Details about Tommaso Proietti

Workplace:

Dipartimento di Economia e Finanza (Department of Economics and Finance), Facoltà di Economia (Faculty of Economics), Università degli Studi di Roma "Tor Vergata" (Tor Vergata University of Rome), (more information at EDIRC)

Access statistics for papers by Tommaso Proietti.

Last updated 2024-03-06. Update your information in the RePEc Author Service.

Short-id: ppr15

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Working Papers

2023

1. Band-Pass Filtering with High-Dimensional Time Series
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in Papers, arXiv.org (2023)

2021

2. Efficient Nonparametric Estimation of Generalized Autocovariances
   CEIS Research Paper, Tor Vergata University, CEIS
3. Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
   See also Journal Article Modelling cycles in climate series: The fractional sinusoidal waveform process, Journal of Econometrics, Elsevier (2024) (2024)
4. Seasonality in High Frequency Time Series
   CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
   See also Journal Article Seasonality in High Frequency Time Series, Econometrics and Statistics, Elsevier (2023) (2023)

2020

5. Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
   See also Journal Article Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach, International Journal of Forecasting, Elsevier (2021) View citations (6) (2021)
6. Nowcasting Monthly GDP with Big Data: a Model Averaging Approach
   CEIS Research Paper, Tor Vergata University, CEIS View citations (3)
   See also Journal Article Nowcasting monthly GDP with big data: A model averaging approach, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2021) View citations (6) (2021)
7. Peaks, Gaps, and Time Reversibility of Economic Time Series
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
   See also Journal Article Peaks, gaps, and time‐reversibility of economic time series, Journal of Time Series Analysis, Wiley Blackwell (2023) View citations (1) (2023)

2019

8. Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
   See also Journal Article Forecasting volatility with time-varying leverage and volatility of volatility effects, International Journal of Forecasting, Elsevier (2020) View citations (8) (2020)
9. Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models
   CEIS Research Paper, Tor Vergata University, CEIS
   See also Journal Article Predictability, real time estimation, and the formulation of unobserved components models, Econometric Reviews, Taylor & Francis Journals (2021) View citations (1) (2021)

2017

10. A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
    See also Journal Article A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices, Biometrika, Biometrika Trust (2018) View citations (1) (2018)
11. Spikes and memory in (Nord Pool) electricity price spot prices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2017)

2016

12. A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2015)
    See also Journal Article A data-cleaning augmented Kalman filter for robust estimation of state space models, Econometrics and Statistics, Elsevier (2018) View citations (4) (2018)
13. A generalized exponential time series regression model for electricity prices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2015

14. EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2015)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
    See also Journal Article Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (8) (2017)
15. Exponential Smoothing, Long Memory and Volatility Prediction
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2014)
    MPRA Paper, University Library of Munich, Germany (2014)
16. Generalised partial autocorrelations and the mutual information between past and future
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
17. On the Selection of Common Factors for Macroeconomic Forecasting
    CEIS Research Paper, Tor Vergata University, CEIS View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (3)
    MPRA Paper, University Library of Munich, Germany (2014) View citations (2)
    See also Chapter On the Selection of Common Factors for Macroeconomic Forecasting, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (2) (2016)
18. Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (2)
    Also in FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID) (2014) View citations (1)
    CEIS Research Paper, Tor Vergata University, CEIS (2014) View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (3)
    See also Journal Article Outlier detection in structural time series models: The indicator saturation approach, International Journal of Forecasting, Elsevier (2016) View citations (16) (2016)
19. Seasonal Changes in Central England Temperatures
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) View citations (2)
    See also Journal Article Seasonal changes in central England temperatures, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2017) View citations (12) (2017)

2014

20. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro
    Studies in Economics, School of Economics, University of Kent View citations (6)

2013

21. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
    See also Journal Article EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries, International Journal of Forecasting, Elsevier (2015) View citations (8) (2015)
22. Generalised Linear Spectral Models
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
23. The Exponential Model for the Spectrum of a Time Series: Extensions and Applications
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in MPRA Paper, University Library of Munich, Germany (2013)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013)
24. The Generalised Autocovariance Function
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (4)
    See also Journal Article The generalised autocovariance function, Journal of Econometrics, Elsevier (2015) View citations (2) (2015)

2012

25. Maximum likelihood estimation of time series models: the Kalman filter and beyond
    Working Papers, University of Sydney Business School, Discipline of Business Analytics
    Also in MPRA Paper, University Library of Munich, Germany (2012)
    See also Chapter Maximum likelihood estimation of time series models: the Kalman filter and beyond, Chapters, Edward Elgar Publishing (2013) (2013)

2011

26. Bayesian stochastic model specification search for seasonal and calendar effects
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (4)
27. Characterizing economic trends by Bayesian stochastic model specification search
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2010)
    MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
    See also Journal Article Characterising economic trends by Bayesian stochastic model specification search, Computational Statistics & Data Analysis, Elsevier (2014) View citations (4) (2014)
28. Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
    Economics Working Papers, European University Institute View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (5)
    Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) View citations (5)
    See also Journal Article Does the Box–Cox transformation help in forecasting macroeconomic time series?, International Journal of Forecasting, Elsevier (2013) View citations (12) (2013)
29. Patterns of industrial specialisation in post-Unification Italy
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in Working Papers, Economic History Society (2011)
    See also Journal Article Patterns of industrial specialisation in post-Unification Italy, Scandinavian Economic History Review, Taylor & Francis Journals (2013) View citations (4) (2013)
30. Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
    Working Papers, University of Sydney Business School, Discipline of Business Analytics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (1)
    See also Journal Article Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Empirical Economics, Springer (2015) View citations (1) (2015)
31. The Multistep Beveridge-Nelson Decomposition
    Working Papers, University of Sydney Business School, Discipline of Business Analytics
    Also in MPRA Paper, University Library of Munich, Germany (2009)
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2009) View citations (1)
    See also Journal Article The Multistep Beveridge--Nelson Decomposition, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
32. The Variance Profile
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article The Variance Profile, Journal of the American Statistical Association, Taylor & Francis Journals (2012) View citations (6) (2012)

2010

33. Seasonality, Forecast Extensions and Business Cycle Uncertainty
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY, Journal of Economic Surveys, Wiley Blackwell (2012) (2012)
34. Trend Estimation
    MPRA Paper, University Library of Munich, Germany View citations (1)

2009

35. Hyper-spherical and Elliptical Stochastic Cycles
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Hyper‐spherical and elliptical stochastic cycles, Journal of Time Series Analysis, Wiley Blackwell (2010) View citations (10) (2010)
36. Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences
    MPRA Paper, University Library of Munich, Germany
37. Survey Data as Coicident or Leading Indicators
    Economics Working Papers, European University Institute View citations (3)
    Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance View citations (3)
    See also Journal Article Survey data as coincident or leading indicators, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (38) (2010)

2008

38. A Monthly Indicator of the Euro Area GDP
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Economics Working Papers, European University Institute (2008) View citations (9)
39. Direct and iterated multistep AR methods for difference stationary processes
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Direct and iterated multistep AR methods for difference stationary processes, International Journal of Forecasting, Elsevier (2011) View citations (4) (2011)
40. Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components
    MPRA Paper, University Library of Munich, Germany View citations (6)
41. Extracting the Cyclical Component in Hours Worked: a Bayesian Approach
    MPRA Paper, University Library of Munich, Germany View citations (3)
42. Has the Volatility of U.S. Inflation Changed and How?
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Has the Volatility of U.S. Inflation Changed and How?, Journal of Time Series Econometrics, De Gruyter (2010) View citations (8) (2010)
43. On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing, Annals of the Institute of Statistical Mathematics, Springer (2011) (2011)
44. On the Spectral Properties of Matrices Associated with Trend Filters
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS, Econometric Theory, Cambridge University Press (2010) (2010)
45. Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis
    CEIS Research Paper, Tor Vergata University, CEIS View citations (8)
46. Structural Time Series Models for Business Cycle Analysis
    CEIS Research Paper, Tor Vergata University, CEIS View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (8)
    See also Chapter Structural Time Series Models for Business Cycle Analysis, Palgrave Macmillan Books, Palgrave Macmillan (2009) View citations (3) (2009)
47. The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
    See also Journal Article The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913, Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC) (2010) View citations (10) (2010)
48. The comovements of construction in Italy's regions, 1861-1913
    MPRA Paper, University Library of Munich, Germany View citations (1)

2007

49. Band Spectral Estimation for Signal Extraction
    CEIS Research Paper, Tor Vergata University, CEIS
    See also Journal Article Band spectral estimation for signal extraction, Economic Modelling, Elsevier (2008) View citations (5) (2008)
50. Growth accounting for the euro area: a structural approach
    Working Paper Series, European Central Bank View citations (16)
51. New proposals for the quantification of qualitative survey data
    CEIS Research Paper, Tor Vergata University, CEIS View citations (12)
    See also Journal Article New proposals for the quantification of qualitative survey data, Journal of Forecasting, John Wiley & Sons, Ltd. (2011) View citations (4) (2011)
52. Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies
    MPRA Paper, University Library of Munich, Germany View citations (3)

2006

53. Measuring Core Inflation by Multivariate Structural Time Series Models
    CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
54. On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
    CEIS Research Paper, Tor Vergata University, CEIS
    Also in Econometrics, University Library of Munich, Germany (2004) View citations (3)
    See also Journal Article On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates, Econometric Reviews, Taylor & Francis Journals (2009) View citations (6) (2009)

2004

55. Characterising the Business Cycle for Accession Countries
    Econometrics, University Library of Munich, Germany View citations (42)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (35)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2004) View citations (37)
56. Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints
    Econometrics, University Library of Munich, Germany View citations (13)
    See also Journal Article Dynamic factor analysis with non‐linear temporal aggregation constraints, Journal of the Royal Statistical Society Series C, Royal Statistical Society (2006) View citations (70) (2006)
57. Forecasting and Signal Extraction with Misspecified Models
    Econometrics, University Library of Munich, Germany View citations (1)
    See also Journal Article Forecasting and signal extraction with misspecified models, Journal of Forecasting, John Wiley & Sons, Ltd. (2005) View citations (12) (2005)
58. On the Estimation of Nonlinearly Aggregated Mixed Models
    Econometrics, University Library of Munich, Germany View citations (12)
59. Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited
    Econometrics, University Library of Munich, Germany View citations (15)
    See also Journal Article Temporal disaggregation by state space methods: Dynamic regression methods revisited, Econometrics Journal, Royal Economic Society (2006) View citations (58) (2006)

2003

60. Dating the Euro Area Business Cycle
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (70)
    Also in Economics Working Papers, European University Institute (2002) View citations (42)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (59)

2002

61. Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach
    Economics Working Papers, European University Institute View citations (33)
    See also Journal Article Estimating potential output and the output gap for the euro area: a model-based production function approach, Empirical Economics, Springer (2007) View citations (47) (2007)
62. Seasonal Specific Structural Time Series Models
    Economics Working Papers, European University Institute View citations (1)
63. Some Reflections on Trend-Cycle Decompositions with Correlated Components
    Econometrics, University Library of Munich, Germany View citations (8)
    Also in Economics Working Papers, European University Institute (2002) View citations (6)

2000

64. Leave-k-out diagnostics in state space models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    See also Journal Article LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (5) (2003)

1999

65. Structural Time Series Modelling of Capacity Utilisation
    MPRA Paper, University Library of Munich, Germany

1993

66. A seasonal integration analysis of the italian consumption quarterly time series
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
67. Structural properties of the new quarterly series on consumption
    Quaderni di Dipartimento, Department of Statistics, University of Bologna

Journal Articles

2024

1. Modelling cycles in climate series: The fractional sinusoidal waveform process
   Journal of Econometrics, 2024, 239, (1)
   See also Working Paper Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process, CEIS Research Paper (2021) View citations (1) (2021)

2023

2. Peaks, gaps, and time‐reversibility of economic time series
   Journal of Time Series Analysis, 2023, 44, (1), 43-68 View citations (1)
   See also Working Paper Peaks, Gaps, and Time Reversibility of Economic Time Series, CEIS Research Paper (2020) View citations (1) (2020)
3. Seasonality in High Frequency Time Series
   Econometrics and Statistics, 2023, 27, (C), 62-82
   See also Working Paper Seasonality in High Frequency Time Series, CEIS Research Paper (2021) View citations (2) (2021)
4. Trends in atmospheric ethane
   Climatic Change, 2023, 176, (5), 1-23 View citations (1)

2021

5. Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach
   International Journal of Forecasting, 2021, 37, (4), 1376-1398 View citations (6)
   See also Working Paper Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach, CEIS Research Paper (2020) View citations (1) (2020)
6. Nowcasting monthly GDP with big data: A model averaging approach
   Journal of the Royal Statistical Society Series A, 2021, 184, (2), 683-706 View citations (6)
   See also Working Paper Nowcasting Monthly GDP with Big Data: a Model Averaging Approach, CEIS Research Paper (2020) View citations (3) (2020)
7. Predictability, real time estimation, and the formulation of unobserved components models
   Econometric Reviews, 2021, 40, (5), 433-454 View citations (1)
   See also Working Paper Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models, CEIS Research Paper (2019) (2019)

2020

8. A Systemic Approach to Estimating the Output Gap for the Italian Economy
   Comparative Economic Studies, 2020, 62, (3), 465-493 View citations (1)
9. Forecasting volatility with time-varying leverage and volatility of volatility effects
   International Journal of Forecasting, 2020, 36, (4), 1301-1317 View citations (8)
   See also Working Paper Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects, CEIS Research Paper (2019) View citations (1) (2019)

2019

10. A class of periodic trend models for seasonal time series
    Journal of Forecasting, 2019, 38, (2), 106-121
11. Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence
    Statistical Methods & Applications, 2019, 28, (3), 451-456
12. Editorial
    Statistical Methods & Applications, 2019, 28, (3), 385-387

2018

13. A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices
    Biometrika, 2018, 105, (4), 783-795 View citations (1)
    See also Working Paper A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices, CEIS Research Paper (2017) View citations (1) (2017)
14. A data-cleaning augmented Kalman filter for robust estimation of state space models
    Econometrics and Statistics, 2018, 5, (C), 107-123 View citations (4)
    See also Working Paper A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models, CEIS Research Paper (2016) (2016)

2017

15. Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
    Journal of Applied Econometrics, 2017, 32, (3), 683-703 View citations (8)
    See also Working Paper EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area, CEIS Research Paper (2015) (2015)
16. Seasonal changes in central England temperatures
    Journal of the Royal Statistical Society Series A, 2017, 180, (3), 769-791 View citations (12)
    See also Working Paper Seasonal Changes in Central England Temperatures, CEIS Research Paper (2015) View citations (2) (2015)

2016

17. Component-wise Representations of Long-memory Models and Volatility Prediction
    Journal of Financial Econometrics, 2016, 14, (4), 668-692 View citations (8)
18. Outlier detection in structural time series models: The indicator saturation approach
    International Journal of Forecasting, 2016, 32, (1), 180-202 View citations (16)
    See also Working Paper Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach, VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy (2015) View citations (2) (2015)
19. State space modeling of Gegenbauer processes with long memory
    Computational Statistics & Data Analysis, 2016, 100, (C), 115-130 View citations (9)
20. The Multistep Beveridge--Nelson Decomposition
    Econometric Reviews, 2016, 35, (3), 373-395 View citations (1)
    See also Working Paper The Multistep Beveridge-Nelson Decomposition, Working Papers (2011) (2011)

2015

21. EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
    International Journal of Forecasting, 2015, 31, (3), 712-738 View citations (8)
    See also Working Paper EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries, CEIS Research Paper (2013) View citations (1) (2013)
22. Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
    Empirical Economics, 2015, 48, (3), 983-1011 View citations (1)
    See also Working Paper Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search, Working Papers (2011) (2011)
23. The generalised autocovariance function
    Journal of Econometrics, 2015, 186, (1), 245-257 View citations (2)
    See also Working Paper The Generalised Autocovariance Function, CEIS Research Paper (2013) (2013)

2014

24. Characterising economic trends by Bayesian stochastic model specification search
    Computational Statistics & Data Analysis, 2014, 71, (C), 359-374 View citations (4)
    See also Working Paper Characterizing economic trends by Bayesian stochastic model specification search, CREATES Research Papers (2011) View citations (1) (2011)

2013

25. Does the Box–Cox transformation help in forecasting macroeconomic time series?
    International Journal of Forecasting, 2013, 29, (1), 88-99 View citations (12)
    See also Working Paper Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?, Economics Working Papers (2011) View citations (5) (2011)
26. Patterns of industrial specialisation in post-Unification Italy
    Scandinavian Economic History Review, 2013, 61, (3), 259-286 View citations (4)
    See also Working Paper Patterns of industrial specialisation in post-Unification Italy, MPRA Paper (2011) View citations (1) (2011)

2012

27. Growth accounting for the euro area
    Empirical Economics, 2012, 43, (1), 219-244 View citations (3)
28. SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY
    Journal of Economic Surveys, 2012, 26, (4), 555-569
    See also Working Paper Seasonality, Forecast Extensions and Business Cycle Uncertainty, MPRA Paper (2010) (2010)
29. The Variance Profile
    Journal of the American Statistical Association, 2012, 107, (498), 607-621 View citations (6)
    See also Working Paper The Variance Profile, MPRA Paper (2011) View citations (4) (2011)

2011

30. Direct and iterated multistep AR methods for difference stationary processes
    International Journal of Forecasting, 2011, 27, (2), 266-280 View citations (4)
    Also in International Journal of Forecasting, 2011, 27, (2), 266-280 (2011) View citations (4)
    See also Working Paper Direct and iterated multistep AR methods for difference stationary processes, MPRA Paper (2008) View citations (1) (2008)
31. EUROMIND: a monthly indicator of the euro area economic conditions
    Journal of the Royal Statistical Society Series A, 2011, 174, (2), 439-470 View citations (56)
32. Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints
    International Statistical Review, 2011, 79, (3), 455-476 View citations (10)
33. Extracting the Cyclical Component in Hours Worked
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 28 View citations (3)
34. Multivariate temporal disaggregation with cross-sectional constraints
    Journal of Applied Statistics, 2011, 38, (7), 1455-1466 View citations (7)
35. New proposals for the quantification of qualitative survey data
    Journal of Forecasting, 2011, 30, (4), 393-408 View citations (4)
    See also Working Paper New proposals for the quantification of qualitative survey data, CEIS Research Paper (2007) View citations (12) (2007)
36. On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
    Annals of the Institute of Statistical Mathematics, 2011, 63, (4), 851-871
    See also Working Paper On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing, MPRA Paper (2008) (2008)

2010

37. Has the Volatility of U.S. Inflation Changed and How?
    Journal of Time Series Econometrics, 2010, 2, (1), 22 View citations (8)
    See also Working Paper Has the Volatility of U.S. Inflation Changed and How?, MPRA Paper (2008) View citations (10) (2008)
38. Hyper‐spherical and elliptical stochastic cycles
    Journal of Time Series Analysis, 2010, 31, (3), 169-181 View citations (10)
    See also Working Paper Hyper-spherical and Elliptical Stochastic Cycles, MPRA Paper (2009) (2009)
39. ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS
    Econometric Theory, 2010, 26, (4), 1247-1261
    See also Working Paper On the Spectral Properties of Matrices Associated with Trend Filters, MPRA Paper (2008) (2008)
40. Survey data as coincident or leading indicators
    Journal of Forecasting, 2010, 29, (1-2), 109-131 View citations (38)
    See also Working Paper Survey Data as Coicident or Leading Indicators, Economics Working Papers (2009) View citations (3) (2009)
41. The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913
    Cliometrica, Journal of Historical Economics and Econometric History, 2010, 4, (3), 269-292 View citations (10)
    See also Working Paper The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913, CEIS Research Paper (2008) View citations (2) (2008)

2009

42. On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
    Econometric Reviews, 2009, 28, (1-3), 186-208 View citations (6)
    See also Working Paper On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates, CEIS Research Paper (2006) (2006)
43. Transformations and seasonal adjustment
    Journal of Time Series Analysis, 2009, 30, (1), 47-69 View citations (9)

2008

44. Band spectral estimation for signal extraction
    Economic Modelling, 2008, 25, (1), 54-69 View citations (5)
    See also Working Paper Band Spectral Estimation for Signal Extraction, CEIS Research Paper (2007) (2007)
45. Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches
    Statistics & Probability Letters, 2008, 78, (3), 257-264 View citations (2)

2007

46. 2nd Special Issue on Statistical Signal Extraction and Filtering
    Computational Statistics & Data Analysis, 2007, 52, (2), 817-820
47. Estimating potential output and the output gap for the euro area: a model-based production function approach
    Empirical Economics, 2007, 33, (1), 85-113 View citations (47)
    See also Working Paper Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach, Economics Working Papers (2002) View citations (33) (2002)
48. Signal extraction and filtering by linear semiparametric methods
    Computational Statistics & Data Analysis, 2007, 52, (2), 935-958 View citations (10)

2006

49. Dynamic factor analysis with non‐linear temporal aggregation constraints
    Journal of the Royal Statistical Society Series C, 2006, 55, (2), 281-300 View citations (70)
    See also Working Paper Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints, Econometrics (2004) View citations (13) (2004)
50. Temporal disaggregation by state space methods: Dynamic regression methods revisited
    Econometrics Journal, 2006, 9, (3), 357-372 View citations (58)
    See also Working Paper Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited, Econometrics (2004) View citations (15) (2004)
51. Trend-Cycle Decompositions with Correlated Components
    Econometric Reviews, 2006, 25, (1), 61-84 View citations (36)

2005

52. Business Cycles in the New EU Member Countries and their Conformity with the Euro Area
    Journal of Business Cycle Measurement and Analysis, 2005, 2005, (1), 7-41 View citations (17)
53. Convergence in Italian regional per-capita GDP
    Applied Economics, 2005, 37, (5), 497-506 View citations (18)
54. Forecasting and signal extraction with misspecified models
    Journal of Forecasting, 2005, 24, (8), 539-556 View citations (12)
    See also Working Paper Forecasting and Signal Extraction with Misspecified Models, Econometrics (2004) View citations (1) (2004)
55. New algorithms for dating the business cycle
    Computational Statistics & Data Analysis, 2005, 49, (2), 477-498 View citations (10)

2004

56. Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
    Oxford Bulletin of Economics and Statistics, 2004, 66, (4), 537-565 View citations (83)
57. Introduction
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 5
58. Seasonal Specific Structural Time Series
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 22 View citations (9)
59. Unobserved components models with correlated disturbances
    Statistical Methods & Applications, 2004, 12, (3), 277-292

2003

60. Forecasting the US unemployment rate
    Computational Statistics & Data Analysis, 2003, 42, (3), 451-476 View citations (29)
61. LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS
    Journal of Time Series Analysis, 2003, 24, (2), 221-236 View citations (5)
    See also Working Paper Leave-k-out diagnostics in state space models, SFB 373 Discussion Papers (2000) View citations (3) (2000)

2000

62. A Beveridge-Nelson smoother
    Economics Letters, 2000, 67, (2), 139-146 View citations (13)
63. Comparing seasonal components for structural time series models
    International Journal of Forecasting, 2000, 16, (2), 247-260 View citations (35)

1998

64. Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 18 View citations (18)
65. Spurious periodic autoregressions
    Econometrics Journal, 1998, 1, (ConferenceIssue), C1-C22 View citations (3)

1997

66. Short-Run Dynamics in Cointegrated Systems
    Oxford Bulletin of Economics and Statistics, 1997, 59, (3), 405-22 View citations (87)

1996

67. Persistence of Shocks on Seasonal Processes
    Journal of Applied Econometrics, 1996, 11, (4), 383-98 View citations (3)

Edited books

2005

1. Readings in Unobserved Components Models
   OUP Catalogue, Oxford University Press View citations (38)

Chapters

2016

1. On the Selection of Common Factors for Macroeconomic Forecasting
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 593-628 View citations (2)
   See also Working Paper On the Selection of Common Factors for Macroeconomic Forecasting, Tor Vergata University, CEIS (2015) View citations (6) (2015)

2013

2. Maximum likelihood estimation of time series models: the Kalman filter and beyond
   Chapter 15 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 334-362
   See also Working Paper Maximum likelihood estimation of time series models: the Kalman filter and beyond, University of Sydney Business School, Discipline of Business Analytics (2012) (2012)

2009

3. Structural Time Series Models for Business Cycle Analysis
   Palgrave Macmillan View citations (3)
   See also Working Paper Structural Time Series Models for Business Cycle Analysis, Tor Vergata University, CEIS (2008) View citations (4) (2008)

Editor

1. CEIS Research Paper
   Tor Vergata University, CEIS
2. Statistical Methods & Applications
   Springer