Details about Raffaella Giacomini
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Last updated 2021-08-24. Update your information in the RePEc Author Service.
Short-id: pgi20
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Working Papers
2021
- Identification and Inference Under Narrative Restrictions
Papers, arXiv.org  View citations (14)
2020
- Robust Bayesian Inference in Proxy SVARs
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019) View citations (12)
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2020) View citations (2)
- Robust Bayesian inference for set-identified models
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (10)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (23)
See also Journal Article Robust Bayesian Inference for Set‐Identified Models, Econometrica, Econometric Society (2021) View citations (26) (2021)
- Uncertain Identification
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017)
2019
- Estimation Under Ambiguity
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (7)
- Incentive-driven Inattention
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (3)
Also in Working Papers Series, Central Bank of Brazil, Research Department (2018) View citations (6)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (3)
2018
- Impact of uncertainty shocks on the global economy
Post-Print, HAL View citations (5)
Also in Post-Print, HAL (2017) View citations (3)
- Models, Inattention and Bayesian Updates
Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile.
2016
- Models, inattention and expectation updates
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
Also in Discussion Papers, Centre for Macroeconomics (CFM) (2015) View citations (5)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
- Stress Testing with Misspecified Models
Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
2015
- Model comparisons in unstable environments
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (2)
Also in Working Papers, Barcelona School of Economics (2014) View citations (3)
Working Papers, Duke University, Department of Economics (2010) View citations (10)
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (1)
Working Papers, Duke University, Department of Economics (2009) View citations (6)
See also Journal Article MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2016) View citations (4) (2016)
2014
- Anchoring the yield curve using survey expectations
Working Paper Series, European Central Bank View citations (7)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (14)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (10)
See also Journal Article Anchoring the yield curve using survey expectations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (27) (2017)
- Economic theory and forecasting: lessons from the literature
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (7)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (7)
See also Journal Article Economic theory and forecasting: lessons from the literature, Econometrics Journal, Royal Economic Society (2015) View citations (23) (2015)
- Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
Working Papers, Barcelona School of Economics
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014)
See also Journal Article Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Annual Review of Economics, Annual Reviews (2015) View citations (8) (2015)
- Inference about Non-Identi?ed SVARs
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (4)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (4)
2013
- Bond returns and market expectations
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (9)
See also Journal Article Bond Returns and Market Expectations, Journal of Financial Econometrics, Oxford University Press (2014) View citations (18) (2014)
- Generalized Method of Moments with Latent Variables
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (5)
- The relationship between DSGE and VAR models
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (50)
2012
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
See also Journal Article A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS, Econometric Theory, Cambridge University Press (2013) View citations (108) (2013)
- Incorporating theoretical restrictions into forecasting by projection methods
2012 Meeting Papers, Society for Economic Dynamics View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (4)
2011
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
Post-Print, HAL View citations (29)
See also Journal Article How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Journal of Econometrics, Elsevier (2011) View citations (34) (2011)
2009
- Model Selection in Unstable Environments
2009 Meeting Papers, Society for Economic Dynamics
2008
- Forecast Comparisons in Unstable Environments
Working Papers, Duke University, Department of Economics View citations (13)
See also Journal Article Forecast comparisons in unstable environments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (328) (2010)
2007
- Mixtures of t-distributions for Finance and Forecasting
Economics Series, Institute for Advanced Studies
See also Journal Article Mixtures of t-distributions for finance and forecasting, Journal of Econometrics, Elsevier (2008) View citations (7) (2008)
2006
- Detecting and Predicting Forecast Breakdowns
Working Papers, Duke University, Department of Economics View citations (4)
Also in UCLA Economics Working Papers, UCLA Department of Economics (2005) View citations (8)
Working Paper Series, European Central Bank (2006) View citations (6)
See also Journal Article Detecting and Predicting Forecast Breakdowns, The Review of Economic Studies, Review of Economic Studies Ltd (2009) View citations (117) (2009)
2005
- Comparing Density Forecsts via Weighted Likelihood Ratio Tests
Working Papers, University of Brescia, Department of Economics View citations (15)
See also Journal Article Comparing Density Forecasts via Weighted Likelihood Ratio Tests, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (444) (2007)
- How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
Working Papers, Duke University, Department of Economics View citations (2)
See also Journal Article How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (81) (2006)
2003
- Evaluation and Combination of Conditional Quantile Forecasts
Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) View citations (3)
See also Journal Article Evaluation and Combination of Conditional Quantile Forecasts, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (177) (2005)
- Tests of Conditional Predictive Ability
Econometrics, University Library of Munich, Germany View citations (62)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2003) View citations (44)
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2003) View citations (41)
See also Journal Article Tests of Conditional Predictive Ability, Econometrica, Econometric Society (2006) View citations (894) (2006)
2002
- Aggregation of Space-Time Processes
Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) View citations (1)
See also Journal Article Aggregation of space-time processes, Journal of Econometrics, Elsevier (2004) View citations (96) (2004)
- Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods
Boston College Working Papers in Economics, Boston College Department of Economics View citations (20)
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) View citations (21)
- Hypernormal Densities
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002) View citations (1)
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) View citations (1)
Journal Articles
2021
- Robust Bayesian Inference for Set‐Identified Models
Econometrica, 2021, 89, (4), 1519-1556 View citations (26)
See also Working Paper Robust Bayesian inference for set-identified models, CeMMAP working papers (2020) View citations (10) (2020)
2020
- Heterogeneity, Inattention, and Bayesian Updates
American Economic Journal: Macroeconomics, 2020, 12, (1), 282-309 View citations (24)
2017
- Anchoring the yield curve using survey expectations
Journal of Applied Econometrics, 2017, 32, (6), 1055-1068 View citations (27)
See also Working Paper Anchoring the yield curve using survey expectations, Working Paper Series (2014) View citations (7) (2014)
- Bayesian estimation of state space models using moment conditions
Journal of Econometrics, 2017, 201, (2), 198-211 View citations (12)
2016
- MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS
International Economic Review, 2016, 57, (2), 369-392 View citations (4)
See also Working Paper Model comparisons in unstable environments, Economics Working Papers (2015) View citations (2) (2015)
2015
- Economic theory and forecasting: lessons from the literature
Econometrics Journal, 2015, 18, (2), C22-C41 View citations (23)
See also Working Paper Economic theory and forecasting: lessons from the literature, CeMMAP working papers (2014) View citations (7) (2014)
- Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
Annual Review of Economics, 2015, 7, (1), 207-229 View citations (8)
See also Working Paper Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Working Papers (2014) (2014)
2014
- Bond Returns and Market Expectations
Journal of Financial Econometrics, 2014, 12, (4), 708-729 View citations (18)
See also Working Paper Bond returns and market expectations, CeMMAP working papers (2013) View citations (9) (2013)
- Theory-coherent forecasting
Journal of Econometrics, 2014, 182, (1), 145-155 View citations (31)
2013
- A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
Econometric Theory, 2013, 29, (3), 567-589 View citations (108)
See also Working Paper A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, CeMMAP working papers (2012) View citations (1) (2012)
2011
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
Journal of Econometrics, 2011, 164, (1), 21-34 View citations (34)
See also Working Paper How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Post-Print (2011) View citations (29) (2011)
2010
- Forecast comparisons in unstable environments
Journal of Applied Econometrics, 2010, 25, (4), 595-620 View citations (328)
See also Working Paper Forecast Comparisons in Unstable Environments, Working Papers (2008) View citations (13) (2008)
2009
- Detecting and Predicting Forecast Breakdowns
The Review of Economic Studies, 2009, 76, (2), 669-705 View citations (117)
See also Working Paper Detecting and Predicting Forecast Breakdowns, Working Papers (2006) View citations (4) (2006)
2008
- Mixtures of t-distributions for finance and forecasting
Journal of Econometrics, 2008, 144, (1), 175-192 View citations (7)
See also Working Paper Mixtures of t-distributions for Finance and Forecasting, Economics Series (2007) (2007)
2007
- Comparing Density Forecasts via Weighted Likelihood Ratio Tests
Journal of Business & Economic Statistics, 2007, 25, 177-190 View citations (444)
See also Working Paper Comparing Density Forecsts via Weighted Likelihood Ratio Tests, Working Papers (2005) View citations (15) (2005)
2006
- How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*
Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 783-795 View citations (81)
See also Working Paper How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?, Working Papers (2005) View citations (2) (2005)
- Tests of Conditional Predictive Ability
Econometrica, 2006, 74, (6), 1545-1578 View citations (894)
See also Working Paper Tests of Conditional Predictive Ability, Econometrics (2003) View citations (62) (2003)
2005
- Evaluation and Combination of Conditional Quantile Forecasts
Journal of Business & Economic Statistics, 2005, 23, 416-431 View citations (177)
See also Working Paper Evaluation and Combination of Conditional Quantile Forecasts, Boston College Working Papers in Economics (2003) View citations (6) (2003)
2004
- Aggregation of space-time processes
Journal of Econometrics, 2004, 118, (1-2), 7-26 View citations (96)
See also Working Paper Aggregation of Space-Time Processes, Boston College Working Papers in Economics (2002) View citations (5) (2002)
Chapters
2013
- Forecasting in macroeconomics
Chapter 17 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 381-408 View citations (3)
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