Essays in Macroecometrics: methodological aspects and empirical applications

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of individuals of the panel is small relatively to the number of time series observations. I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries. In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time. I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets. The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Response times in computerized adaptive testing: a method for cheating detection

In the field of educational and psychological measurement, the shift from paper-based to computerized tests has become a prominent trend in recent years. Computerized tests allow for more complex and personalized test administration procedures, like Computerized Adaptive Testing (CAT). CAT, following the Item Response Theory (IRT) models, dynamically generates tests based on test-taker responses, driven by complex statistical algorithms. Even if CAT structures are complex, they are flexible and convenient, but concerns about test security should be addressed. Frequent item administration can lead to item exposure and cheating, necessitating preventive and diagnostic measures. In this thesis a method called "CHeater identification using Interim Person fit Statistic" (CHIPS) is developed, designed to identify and limit cheaters in real-time during test administration. CHIPS utilizes response times (RTs) to calculate an Interim Person fit Statistic (IPS), allowing for on-the-fly intervention using a more secret item bank. Also, a slight modification is proposed to overcome situations with constant speed, called Modified-CHIPS (M-CHIPS). A simulation study assesses CHIPS, highlighting its effectiveness in identifying and controlling cheaters. However, it reveals limitations when cheaters possess all correct answers. The M-CHIPS overcame this limitation. Furthermore, the method has shown not to be influenced by the cheaters’ ability distribution or the level of correlation between ability and speed of test-takers. Finally, the method has demonstrated flexibility for the choice of significance level and the transition from fixed-length tests to variable-length ones. The thesis discusses potential applications, including the suitability of the method for multiple-choice tests, assumptions about RT distribution and level of item pre-knowledge. Also limitations are discussed to explore future developments such as different RT distributions, unusual honest respondent behaviors, and field testing in real-world scenarios. In summary, CHIPS and M-CHIPS offer real-time cheating detection in CAT, enhancing test security and ability estimation while not penalizing test respondents.

Geomorphological and statistical analysis on Ravenna dune fields changes, based on Terrestrial Laser Technology

Coastal sand dunes represent a richness first of all in terms of defense from the sea storms waves and the saltwater ingression; moreover these morphological elements constitute an unique ecosystem of transition between the sea and the land environment. The research about dune system is a strong part of the coastal sciences, since the last century. Nowadays this branch have assumed even more importance for two reasons: on one side the born of brand new technologies, especially related to the Remote Sensing, have increased the researcher possibilities; on the other side the intense urbanization of these days have strongly limited the dune possibilities of development and fragmented what was remaining from the last century. This is particularly true in the Ravenna area, where the industrialization united to the touristic economy and an intense subsidence, have left only few dune ridges residual still active. In this work three different foredune ridges, along the Ravenna coast, have been studied with Laser Scanner technology. This research didn’t limit to analyze volume or spatial difference, but try also to find new ways and new features to monitor this environment. Moreover the author planned a series of test to validate data from Terrestrial Laser Scanner (TLS), with the additional aim of finalize a methodology to test 3D survey accuracy. Data acquired by TLS were then applied on one hand to test some brand new applications, such as Digital Shore Line Analysis System (DSAS) and Computational Fluid Dynamics (CFD), to prove their efficacy in this field; on the other hand the author used TLS data to find any correlation with meteorological indexes (Forcing Factors), linked to sea and wind (Fryberger's method) applying statistical tools, such as the Principal Component Analysis (PCA).