Forecasting
(2010d) “Path Forecast Evaluation”, with Oscar Jorda, Journal of Applied Econometrics, forthcoming.
(2010b) “MIDAS vs Mixed-Frequency VAR for Nowcasting GDP in the Euro Area”, with Vladimir Kuzin and Christian Schumaker, International Journal of Forecasting, forthcoming.
(2010) “Forecasting Government Bond Yields”, with Andrea Carriero and George Kapetanios, EUI ECO WP 17.
(2010) "Advances in Business Cycle Analysis and Forecasting", with Gian Luigi Mazzi (eds.), Journal of Forecasting, forthcoming.
(2010) "Forecasting Large Datasets with Reduced Rank Multivariate Models", with Andrea Carriero and George Kapetanios, Journal of Applied Econometrics.
(2010) “Empirical Simultaneous Confidence Regions for Path-Forecasts”, with Oscar Jorda and Malte Knuppel.
(2010) “Path forecasting”, with Oscar Jorda, Journal of Applied Econometrics.
(2009) “Pooling versus model selection for nowcasting with many predictors: An application to German GDP”, with Vladimir Kuzin and Christian Schumaker, CEPR WP.
(2008)
"A
Benchmark for Models of Growth and Inflation", Journal
of
Forecasting, forthcoming.
(2008) "Factor-MIDAS
for Now- and Forecasting with Ragged-Edge Data: A
Model
Comparison for German GDP", with Christian Schumacher, CEPR
WP
6708.
(2008) "Forecasting
Macroeconomic Variables Using Diffusion Indexes in
Short Samples
with Structural Change", with Anindya Banerjee and
Igor
Masten, CEPR WP 6706.
(2008) "Forecasting
Euro-Area Variables with German Pre-EMU Data",
with Ralf
Bruggemann and Helmut Lutkepohl, Journal of
Forecasting,
forthcoming.
(2007) "Pooling
Based Data Interpolation and Backdating", Journal of
Time
Series Analysis, 28, 53-71.
(2006) "A
Comparison of Direct and Iterated AR Methods for
Forecasting
Macroeconomic Series h-Steps Ahead", with Jim
Stock and Mark Watson,
Journal of Econometrics, 135, 499-526.
(2006) "Are
There any Reliable Leading Indicators for the US Inflation
and
GDP Growth?", with Anindya Banerjee, International
Journal of Forecasting,
22, 137-151.
(2006) "Forecasting
Macroeconomic Variables for the Accession Countries",
with
Anindya Banerjee and Igor Masten, in Artis, M., Banerjee, A.
and
Marcellino, M. (eds.), The European Enlargement: Prospects
and Challenges,
Cambridge: Cambridge University Press.
(2005) "Modelling
and Forecasting Fiscal Variables for the Euro Area",
with
Carlo Favero, Oxford Bulletin of Economics and Statistics,
67, 755-783.
(2005) "Leading
Indicators for Euro-Area Inflation and GDP Growth",
with
Anindya Banerjee and Igor Masten, Oxford Bulletin of
Economics and
Statistics, 67, 785-813.
(2005) "Factor
Forecasts for the UK", with Mike Artis and Anindya
Banerjee, Journal of Forecasting, 24, 279-298.
(2005) "Instability
and Non-Linearity in the EMU", in Costas Milas,
Philip
Rothman and Dick van Dijk (eds.), Nonlinear Time Series
Analysis of
Business Cycles, Elsevier.
(2005) "A
Comparison of Direct and Iterated AR Methods for Forecasting
Macroeconomic Series h-Steps Ahead", with Jim Stock and Mark
Watson,
CEPR WP 4976.
(2005) "Leading
indicators: What have we learned?" in preparation for
Handbook of Econometrics: Economic Forecasts, CEPR WP 4977.
(2003) "Forecasting EMU macroeconomic variables", International Journal
of Forecasting, Vol 20, 359-72.
(2003) "Macroeconomic
forecasting in the Euro area: country specific versus Euro wide
information", with Jim Stock and Mark Watson, European Economic
Review, 47, 1-18.
(2003)
"Forecast pooling for short time series of macroeconomic
variables" , Oxford
Bulletin of Economics and
Statistics, 66, pp.91-112.
(2003) "Forecasting fiscal variables", with Carlo Favero. Mimeo.
(2002) "Robust Decision Theory and the Lucas Critique", with Mark
Salmon,
Macroeconomic Dynamics. Vol 6, p.167-185.
(2002)
"Instability and non-linearity in the EMU", CEPR WP 3312.
(2002)
"Forecast pooling for short time series of macroeconomic
variables", Oxford
Bulletin of Economics and
Statistics, Vol 66, p.91-112.
(2002)
"Factor based index tracking", with Francesco Corielli, CEPR WP
3265.
(2001)
"Fiscal forecasting: the track record of IMF, OECD and EC", with
Mike Artis,
Econometrics Journal, 4, s20-s36.
(2001)
"Factor forecasts for the UK", with Mike Artis and Anindya
Banerjee, CEPR WP 3119,
published in Journal of
Forecasting, 2004.
(2000)
"Forecast Bias and MSFE encompassing", Oxford Bulletin of
Economics and
Statistics, 62, 533-542.
(1999)
"Ex Post and Ex Ante Analysis of Provisional Data", with
Giampiero Gallo,
Journal of Forecasting, 18, 421-433.
(1998)
"The informational content of commodity prices", with Giampiero
Gallo and
Pravin Trivedi. Mimeo.
Aggregation
(2010b) “MIDAS vs Mixed-Frequency VAR for Nowcasting GDP in the Euro Area”, with Vladimir Kuzin and Christian Schumaker, International Journal of Forecasting, forthcoming.
(2007) "Pooling-based interpolation and backdating", Journal of
Time Series
Analysis, 28, 53-71.
(2006) “Interpolation with a large information set”, with Elena
Angelini and
Jerome Henry, Journal of Economic Dynamics and
Control, 30, 2693-2724.
(2004) "Stochastic processes subject to time-scale
transformations", with Ocsar Jorda, Journal of Time Series
Analysis, 25, pp.873-894.
(2000)
"Linear aggregation with common trends and cycles", Research
in Economics, 54, 117-131.
(2000)
"Stochastic processes subject to time-scale transformations",
with Oscar Jorda,
IGIER WP 164.
(1999)
"Some consequences of temporal aggregation for empirical
analysis" , Journal
of Business and Economic Statistics, 17,
129-136.
(1998)
"Temporal disaggregation, missing observations, outliers, and
forecasting: a
unifying non-model based procedure", Advances
in Econometrics, 13, 181-202.
(1998) "Aggregazione e disaggregazione temporale di processi
ARMA", Annali di
Statistica, 15, 9-24.
(1996) "Aggregazione di processi I(2)" Atti della XXXVIII
riunione scientifica della
Società Italiana di Statistica, vol 2,
549-556.
Large panels
(2010c) “Survey Data as Coincident or Leading Indicators”, with Cecilia Frale, Gianluigi Mazzi and Tommaso Proietti, Journal of Forecasting, forthcoming.
(2010) “Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments”, with George Kapetanios, Economic Letters, forthcoming.
(2010) “A Classical Time Varying FAVAR Model: Estimation, Forecasting, and Structural Analysis”, with Wolfgang Lemke and Sandra Eickmeier.
(2010) "Factor GMM estimation with large sets of possibly weak instruments", with George Kapetanios, Computational Statistics and Data Analysis.
(2010) “Forecasting Exchange Rates with a Large Bayesian VAR”, with Andrea Carriero and George Kapetanios, International Journal of Forecasting.
(2010) "Forecasting Large Datasets with Reduced Rank Multivariate Models", with Andrea Carriero and George Kapetanios, Journal of Applied Econometrics.
(2010) “Forecasting with Factor Augmented Error Correction Models”, with Anindya Banerjee and Igor Masten, CEPR WP 7677.
(2009) “A Shrinkage Approach to Yield Curve Forecasting”, with Andrea Carriero and George Kapetanios. Mimeo.
(2009) “A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions”, with George Kapetanios, Journal of Time Series Analysis.
(2009) “Regional inflation dynamics within and across euro area countries and a comparison with the US”, with Guenter Beck and Kirstin Hubrich, Economic Policy, 24, 141-184.
(2009) “Factor augmented Error Correction Models”, with Anindya Banerjee, in Castle, J. and Shepard, N. (Eds.), The Methodology and Practice of Econometrics – A Festschrift for David Hendry, Oxford: Oxford University Press.
(2008) "Factor
Analysis in a New-Keynesian Model", with Andreas Beyer,
Roger
Famer and Jerome Henry, Econometrics Journal, forthcoming.
(2008) "Factor-MIDAS
for now- and forecasting with ragged-edge data: A
model
comparison for German GDP", with Christian Schumacher, CEPR
WP
6708.
(2007) "Sectoral
survey-based confidence indicators for Europe", with
Andrea
Carriero, IGIER WP 320.
(2006) "Impulse
response functions from structural dynamic factor models:
A Monte
Carlo evaluation", with G. Kapetanios, CEPR WP 5621.
(2006) "Interpolation
with a Large Information Set", with Elena Angelini and
Jerome
Henry, Journal of Economic Dynamics and Control, 30, 2693-2724.
(2006) "Regional
inflation dynamics within and across euro area countries
and a
comparison with the US", with Guenter Beck and Kirstin Hubrich,
ECB
WP 681.
(2006) "Factor
Based Index Tracking", with Francesco Corielli, Journal
of
Banking and Finance, 30, 2215-2233.
(2005) "Large
Datasets, Small Models and Monetary Policy in Europe",
with
Carlo Favero, CLM Economia, 249-269.
(2005) "Factor
Forecasts for the UK", with Mike Artis and Anindya
Banerjee,
Journal of Forecasting, 24, 279-298.
(2005) "Principal
Components at Work: The Empirical Analysis of Monetary
Policy
with Large Datasets", with Carlo Favero and Francesca Neglia,
Journal
of Applied Econometrics, 20, 603-620.
(2005) "Testing
for PPP: Should We Use Panel Methods?", with Anindya
Banerjee
and Chiara Osbat, Empirical Economics, 30, 77-91.
(2004)
"Metodi di Stima per Modelli a Fattori Dinamici di Grande
Dimensione",
Atti della XLII riunione scientifica della Società
Italiana di Statistica, forthcoming.
(2004) "Some cautions on the use of panel methods for integrated
series of
macro-economic" with Anindya Banerjee and Chiara
Osbat, Econometrics Journal, 7, pp.322-340.
(2004) "Principal components at work: the empirical analysis of
monetary policy
with large datasets", with Carlo Favero and
Francesca Neglia, Journal of Applied Econometrics.
(2003) "Macroeconomic
forecasting in the Euro area: country specific versus Euro
wide
information", with Jim Stock and Mark Watson, European
Economic Review, 47, 1-18.
(2003) "Interpolation
with a large information set", with Elena Angelini and
Jerome Henry, ECB WP 252.
(2003) "A comparison of estimation methods for dynamic factor
models of large
dimensions", with George Kapetanios. Mimeo.
(2002) "Principal
components at work: the empirical analysis of monetary policy
with large datasets", with Carlo Favero and Francesca
Neglia, IGIER WP 223.
(2002)
"Factor based index tracking", with Francesco Corielli, CEPR WP
3265.
(2001)
"Factor forecasts for the UK", with Mike Artis and Anindya
Banerjee, IGIER WP 203, published in Journal of
Forecasting.
(2001)
"Large datasets, small models and monetary policy in Europe", with Carlo Favero, CEPR WP.
(2001)
"Testing for PPP: Should We Use Panel Methods?", with Anindya
Banerjee
and Chiara Osbat, IGIER WP 186, published in Empirical Economics (2004).
(2000)
"A dynamic factor analysis of the EMU", with Jim Stock and Mark
Watson.
Mimeo.
(2000)
"Some cautions on the use of panel methods for integrated series of
macro-economic", with Anindya Banerjee and Chiara Osbat,
IGIER WP 170.
Model comparison
(2008c) “Model selection for nested and overlapping nonlinear dynamic and possibly misspecified models”, with Barbara Rossi, Oxford Bulletin of Economics and Statistics, 70, 869-893.
(2008) “Encompassing”, with David Hendry and Grayham Mizon (eds.), Oxford Bulletin of Economics and Statistics, 70.
(1999) "Model selection for nonlinear dynamic models", IGIER WP
159.
(1999) "Confronto di modelli non annidati non correttamente
specificati" , with
Chiara Monfardini, Atti della XXXIX riunione
scientifica della Società Italiana di Statistica.
Empirical analyses
(2010a) “The Reliability of Real Time Estimates of the Euro Area Output Gap”, with Alberto Musso, CEPR WP 7716.
(2010) “Reconciling disaggregate evidence with macroeonomic models - New evidence from a disaggregate euro area dataset on price-setting” with Guenter Beck and Kirstin Hubrich.
(2010) “Endogenous Monetary Policy Regimes and the Great Moderation”, with Ana Galvao.
(2009) “Very Small, Very Open, Very Rich: A DSGE Model for Luxembourg”, with Lionel Fontagné and Marco Maffezzoli.
(2009) “Real Time Estimates of the Euro Area Output Gap: Reliability and Forecast Performance”, with Alberto Musso.
(2008c) "A Measure for Credibility: Tracking the US 'Great Moderation'", with Maria Demertzis and Nicola Viegi, CEPR Discussion Papers 7036.
(2007) "A
Macroeconometric Model for the Euro Economy", with
Christian
Dreger, Journal of Policy Modeling, 29, 1-13.
(2007) "Econometric
Analyses with Backdated Data: Unified Germany and
the Euro
Area", with Elena Angelini, ECB WP 752.
(2006) "Some
Stylized Facts on Fiscal Policy in the Euro Area", Journal
of
Macroeconomics, 28, 461-479.
(2006) "Regional
Inflation Dynamics within and across Euro Area Countries
and a
Comparison with the US", with Guenter Beck and Kirstin Hubrich,
ECB
WP 681.
(2006) "TFP,
Costs and Public Infrastructure: An Equivocal
Relationship",
with Eliana La Ferrara, in Artis, M.,
Banerjee, A. and Marcellino, M. (eds.), The European
Enlargement: Prospects and Challenges, Cambridge:
Cambridge
University Press.
(2005) The European Enlargement: Prospects and Challenges, (Book) with
Michael Artis and Anindya Banerjee (eds), Cambridge:
Cambridge University Press.
(2004) "Characterizing business cycles for accession
countries", with Mike Artis and
Tommaso Proietti. IGIER WP
261.
(2003) "Dating
the Euro area business cycle", with Mike Artis and Tommaso
Proietti,
CEPR WP 3696, published in Oxford Bulletin of
Economics and Statistics in 2004.
(2003) "The
transmission mechanism in a changing world", with Michael
Artis and
Ana Galvao, CEPR WP 4014.
(2002) "Modelling
High-Frequency Foreign Exchange Data Dynamics", with
Oscar
Jorda, Macroeconomic Dynamics, 7, pp.618-635.
(2002) "A
Markov-switching vector equilibrium correction model of the UK
labour market", with Hans-Martin Krolzig and Grayham Mizon, Empirical Economics, 27, 233-254.
(2002) "Some
stylized facts on non systematic fiscal policy in the Euro area", CEPR WP 3635, published on Journal of
Macroeconomics.
(2001)
"Small system modelling of real wages, inflation, unemployment and
output
per capita in Italy 1970-1994", with Grayham Mizon,
Journal of Applied Econometrics,
16, 359-370.
(2000)
"Modelling shifts in the wage-price and unemployment-inflation
relationships
in Italy, Poland and the UK", with Grayham
Mizon, Economic Modeling, 17, 387-413.
(2000)
"Public capital and economic performance: Evidence from Italy",
with Federico Bonaglia and Eliana La Ferrara, Giornale degli
Economisti, Vol 60, pp.221-244.
(2000)
"The solvency of government finances in Europe", with Mike
Artis, in
Banca d´Italia (ed.), Fiscal Sustainability,
.209-241.
(1995) "Un'analisi econometrica delle relazioni tra variabili
fiscali, Pil e inflazione",
Giornale degli Economisti, 54,
103-128.
Economic cycle
(2010a) “The Reliability of Real Time Estimates of the Euro Area Output Gap”, with Alberto Musso, CEPR WP 7716.
(2008) “A Monthly Indicator of the Euro Area GDP”, with Cecilia Frale, Gianluigi Mazzi and Tommaso Proietti, CEPR Discussion Papers 7007.
(2007) "The
Transmission Mechanism in a Changing World", with
Michael
Artis and Ana Galvao, Journal of Applied Econometrics,
22, 39-61.
(2007) "A
Comparison of Methods for the Construction of
Composite
Coincident and Leading Indexes for the UK", with
Andrea Carriero,
International Journal of Forecasting, 23,
219-236.
(2007) "Monitoring
the Economy of the Euro Area: A Comparison of
Composite
Coincident Indexes", with Andrea Carriero, IGIER WP 319.
(2007) "Sectoral
Survey-Based Confidence Indicators for Europe", with
Andrea
Carriero, IGIER WP 320.
(2006) "Leading
Indicators", in Elliott, G., Granger, C.W.J. and
Timmermann,
A. (eds), Handbook of Economic Forecasts,
Amsterdam:
Elsevier.
(2006) "Characterizing
Business cycles for Accession Countries", with Mike
Artis and
Tommaso Proietti, in Artis, M., Banerjee, A. and Marcellino,
M.
(eds.), The European Enlargement: Prospects and Challenges,
Cambridge:
Cambridge University Press.
(2005) "Characterizing
Business Cycles for Accession Countries", with Mike
Artis and
Tommaso Proietti, Journal of Business Cycle Measurement
and
Analysis, 2, 7-41.
(2005) "Dating
the Euro Area Business Cycle", with Mike Artis and
Tommaso
Proietti, in Reichlin, L. (ed.), The Euro Area Business
Cycle:
Stylized Facts and Measurement Issues, CEPR.