Details about Gabriele Fiorentini

Homepage:	https://sites.google.com/unifi.it/gabrielefiorentini/
Workplace:	Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (Department of Statistics), Università degli Studi di Firenze (University of Florence), (more information at EDIRC)

Access statistics for papers by Gabriele Fiorentini.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pfi82

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Working Papers

2025

1. The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities
   Working Papers, CEMFI

2024

2. Identification of one independent shock in structural VARs
   LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
3. The information matrix test for Gaussian mixtures
   Working Papers, CEMFI

2022

4. GDP Solera. The Ideal Vintage Mix
   Working Papers, CEMFI
   Also in Staff Reports, Federal Reserve Bank of New York (2022) View citations (4)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   See also Journal Article GDP Solera: The Ideal Vintage Mix, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)
5. PML vs minimum χ 2: the comeback
   Working Papers, CEMFI View citations (2)
6. Specification tests for non-Gaussian structural vector autoregressions
   Working Papers, CEMFI View citations (1)
   See also Journal Article Specification tests for non-Gaussian structural vector autoregressions, Journal of Econometrics, Elsevier (2024) (2024)

2021

7. Aggregate Output Measurements: A Common Trend Approach
   Staff Reports, Federal Reserve Bank of New York View citations (1)
   Also in Working Papers, CEMFI (2021) View citations (1)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021) View citations (4)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (4)
   Working Paper series, Rimini Centre for Economic Analysis (2021) View citations (2)
   See also Chapter Aggregate Output Measurements: A Common Trend Approach, Advances in Econometrics, Emerald Group Publishing Limited (2023) (2023)
8. Moment tests of independent components
   Working Papers, CEMFI View citations (2)
   See also Journal Article Moment tests of independent components, SERIEs: Journal of the Spanish Economic Association, Springer (2022) View citations (4) (2022)
9. Multivariate Hermite polynomials and information matrix tests
   Working Papers, CEMFI View citations (3)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2021)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)
10. Tests for random coefficient variation in vector autoregressive models
    Working Papers, CEMFI
    Also in Working Paper series, Rimini Centre for Economic Analysis (2021)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)
    See also Chapter Tests for Random Coefficient Variation in Vector Autoregressive Models, Advances in Econometrics, Emerald Group Publishing Limited (2022) (2022)

2020

11. Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in Working Papers, CEMFI (2020) View citations (7)
    See also Journal Article Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions, Journal of Econometrics, Elsevier (2023) View citations (9) (2023)

2019

12. Dynamic specification tests for dynamic factor models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (2)
    Also in Working Papers, CEMFI (2013) View citations (4)
    See also Journal Article Dynamic specification tests for dynamic factor models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (1) (2019)
13. New testing approaches for mean-variance predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Paper series, Rimini Centre for Economic Analysis (2019)
    Working Papers, CEMFI (2018)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2019) View citations (1)
    See also Journal Article New testing approaches for mean–variance predictability, Journal of Econometrics, Elsevier (2021) (2021)

2018

14. Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators
    Working Papers, CEMFI View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4)
    See also Journal Article Consistent non-Gaussian pseudo maximum likelihood estimators, Journal of Econometrics, Elsevier (2019) View citations (4) (2019)
15. Specification Tests for Non-Gaussian Maximum Likelihood Estimators
    Working Papers, CEMFI View citations (1)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (1)
    Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (3)
    See also Journal Article Specification tests for non‐Gaussian maximum likelihood estimators, Quantitative Economics, Econometric Society (2021) View citations (2) (2021)
16. The Rise and Fall of the Natural Interest Rate
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (27)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (32)
    Working Papers, CEMFI (2018) View citations (34)
    Working Papers, Banco de España (2018) View citations (37)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (32)

2016

17. A spectral EM algorithm for dynamic factor models
    Working Papers, Banco de España View citations (2)
    Also in Working Papers, CEMFI (2014) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
    See also Journal Article A spectral EM algorithm for dynamic factor models, Journal of Econometrics, Elsevier (2018) View citations (17) (2018)

2015

18. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
    Working Papers, CEMFI
    Also in Working Papers, Banco de España (2015)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    See also Chapter Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (2) (2016)

2014

19. Neglected Serial Correlation Tests in UCARIMA Models
    Working Papers, CEMFI View citations (2)
    See also Journal Article Neglected serial correlation tests in UCARIMA models, SERIEs: Journal of the Spanish Economic Association, Springer (2016) View citations (4) (2016)

2012

20. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI View citations (3)
    See also Journal Article Sequential estimation of shape parameters in multivariate dynamic models, Journal of Econometrics, Elsevier (2013) View citations (16) (2013)
21. Tests for Serial Dependence in Static, Non-Gaussian Factor Models
    Working Papers, CEMFI View citations (3)

2010

22. Dynamic Specification Tests for Static Factor Models
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, CEMFI (2009) View citations (5)

2008

23. The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)

2007

24. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks, Journal of Econometrics, Elsevier (2008) View citations (36) (2008)
25. On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models
    Working Papers, CEMFI View citations (25)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (40)

2004

26. Indirect Estimation of Conditionally Heteroskedastic Factor Models
    Working Papers, CEMFI View citations (16)
27. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (43)
    Also in Working Papers, CEMFI (2002)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (4)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2002)
    FMG Discussion Papers, Financial Markets Group (2003) View citations (5)
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations (4)
    See also Journal Article Likelihood-Based Estimation of Latent Generalized ARCH Structures, Econometrica, Econometric Society (2004) View citations (38) (2004)

2003

28. Likelihood-based estimation of latent generalised ARCH
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
29. On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models
    Working Papers, CEMFI View citations (1)
    See also Journal Article On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models, Economics Letters, Elsevier (2004) View citations (28) (2004)

2001

30. Constrained Indirect Inference Estimation
    FMG Discussion Papers, Financial Markets Group View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (1)

2000

31. CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (3)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (3)
32. Constrained EMM and Indirect Inference Estimation. Versión Revisada
    Working Papers, CEMFI View citations (1)
33. SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
    Also in Studies on the Spanish Economy, FEDEA View citations (2)
34. THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (7)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (6)
    See also Journal Article Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (152) (2003)
35. The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada
    Working Papers, CEMFI

1999

36. Indirect Estimation of Just-Identified Models with Control Variates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (5)

1998

37. - CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (10)
    Also in MPRA Paper, University Library of Munich, Germany (1996) View citations (3)
    See also Journal Article Control variates for variance reduction in indirect inference: Interest rate models in continuous time, Econometrics Journal, Royal Economic Society (1998) View citations (11) (1998)
38. - NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

1997

39. A tobit model with garch errors
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (1)
    See also Journal Article A tobit model with garch errors, Econometric Reviews, Taylor & Francis Journals (1998) View citations (15) (1998)
40. Conditional means of time series processes and time series processes for conditional means
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
    Also in Working Papers, CEMFI (1996) View citations (1)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1996) View citations (1)
    See also Journal Article Conditional Means of Time Series Processes and Time Series Processes for Conditional Means, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (24) (1998)
41. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (36)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) View citations (4)
    See also Journal Article Identification, estimation and testing of conditionally heteroskedastic factor models, Journal of Econometrics, Elsevier (2001) View citations (215) (2001)
42. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada
    Working Papers, CEMFI

1996

43. Non-Admissible Decompositions in Unobserved Components Models
    Working Papers, CEMFI
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1996)

1995

44. Analytic Derivatives and the Computation of GARCH Estimates
    Working Papers, CEMFI
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (11)
    See also Journal Article Analytic Derivatives and the Computation of GARCH Estimates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) View citations (87) (1996)
45. Unobserved Components in ARCH Models: An Application to Seasonal Adjustment
    Working Papers, CEMFI
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (8)

1994

46. Conditional heteroskedasticity in nonlinear simultaneous equations
    MPRA Paper, University Library of Munich, Germany View citations (4)

1993

47. Alternative estimators of the covariance matrix in GARCH models
    MPRA Paper, University Library of Munich, Germany View citations (3)
48. Estimating variances and covariances in a censored regression model
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

1. GDP Solera: The Ideal Vintage Mix
   Journal of Business & Economic Statistics, 2024, 42, (3), 984-997
   See also Working Paper GDP Solera. The Ideal Vintage Mix, Working Papers (2022) (2022)
2. Specification tests for non-Gaussian structural vector autoregressions
   Journal of Econometrics, 2024, 244, (2)
   See also Working Paper Specification tests for non-Gaussian structural vector autoregressions, Working Papers (2022) View citations (1) (2022)

2023

3. Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
   Journal of Econometrics, 2023, 235, (2), 643-665 View citations (9)
   See also Working Paper Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions, CEPR Discussion Papers (2020) View citations (9) (2020)
4. PML versus minimum $${\chi }^{2}$$ χ 2: the comeback
   SERIEs: Journal of the Spanish Economic Association, 2023, 14, (3), 253-300

2022

5. Moment tests of independent components
   SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 429-474 View citations (4)
   See also Working Paper Moment tests of independent components, Working Papers (2021) View citations (2) (2021)

2021

6. New testing approaches for mean–variance predictability
   Journal of Econometrics, 2021, 222, (1), 516-538
   See also Working Paper New testing approaches for mean-variance predictability, CEPR Discussion Papers (2019) (2019)
7. Specification tests for non‐Gaussian maximum likelihood estimators
   Quantitative Economics, 2021, 12, (3), 683-742 View citations (2)
   See also Working Paper Specification Tests for Non-Gaussian Maximum Likelihood Estimators, Working Papers (2018) View citations (1) (2018)

2019

8. Consistent non-Gaussian pseudo maximum likelihood estimators
   Journal of Econometrics, 2019, 213, (2), 321-358 View citations (4)
   See also Working Paper Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators, Working Papers (2018) View citations (6) (2018)
9. Dynamic specification tests for dynamic factor models
   Journal of Applied Econometrics, 2019, 34, (3), 325-346 View citations (1)
   See also Working Paper Dynamic specification tests for dynamic factor models, Econometrics Working Papers Archive (2019) View citations (2) (2019)

2018

10. A spectral EM algorithm for dynamic factor models
    Journal of Econometrics, 2018, 205, (1), 249-279 View citations (17)
    See also Working Paper A spectral EM algorithm for dynamic factor models, Working Papers (2016) View citations (2) (2016)

2017

11. Marginal distribution of Markov-switching VAR processes
    Communications in Statistics - Theory and Methods, 2017, 46, (13), 6605-6623

2016

12. Neglected serial correlation tests in UCARIMA models
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 121-178 View citations (4)
    See also Working Paper Neglected Serial Correlation Tests in UCARIMA Models, Working Papers (2014) View citations (2) (2014)
13. Skewness and kurtosis of multivariate Markov-switching processes
    Computational Statistics & Data Analysis, 2016, 100, (C), 153-159 View citations (1)

2014

14. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 193-198

2013

15. Sequential estimation of shape parameters in multivariate dynamic models
    Journal of Econometrics, 2013, 177, (2), 233-249 View citations (16)
    See also Working Paper Sequential Estimation of Shape Parameters in Multivariate Dynamic Models, Working Papers (2012) View citations (3) (2012)

2012

16. The marginal likelihood of dynamic mixture models
    Computational Statistics & Data Analysis, 2012, 56, (9), 2650-2662 View citations (3)

2008

17. Bayesian Analysis of the Output Gap
    Journal of Business & Economic Statistics, 2008, 26, 18-32 View citations (42)
18. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Journal of Econometrics, 2008, 146, (1), 10-25 View citations (36)
    See also Working Paper Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks, Working Paper series (2007) View citations (1) (2007)

2004

19. Constrained Indirect Estimation
    The Review of Economic Studies, 2004, 71, (4), 945-973 View citations (62)
20. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations (38)
    See also Working Paper Likelihood-based estimation of latent generalised ARCH structures, OFRC Working Papers Series (2004) View citations (43) (2004)
21. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 View citations (28)
    See also Working Paper On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models, Working Papers (2003) View citations (1) (2003)

2003

22. Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations
    Journal of Business & Economic Statistics, 2003, 21, (4), 532-46 View citations (152)
    See also Working Paper THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY, Working Papers. Serie AD (2000) View citations (7) (2000)

2002

23. Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market
    Journal of Empirical Finance, 2002, 9, (2), 225-255 View citations (20)

2001

24. Identification, estimation and testing of conditionally heteroskedastic factor models
    Journal of Econometrics, 2001, 102, (2), 143-164 View citations (215)
    See also Working Paper Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model, Working Papers (1997) View citations (36) (1997)
25. Indirect inference and variance reduction using control variates
    Metron - International Journal of Statistics, 2001, LIX, (1-2), 39-53 View citations (1)
26. Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction
    Journal of Business & Economic Statistics, 2001, 19, (4), 455-64 View citations (3)

1998

27. A tobit model with garch errors
    Econometric Reviews, 1998, 17, (1), 85-104 View citations (15)
    See also Working Paper A tobit model with garch errors, Working Papers. Serie AD (1997) View citations (1) (1997)
28. Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
    International Economic Review, 1998, 39, (4), 1101-18 View citations (24)
    See also Working Paper Conditional means of time series processes and time series processes for conditional means, Working Papers. Serie AD (1997) (1997)
29. Control variates for variance reduction in indirect inference: Interest rate models in continuous time
    Econometrics Journal, 1998, 1, (ConferenceIssue), C100-C112 View citations (11)
    See also Working Paper - CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME, Working Papers. Serie AD (1998) View citations (10) (1998)

1996

30. Analytic Derivatives and the Computation of GARCH Estimates
    Journal of Applied Econometrics, 1996, 11, (4), 399-417 View citations (87)
    See also Working Paper Analytic Derivatives and the Computation of GARCH Estimates, Working Papers (1995) (1995)

1993

31. Alternative covariance estimators of the standard Tobit model
    Economics Letters, 1993, 42, (1), 5-13 View citations (8)

Chapters

2023

1. Aggregate Output Measurements: A Common Trend Approach
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 3-33
   See also Working Paper Aggregate Output Measurements: A Common Trend Approach, Federal Reserve Bank of New York (2021) View citations (1) (2021)

2022

2. Tests for Random Coefficient Variation in Vector Autoregressive Models
   A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44B, pp 1-35
   See also Working Paper Tests for random coefficient variation in vector autoregressive models, CEMFI (2021) (2021)

2016

3. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 215-282 View citations (2)
   See also Working Paper Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation, CEMFI (2015) (2015)