Alessio Moneta

Alessio Moneta
Scuola Superiore Sant'Anna | SSSUP · Institute of Economics

PhD

About

52
Publications
11,193
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1,771
Citations
Citations since 2017
17 Research Items
1046 Citations
2017201820192020202120222023050100150200
2017201820192020202120222023050100150200
2017201820192020202120222023050100150200
2017201820192020202120222023050100150200

Publications

Publications (52)
Article
Independent Component Analysis (ICA) is a statistical method that linearly transforms a random vector. Under the assumption that the observed data are mixtures of non-Gaussian and independent processes, ICA is able to recover the underlying components, but at scale and order indeterminacy. Its application to structural vector autoregressive (SVAR)...
Article
Increasing energy efficiency is often considered to be one of the main ways of reducing greenhouse gas emissions. However, efficiency gains that reduce the cost of energy services result in energy use rebounding and potential energy use savings being eaten up. Empirical research that quantifies the economy-wide rebound effect while taking the dynam...
Article
The size of the economy-wide rebound effect is crucial for estimating the contribution that energy efficiency improvements can make to reducing greenhouse gas emissions and for understanding the drivers of energy use. Existing estimates, which vary widely, are based on computable general equilibrium models or partial equilibrium econometric estimat...
Article
Full-text available
In the causal modelling literature, it is well known that "ill-defined" variables may give rise to "ambiguous manipulations" (Spirtes and Scheines, 2004). Here, we illustrate how ill-defined variables may also induce mistakes in causal inference when standard causal search methods are applied (Spirtes et al., 2000; Pearl, 2009). To address the prob...
Article
We assess to what extent decisions taken by the Federal Reserve in setting interest rates can be interpreted in the light of monetary policy rules that are either built on standard objectives of output and price stabilization or based on alternative objectives of financial stability and regulation of the solvency conditions in the economic system....
Preprint
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This paper introduces a little known category of estimators-Linear Non-Gaussian vector autoregression models that are acyclic or cyclic-imported from the machine learning literature, to revisit a well-known debate. Does exporting increase firm productivity? Or is it only more productive firms that remain in the export market? We focus on a relative...
Chapter
This chapter addresses the problem of identifying the causal structure between two time-series processes. We focus on the setting typically encountered in econometrics, namely stationary or difference-stationary multiple autoregressive processes with additive white noise terms. We review different methods and algorithms, distinguishing between meth...
Chapter
Since the survey by Windrum et al. (Journal of Artificial Societies and Social Simulation 10:8, 2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical...
Article
In this paper, we investigate the causal effects of public and private debts on US output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results...
Article
Full-text available
The patterns of innovation diffusion are well approximated by the logistic curves. This is the robust empirical fact confirmed by many studies in innovations dynamics. Here, we show that the logistic pattern of innovation diffusion can be replicated by the time-dependent stochastic process with positive feedbacks along the diffusion trajectory. The...
Article
This paper proposes a new method to empirically validate simulation models that generate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by means of causal search algorithms. This relatively simple...
Article
Full-text available
Cross-sectionally estimated Engel curves tend to exhibit shapes that imply ultimately decreasing marginal propensities to consume as income rises. This suggests at first sight a tendency to slow down in private consumption. This tendency has to be reconsidered taking into account the fact that Engel curves usually shift significantly over time. We...
Article
In this paper, we investigate the causal effects of public and private debts on U.S. output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric result...
Article
Full-text available
The tendency of sectoral demand to satiate has long been argued to be a key driver of the structural change in an economy (Pasinetti 1981; Saviotti 2001). This literature raises the question as to what extent cross-sectional patterns of household expenditure can be used to make inferences about how the demand for goods and services will grow over t...
Article
Full-text available
Social research, from economics to demography and epidemiology, makes extensive use of statistical models in order to establish causal relations. The question arises as to what guarantees the causal interpretation of such models. In this paper we focus on econometrics and advance the view that causal models are ‘augmented’ statistical models that i...
Article
Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this study, we present a recently developed method for estimating such models, which uses non-normality to recover the causal structure underlying the observations. We show how the method can be applied to both microeconomi...
Article
Full-text available
The tendency for expenditure Engel curves to flatten out at high income levels is frequently cited as evidence that major shifts in household spending patterns take place as households become more affluent. Empirically, little has been done to examine (i) how pervasive this tendency is across the Engel curves of different goods and services, (ii) w...
Chapter
Using UK household expenditure data spanning over four decades (1960-2000), this paper employs Engel’s needs-based approach to analyzing household expenditure patterns and finds evidence for the existence of a stable hierarchy of expenditure patterns at low levels of household income. Second, we investigate how rising household income influences th...
Article
By representing a system of budget shares as an approximate factor model we determine its rank, i.e. the number of common functional forms, or factors and we estimate a base of the factor space by means of approximate principal components. We assume that the extracted factors span the same space of basic Engel curves representing the fundamental fo...
Article
Full-text available
This paper reviews a class of methods to perform causal inference in the framework of a structural vector autoregressive model. We consider three different settings. In the first setting the underlying system is linear with normal disturbances and the structural model is identified by exploiting the information incorporated in the partial correlati...
Article
Full-text available
By representing a system of budget shares as an approximate factor model we determine its rank, i.e. the number of common functional forms, or factors, spanning the space of Engel curves. Once the common factors are estimated via approximate principal components, we identify them by imposing statistical independence. Finally, by means of parametric...
Article
Full-text available
Using data spanning over four decades (1960-2000), this paper employs Engel's needsbased approach to analyzing household expenditure patterns to find evidence for the existence of a stable hierarchy of expenditure patterns at low levels of household income. Second, we investigate how rising household income influences the manner in which total expe...
Article
Full-text available
Engel curves describe how household expenditure on particular goods or services depends on household income. German statistician Ernst Engel (1821-1896) was the first to investigate this relationship systematically in an article published about 150 years ago. The best-known single result from the article is "Engel's law," which states that the poor...
Chapter
Full-text available
This paper assesses an extension of the method for graphical causal inference proposed by Spirtes et al. and Pearl to nonlinear settings. We propose nonparametric tests for conditional independence based on kernel density estimation and study their relative performance in a Monte Carlo study. Our method outperforms Fischer’s z test for nonlinear se...
Article
Full-text available
Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure underlying the data, and show how the method can be ap...
Article
Full-text available
Certain properties of Engel curves have been linked to the occurrence of structural change in the economy (Pasinetti 1981, Metcalfe et al. 2006, Saviotti 2001). From an empirical perspective, however, very little has been done to examine (i) whether indeed satiation is a general property of Engel curves; (ii) whether the rate at which Engel curves...
Article
Full-text available
Certain properties of Engel curves have been linked to the occurrence of structural change in the economy (Pasinetti 1981, Metcalfe et al. 2006, Saviotti 2001). From an empirical perspective, however, very little has been done to examine (i) whether indeed satiation is a general property of Engel curves; (ii) whether the rate at which Engel curves...
Article
Full-text available
We measure how different the shapes of Engel curves are across 59 commodity groups. The same analysis is carried out for their derivatives and variances. While Engel curves possess a relatively homogeneous shape, significantly more heterogeneity is present in derivatives and when particular sub-classes of income are considered.
Article
SnowdonBrian and VaneHoward R., Modern Macroeconomics: Its Origins, Development and Current State (Cheltenham, UK and Northampton, MA, USA: Edward Elgar, 2005) pp. xviii, 807, $225. ISBN 1 84376 394 X - Volume 30 Issue 2 - Alessio Moneta
Article
Full-text available
This paper assesses the empirical plausibility of the real business cycle view that shocks to real variables are the dominant sources of economic fluctuations and that monetary policy shocks play an insignificant role in determining the behavior of real variables. I reconsider the vector autoregressive model of King et al. (Am Econ Rev 81:819–840,...
Article
Full-text available
Certain properties of Engel curves have been linked to the occurrence of structural change in the economy (Pasinetti 1981, Metcalfe et al. 2006, Saviotti 2001). From an empirical perspective, however, very little has been done to examine (i) whether indeed satiation is a general property of Engel curves; (ii) whether the rate at which Engel curves...
Article
Full-text available
This paper provides a survey on studies that analyze the macroeconomic effects of intellectual property rights (IPR). The first part of this paper introduces different patent policy instruments and reviews their effects on R&D and economic growth. This part also discusses the distortionary effects and distributional consequences of IPR protection a...
Article
Full-text available
This paper addresses a set of methodological problems arising in the empirical validation of agent-based (AB) economics models and discusses how these are currently being tackled. These problems are generic for all those engaged in AB modelling, not just economists. The discussion is therefore of direct relevance to JASSS readers. The paper has two...
Article
Full-text available
This paper provides a survey on studies that analyze the macroeconomic effects of intellectual property rights (IPR). The first part of this paper introduces different patent policy instruments and reviews their effects on R&D and economic growth. This part also discusses the distortionary effects and distributional consequences of IPR protection a...
Article
This paper addresses the problem of finding the appropriate method for conducting empirical validation in AB models. We identify a first set of issues that are common to both AB and neoclassical modellers and a second set of issues which are specific to AB modellers. Then, we critically appraise the extent to which alternative approaches deal with...
Article
This paper investigates the varieties of reductionism and realism about causal relations in macroeconometrics. There are two issues, which are kept distinct in the analysis but which are interrelated in the development of econometrics. The first one is the question of the reducibility of causal relations to regularities, measured in statistics by c...
Article
Full-text available
Vector Autoregressions (VARs) are a class of time series models commonly used in econometrics to study the dynamic effect of exogenous shocks to the economy. While the estimation of a VAR is straightforward, there is a problem of finding the transformation of the estimated model consistent with the causal relations among the contemporaneous variabl...
Article
Full-text available
This paper develops a structural VAR methodology based on graphical models to identify the monetary policy shocks and to measure their macroeconomic effects. The advantage of this procedure is to work with testable overidentifying models, whose restrictions are derived by the partial correlations among residuals plus some institutional knowledge. T...
Article
Full-text available
In this paper a method to identify the causal structure associated with a VAR model is proposed. The structure is described by means of a graph, which provides a rigorous language to analyze the statistical and logical properties of causal relations. Under some general assumptions, causal relations are associated with a set of vanishing partial cor...
Article
CAUSALITY Causality issues are crucial in economics since economics was born. Indeed, Adam Smith titled his work, published in 1776, An Enquiry into the Nature and Causes of the Wealth of Nations. Even before Smith, David Hume (1752) writes about the causal problem of the relationship between money and prices (predating the quantitative theory of m...
Article
Full-text available
The development of macro-econometrics has been per- sistently fraught with a tension between \deductivist" and \induc- tivist" approaches to causal inference. The former conceives causes as something that economic theory must provide and that statistical methods must measure. The latter opens the possibility of inferring causes from statistical pro...

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Projects

Projects (3)
Project
This project aims to (1) provide an analysis of the concept of mechanistic constitution; (2) test the proposed analysis of constitution against classical cases of mechanistic explanation (e.g. action potential, spatial memory), and use it to assess whether other cases of explanation (in network theory and non-classical macroeconomics) count as mechanistic; (3) operationalize the proposed analysis into observational and experimental protocols for constitutional discovery.
Project
This interdisciplinary project links insights from philosophy of science and econometrics in order to build a more solid framework to understand the meaning that causal notions have in economic contexts. The research provides a more integrated approach which encompasses the diverse meanings that causality takes in economic contexts, clarifying how they relate to each other. In addition to this conceptual clarification, the specific objectives of the project aim to improve the reliability and possibility of causal inference in three particular “non-standard” data settings, namely (1) the nonparametric, (2) the linear but nonnormal, and (3) the setting with aggregative structures. Extending the possibility of causal inference to these settings, which are likely to be encountered in macroeconomic empirical investigations, allows the researcher to take into better account the complexity of economic systems.