Common Shocks”
13th Conference on Panel Data, CambridgeUniversity; paper presented:“Asymptotics for Panel Models with Common Shocks”
North American Summer Meeting of the Econometric Society, Minneapolis, MN; paper presented:“Asymptotics for Panel Models with Common Shocks”
ESRC Econometric Study Group Annual Conference, University of Bristol; paper presented:“Cross Section versus Time Series Measures of Uncertainty”
3rd OxMetrics Users Conference, Cass; paper presented:“Cross Section versus Time Series Measures of Uncertainty”
Professional affiliations/memberships
Member of the Econometric Society (since 2004)
Refereeing activity
Applied Stochastic Models in Business and Industry, Econometric Reviews, Empirical Economics, Journal of Applied Econometrics, Journal of Business and Economics Statistics, Journal of Econometrics, Studies in Nonlinear Dynamics and Econometrics.
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