Research Department
Sveriges Riksbank
SE-103 37 Stockholm, Sweden
Department of Statistics
Stockholm University
SE-106 91 Stockholm, Sweden
Phone: + 46 8 787 08 21 (Sveriges Riksbank)
Fax: + 46 8 21 05 31 (Sveriges Riksbank)
E-post:
Fields
Bayesian analysis, Econometrics, Forecasting.
Education
Ph.D., Statistics, Stockholm University, 2000.
M.Sc., Statistics, Stockholm University, 1996.
My private web page (with downloads):
http://villani.wordpress.com
Recent Working Papers and Manuscripts
"Efficient Bayesian Inference in Second Price Common Values Auctions" (with Bertil Wegmann) [pdf]
Journal publications
"Flexible Modeling of Conditional Distributions using Smooth Mixtures of Asymmetric Student T Densities", Journal of Statistical Planning and Inference, forthcoming (with Feng Li and Robert Kohn)
"Forecasting Macroeconomic Time Series with Locally Adaptive Signal Extraction", International Journal of Forecasting, forthcoming (with Paolo Giordani)
"Regression Density Estimation using Smooth Adaptive Gaussian Mixtures", Journal of Econometrics, forthcoming (with Robert Kohn and Paolo Giordani). [pdf - revised May2009] [working paper version]
"Steady State Priors for Vector Autoregressions", Journal of Applied Econometrics, forthcoming. [pdf - revised Apr2007]
"Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks", International Journal of Central Banking, forthcoming (with Malin Adolfson, Michael K. Andersson, Jesper Lindé, and Anders Vredin). [pdf - revised Sept2007]
"Evaluating an Estimated New Keynesian Small Open Economy Model", Journal of Economic Dynamics and Control, forthcoming (with Malin Adolfson, Stefan Laseen and Jesper Lindé). [pdf - revised Feb2007]
"Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through", Journal of International Economics, 72, 481-511 (with Malin Adolfson, Stefan Laseen and Jesper Lindé). [pdf - revised Jan2007] [appendix]
"Forecasting Performance of an Open Economy DSGE Model", Econometric Reviews, 26, 289-328, 2007 (with Malin Adolfson and Jesper Lindé). [pdf - revised May2006]
"Bayesian Inference in DSGE Models - Some Comments", Econometric Reviews, 26, 173-185, 2007 (with Malin Adolfson and Jesper Lindé). [pdf]
"Empirical Properties of Closed and Open Economy DSGE Models of the Euro Area", Macroeconomic Dynamics, forthcoming (with Malin Adolfson, Stefan Laseen and Jesper Lindé). [pdf - revised May2006]
"The multivariate split normal distribution and asymmetric principal components analysis" (with Rolf Larsson), Communications in Statistics - Theory and Methods, 35, 1123-1140, 2006. [pdf - revised Aug2005]
"A Bayesian approach to modelling graphical vector autoregressions", Journal of Time Series Analysis, 27, 141-156, 2006. [pdf - revised Apr2005]
"Bayesian point estimation of the cointegration space", Journal of Econometrics, 134, 645-664, 2006. [pdf - revised Oct2004]
"Are Constant Interest Rate Forecasts Modest Policy Interventions? Evidence from a Dynamic Open Economy Model", International Finance, 8, 509-544, 2005. (with Malin Adolfson, Stefan Laséen, and Jesper Lindé). [pdf - revised Oct2005]
"Bayesian reference analysis of cointegration", Econometric Theory, 21, 326-357, 2005. [pdf - revised Nov2004]
"The role of sticky prices in an open economy DSGE model: a Bayesian investigation", Journal of the European Economic Association Papers and Proceedings, 3, 444-457, 2005 (with Malin Adolfson, Stefan Laséen and Jesper Lindé).
"Bayesian assessment of dimensionality in reduced rank regression", Statistica Neerlandica, 58, 255-270, 2004 (with Jukka Corander). [journal pdf] [working paper pdf]
"Fractional Bayesian lag length inference in multivariate autoregressive processes", Journal of Time Series Analysis 22, 67-86, 2001. [journal pdf]
"Bayesian prediction with cointegrated vector autoregressions", International Journal of Forecasting 17, 585-605, 2001. [journal pdf]
"A distance measure between cointegration spaces" (with Rolf Larsson), Economics Letters 70, 2001, 21-27, 2001. [journal pdf]
Book Chapters
“Bayesian Approaches to Cointegration”, Palgrave Handbook of Econometrics: Volume 1, Econometric Theory (with Gary Koop, Rodney Strachan and Herman van Dijk). [pdf]
Other Publications
"The Riksbank’s communication of macroeconomic uncertainty", Sveriges Riksbank Economic Review, 2010:1 (with David Kjellberg)
"RAMSES - a new general equilibrium model for monetary policy analysis" (with Malin Adolfson, Stefan Laséen, and Jesper Lindé), Sveriges Riksbank Economic Review, 2007:2. [pdf]
"Aspects of Bayesian Cointegration", PhD thesis, Department of Statistics, Stockholm University.
Older Working Papers and Manuscripts
"Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs" (with Anders Warne), ECB Working Paper No. 296, December 2003. [pdf]
"Bayesian inference of general linear restrictions on the cointegration space" [pdf - revised Aug2005]
Teaching
Programming in R. Study group, graduate level, Stockholm University, fall 2008.
Bayesian Inference in Theory and Practice, advanced undergraduate/graduate level, Stockholm University, spring 2005 and 2007. In English. [course webpage].
Bayesian Inference, seminar series at Sveriges Riksbank Dec 2003, Norges Bank Jan 2004 and Stockholm University Nov 2004.
Decision Theory, basic undergraduate level, Stockholm University, 2002
Statistical Inference, advanced undergraduate level, Stockholm University, 2001
Decision Theory, advanced undergraduate/graduate level, Stockholm University, 2001
Bayesian Methods, graduate level, Stockholm University, 2000
Students
Feng Li - PhD expected in Fall 2012.
Bertil Wegmann - Fil.Lic. in Statistics, Stockholm University, 2008. Thesis:
Second Price Common Value Auctions and Bayesian Inference in EBay Auctions. Ph.D. expected in Fall 2009.
Christian Tallberg - Ph.D. in Statistics, Stockholm University, 2003. Thesis: Bayesian and Other Approaches for Analyzing Network Block-Structures (joint with Ove Frank).