Alessandro Casini

Associate Professor at University of Rome Tor Vergata (@DEF_TorVergata). Econ PhD from Boston University. Specialized in Econometrics.

[Jon Hartley @Jon_Hartley_]

1/Chris Sims is easily one of the most influential macroeconomists (& perhaps most influential empirical macroeconomist) of the last 50 years; he fundamentally changed thinking about monetary policy, metrics,& causality (VARs, time series models). Thread on his greatest hits🧵👇

[DEF Tor Vergata @DEF_TorVergata]

Join us for the "Rome Workshop on Econometrics: Frontiers in Causal Inference" organized by @EIEF_Rome @Harvard @SapienzaRoma and @unitorvergata.
Don’t miss out on this high-level scientific event! #Econometrics #RomeWorkshop

@AlessCasini

🔗https://t.co/9anfY6FZaP

[Alessandro Casini @AlessCasini]

@ProfPHansen Thank you, I did not know about it. I will cite it accordingly in the future. 🙂

[Alessandro Casini @AlessCasini]

@ProfPHansen Overall, very cool stuff! History of econometrics!😀

[Alessandro Casini @AlessCasini]

@ProfPHansen As far as I know, White did it before but did not have PSD. It seems this is why NW emphasized the importance of PSD in the title and paper.

[Alessandro Casini @AlessCasini]

@ProfPHansen Very interesting! I do not have access to Gallant's. Did he also have a proof for positive semi-definiteness? Or did he show/mention this property? Newey-West has a proof which is different from the usual argument based on rewriting the LRV estimator in terms of the periodogram.

[Alessandro Casini @AlessCasini]

@ProfPHansen Yet, it is true that the Newey-West estimator was already considered in early work in stats. It is just that the theoretical result in Newey-West is more general.

[Alessandro Casini @AlessCasini]

@ProfPHansen Given that covariance-stationarity never holds in practice (e.g., breaks) and OLS does not require covariance-stationarity to be valid, the applicability of Newey-West's result is much broader than that of previous results in stats.

[Alessandro Casini @AlessCasini]

@ProfPHansen Only White (1984) did it before Newey-West (1987) but he did not have positive semidefiniteness.

[Alessandro Casini @AlessCasini]

@LorenzoTrapani1 Thank you🙏🙏🙏

[Alessandro Casini @AlessCasini]

Honored to receive the Carlo Giannini prize at #ICEEE2023. I have seen several great papers presented by other junior people who deserve the prize as much as me. So ultimately receiving it means a lot to me. @LorenzoTrapani1 @lucafanelli5 @CavaliereGiu @SIdE_IEA

[Lorenzo Trapani 🇪🇺 @LorenzoTrapani1]

As is traditional, at #ICEEE2023 we awarded the Carlo Giannini prize. I was privileged to be chairing the awarding committee, and may I offer my congratulations to the winner, the great @AlessCasini - well done you wonderboy!!!

[Alessandro Casini @AlessCasini]

@J_ArellanoBover @Yale @YaleSOM @YaleEconomics @BarbaraBiasi Congrats Jaime! You are a very kind guy and very professional. There should be more people like in the profession. Great to had you as a colleague. I wish you guys all the best for the next step!

[Alessandro Casini @AlessCasini]

@CavaliereGiu @jimstockmetrics @Harvard @Princeton It looks strange that they did not cite PCB Phillips.

[Tilburg Econometrics & OR @TilburgEOR]

Causality in Econometrics: Choice vs Chance

Guido Imbens' @NobelPrize Lecture on causal inference, with an overview of much of the history of econometrics. @guido_imbens

https://t.co/kiVHlVqPP6

[Alessandro Casini @AlessCasini]

@CavaliereGiu @lucafanelli5 @DSE_Unibo @Unibo @SIdE_IEA I voted for him!!😀

[Alessandro Casini @AlessCasini]

@lucafanelli5 (and from Arezzo)

[Alessandro Casini @AlessCasini]

@silviavannutell @gualtierieurope Maybe it's just inflation😆

[Alessandro Casini @AlessCasini]

@lucafanelli5 @CavaliereGiu @SIdE_IEA Looks like econometrics is doing better than other fields?