Massimiliano Marcellino

Brief Biographical Sketch

Prof. Marcellino joined the Institute in September 2008, on leave from Bocconi University where he is professor of econometrics. He has also been visiting fellow at Harvard and UCSD.

He is a member of the CEPR and the coordinator of the European Forecasting Network. He has been a consultant for the European Commission, Eurostat, the European Central Bank and the Bundesbank.

Prof. Marcellino is an editor of the Journal of Forecasting and has published in the Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, and European Economic Review, among others. 

Current research interests and activity focus on econometric methods for large datasets, forecasting, aggregation issues, time series models for mixed frequency data, and instrumental variable estimation. He is currently Head of the Economics Department. 

Research Interests

• Econometrics
• Statistics
• Forecasting

Languages

• English
• Italian

Selected Publications

• Encompassing, with David Hendry and Grayham Mizon (eds.), Oxford Bulletin of Economics and Statistics, 2008: 70.
• Advances in Business Cycle Analysis and Forecasting, with Gian Luigi Mazzi (eds.), Journal of Forecasting, 2010, forthcoming.
• “Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models”, with Andrea Carriero and George Kapetanios, Journal of Applied Econometrics, 2010a, forthcoming.
• “MIDAS vs Mixed-Frequency VAR for Nowcasting GDP in the Euro Area”, with Vladimir Kuzin and Christian Schumaker, International Journal of Forecasting, 2010b, forthcoming.
• “Survey Data as Coincident or Leading Indicators”, with Cecilia Frale, Gianluigi Mazzi and Tommaso Proietti, Journal of Forecasting, 2010c, forthcoming.
• “Path Forecast Evaluation”, with Oscar Jorda, Journal of Applied Econometrics, 2010d, forthcoming.
• “Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP”, with Christian Schumacher, Oxford Bulletin of Economics and Statistics, 2010e, forthcoming.
• “Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments”, with George Kapetanios, Economic Letters, 2010f, forthcoming.
• “Factor-GMM Estimation with Large Sets of Possibly Weak Instruments”, with George Kapetanios, Computational Statistics and Data Analysis, 2010g, forthcoming.
• “Regional inflation dynamics within and across euro area countries and a comparison with the US”, with Guenter Beck and Kirstin Hubrich, Economic Policy, 2009a: 24, 141-184.
• “Forecasting Exchange Rates with a Large Bayesian VAR”, with Andrea Carriero and George Kapetanios, International Journal of Forecasting, 2009b: 25, 400-417.
• “A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions”, with G. Kapetanios, Journal of Time Series Analysis, 2009c: 30, 208-238.
• “A benchmark for models of growth and inflation”, Journal of Forecasting, 2008a: 27, 305-340.
• “Factor analysis in a new-Keynesian model”, with Andreas Beyer, Roger Famer and Jerome Henry, Econometrics Journal, 2008b: 11, 271-286.
• “Model selection for nested and overlapping nonlinear dynamic and possibly misspecified models”, with Barbara Rossi, Oxford Bulletin of Economics and Statistics, 2008c 70, 869-893.
• “Forecasting Euro-Area Variables with German Pre-EMU Data”, with Ralf Bruggemann and Helmut Lutkepohl, Journal of Forecasting, 2008d: 27, 465-481.
• “Pooling based data interpolation and backdating”, Journal of Time Series Analysis, 2007a: 28, 53-71.
• “The Transmission Mechanism in a Changing World”, with Michael Artis and Ana Galvao, Journal of Applied Econometrics, 2007b: 22, 39-61.
• “A macroeconometric model for the Euro economy”, with Christian Dreger, Journal of Policy Modeling, 2007c: 29, 1-13.
• “A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK”, with Andrea Carriero, International Journal of Forecasting, 2007d: 23, 219-236.
• The European Enlargement: Prospects and Challenges, with Michael Artis and Anindya Banerjee (eds.), 2006a, Cambridge: Cambridge University Press.
• Introduzione all’Econometria Applicata, 2006b,Milano: EGEA.
• “A Comparison of Direct and Iterated AR Methods for Forecasting Macroeconomic Series h-Steps Ahead”, with Jim Stock and Mark Watson, Journal of Econometrics, 2006a: 135, 499-526.
• “Interpolation with a large information set”, with Elena Angelini and Jerome Henry, Journal of Economic Dynamics and Control, 2006b: 30, 2693-2724.
• “Are there any reliable leading indicators for the US inflation and GDP growth?”, with Anindya Banerjee, International Journal of Forecasting, 2006c:22, 137-151.
• “Some stylized facts on fiscal policy in the Euro area”, Journal of Macroeconomics, 2006d: 28, 461-479.
• “Factor based index tracking”, with Francesco Corielli, Journal of Banking and Finance, 2006e: 30, 2215-2233.
• “Leading indicators”, in Elliott, G., Granger, C.W.J. and Timmermann, A.  eds), Handbook of Economic Forecasts, 2006f: Amsterdam: Elsevier.
• “Modelling and Forecasting Fiscal Variables for the euro Area”, with Carlo Favero, Oxford Bulletin of Economics and Statistics, 2005a: 67, 755-783.
• “Characterizing business cycles for accession countries”, with Mike Artis and Tommaso Proietti, Journal of Business Cycle Measurement and Analysis, 2005b: 2, 7-41.
• “Testing for PPP: Should We Use Panel Methods?”, with Anindya Banerjee and Chiara Osbat, Empirical Economics, 2005c: 30, 77-91.
• “Leading indicators for Euro area inflation and GDP growth”, with Anindya Banerjee and Igor Masten, Oxford Bulletin of Economics and Statistics, 2005d: 67, 785-813.
• “Principal components at work: the empirical analysis of monetary policy with large datasets”, with Carlo Favero and Francesca Neglia, Journal of Applied Econometrics, 2005e: 20, 603-620.
• “Factor forecasts for the UK”, with Mike Artis and Anindya Banerjee, Journal of Forecasting, 2005f: 24, 279-298.