Research

- Work in Progress

• Monetization, wars, and the Italian fiscal multiplier (with M. Fratianni, F. Giri and R. Lucchetti)

• Persistence of R&D intensities in the world’s top investors in R&D (with C. Pigini and A. Sterlacchini)

• Specification testing with Grouped Fixed Effects (with C. Pigini and A. Pionati)

• Testing for dependence in pairs of binary outcomes by an approximating logit model

 

- Peer-Reviewed Articles

• MCMC Conditional Maximum Likelihood for the two-way fixed-effects logit

  Econometric Reviews, 2024, with F. Bartolucci and C. Pigini Code

   

• Linear models with time-varying parameters: a comparison of different approaches

  Computational Statistics, 2024, with R. Lucchetti Code

   

• Kernel-based Time-Varying IV estimation: handle with care

  Empirical Economics, 2023, with R. Lucchetti Code

   

• Testing for state dependence in the fixed-effects ordered logit model

  Economics Letters, 2022, with F. Bartolucci and C. Pigini

   

• Conditional inference and bias reduction for partial effects estimation of fixed-effects logit models

  Empirical Economics, 2022, with F. Bartolucci and C. Pigini Code

   

• Recursive computation of the conditional probability function of the quadratic exponential model for binary panel data

  Computational Economics, 2021, with F. Bartolucci and C. Pigini
  

   

• Do Covid-19 mobility restrictions affect economic uncertainty in Italy? Evidence from a SVAR approach

  Economics Bulletin, 2021, with C. Casoli and L. Pedini Download

 

- Books

• Advances in maximum likelihood estimation of fixed-effects binary panel data models

  in Trends and Challenges in Categorical Data Analysis, Springer, 2023, with F. Bartolucci and C. Pigini Code

 

 

Software

• cquad: Conditional Maximum Likelihood for Quadratic Exponential Models for Binary Panel Data. R package.

• cquadr: Stata module to estimate Quadratic Exponential models running the cquad R package. Stata module. User’s Guide and code are also available in my GitHub repository.

• FLS: Flexible Least Squares. gretl function package. Documentation is available.

• ketvals: Kernel-based Time-Varying Least Squares. gretl function package. Documentation is available.

• spm: Spatial Regression Models. gretl function package. A related article and documentation are available.

 

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2020-2023 Francesco Valentini