Mauro Costantini
Senior Lecturer
Economics and Finance
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Biography
Qualifications
- PhD Mathematics, Statistics, Economics (Rome)
- Degree Economics (Rome)
Personal Biography
I complete my PhD program in 2003 in the Department of Quantitative Methods at the University of Rome “La “Sapienza”. In 2005 I started working with ISAE (Institute for Studies and Economic Analyses, a public research institute based in Rome). In 2008 I was appointed Assistant Professor at University of Vienna, Austria. I moved to Brunel in July 2011. Recently I obtained a promotion as Senior Lecturer.Research
Research Overview
My main current research projects involve different aspects of the non stationary properties of the macroeconomic variables in time series and panel data, the issue of cross-sectional correlation in panel data and the performance of different methods for combining forecasts.
Current Projects
Bank of Austria
Forecasting and returns in the foreign exchange markets
Euro 20,000
2012 -
Mauro Costantini (PI)
PhD Supervision
Ingo Wolfgang Jungwirth (University of Vienna): Contagion in Financial Markets; 2010 - 2012
Habiba Al (Brunel University): The Effect of Global Financial Crisis On GCC Stock Market Performance: Lessons For Future; 2012 - 2015
Administration
- Master’s Convener
Publications
Publications
Journal Papers
(2013) Costantini, M., Demetriades, PO., James, GA. and Lee, KC., Financial Restraints and Private Investment: Evidence from a Nonstationary Panel, Economic Inquiry 51 (1) : 248- 259
(2013) Costantini, M. and Lupi, C., A Simple Panel-CADF Test for Unit Roots, Oxford Bulletin of Economics and Statistics 75 (2) : 276- 296
(2012) Costantini, M. and Sen, A., On the Asymptotic Distribution of a Simple Test for Trending and Breaking Series, Journal of Statistical Planning and Inference 142 (7) : 1690- 1697
(2012) Costantini, M. and Guttierrez, L., Bootstrap innovational outlier unit root tests in dependent panels, Economics Letters 117 (3) : 817- 819
(2011) Cerqueti, R. and Costantini, M., Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels, Journal of Banking and Finance 35 (10) : 2598- 2605
(2011) Costantini, M. and Kunst, RM., Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System, JOURNAL OF FORECASTING 30 (6) : 579- 596
(2011) Costantini, M. and Popp, S., A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break, STATISTICAL PAPERS 52 (3) : 677- 682
(2010) Cerqueti, R. and Costantini, M., Some Nonparametric Asymptotic Results for a Class of Stochastic Processes, COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 39 (14) : 2552- 2560
(2010) Auteri, M. and Costantini, M., A panel cointegration approach to estimating substitution elasticities in consumption, ECONOMIC MODELLING 27 (3) : 782- 787
(2010) Costantini, M. and Pappalardo, C., A hierarchical procedure for the combination of forecasts, INTERNATIONAL JOURNAL OF FORECASTING 26 (4) : 725- 743
(2009) Costantini, M. and Westerlund, J., Panel cointegration and the neutrality of money, Empirical Economics 36 (1) : 1- 26
(2009) Costantini, M. and Destefanis, S., Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions, ECONOMIC MODELLING 26 (2) : 320- 327
(2008) Cerqueti, R. and Costantini, M., On the asymptotic behaviour of random matrices in a multivariate statistical model, STATISTICS & PROBABILITY LETTERS 78 (14) : 2039- 2045
(2007) Costantini, M. and Gutierrez, L., Simple Panel Unit Root tests to detect changes in persistence, Economics Letters 96 (3)
(2007) Costantini, M., An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks, Economics Letters 95 (3)
(2006) Costantini, M. and Arbia, G., Testing the stochastic convergence of Italian regions using panel data, Applied Economics Letters 13 (12) : 775- 783
(2006) Costantini, M. and Lupi, C., Divergence and long-run equilibria in Italian regional unemployment, Applied Economics Letters 13 899- 904
(2006) Costantini, M. and D'Ecclesia, R., Co-movements and Correlations in International Stock Market, The European Journal of Finance 12 567- 582
(2004) Auteri, M. and Costantini, M., Is social protection a necessity or a luxury good? New multivariate cointegration panel data results, Applied Economics 36 1887- 1898
(Accepted) Costantini, M., Piga, G. and Coppier, R., The role of monitoring of corruption in a simple endogenous growth model, Economic Inquiry forthcoming
