Details about Massimiliano Marcellino

Access statistics for papers by Massimiliano Marcellino.

Last updated 2009-09-21. Update your information in the RePEc Author Service.

Short-id: pma114

Working Papers

2009

1. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
   Economics Working Papers, European University Institute
2. Forecasting with Factor-Augmented Error Correction Models
   Discussion Papers, Department of Economics, University of Birmingham View citations
   Also in RSCAS Working Papers, European University Institute (2009) View citations
3. MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre View citations
4. MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area
   Economics Working Papers, European University Institute
5. Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP
   Economics Working Papers, European University Institute View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2009)
6. Survey Data as Coicident or Leading Indicators
   Economics Working Papers, European University Institute
   Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance

2008

7. A Measure for Credibility: Tracking US Monetary Developments
   Economics Working Papers, European University Institute View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008)
   DNB Working Papers, Netherlands Central Bank, Research Department (2008) View citations
8. A Monthly Indicator of the Euro Area GDP
   Economics Working Papers, European University Institute View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008)
9. A Shrinkage Instrumental Variable Estimator for Large Datasets
   Working Papers, Queen Mary, University of London, Department of Economics
10. Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
    Working Papers, Queen Mary, University of London, Department of Economics
11. Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
    Economics Working Papers, European University Institute View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2007)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations
12. Factor-augmented Error Correction Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    Also in Economics Working Papers, European University Institute (2008) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations
13. Forecasting Exchange Rates with a Large Bayesian VAR
    Working Papers, Queen Mary, University of London, Department of Economics
    Also in Economics Working Papers, European University Institute (2008)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008)
    See also Journal Article in International Journal of Forecasting (2009)
14. Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
    Economics Working Papers, European University Institute View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008)
15. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary, University of London, Department of Economics
16. Path Forecast Evaluation
    Economics Working Papers, European University Institute
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008)
    Working Papers, University of California at Davis, Department of Economics (2008)

2007

17. A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
    Working Papers, Queen Mary, University of London, Department of Economics View citations
    See also Journal Article in International Journal of Forecasting (2007)
18. Econometric analyses with backdated data - unified Germany and the euro area
    Working Paper Series, European Central Bank View citations
19. Factor Analysis in a Model with Rational Expectations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrics Journal (2008)
20. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary, University of London, Department of Economics
21. Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
22. Sectoral Survey-based Confidence Indicators for Europe
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations

2006

23. A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Time Series Analysis (2009)
24. A Simple Benchmark for Forecasts of Growth and Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
25. Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
    Working Papers, Queen Mary, University of London, Department of Economics View citations
26. Forecasting Euro-Area Variables with German Pre-EMU Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
    Also in Economics Working Papers, European University Institute (2006) View citations
    See also Journal Article in Journal of Forecasting (2008)
27. Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006)
28. Regional Inflation Dynamics within and across Euro Area and a Comparison with the US
    Computing in Economics and Finance 2006, Society for Computational Economics
29. Regional inflation dynamics within and across euro area countries and a comparison with the US
    Working Paper Series, European Central Bank View citations
30. The Role of Search Frictions and Bargaining for Inflation Dynamics
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations

2005

31. A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) View citations
    See also Journal Article in Journal of Econometrics (2006)
32. Factor Analysis in a New-Keynesian Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2005) View citations
33. Forecasting macroeconomic variables for the new member states of the European Union
    Working Paper Series, European Central Bank View citations
34. Leading Indicators: What Have We Learned?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) View citations
35. Modelling and Forecasting Fiscal Variables for the Euro Area
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
36. Pooling-based Data Interpolation and Backdating
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005)
    See also Journal Article in Journal of Time Series Analysis (2007)

2004

37. Characterising the Business Cycle for Accession Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Econometrics, EconWPA (2004) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
38. Forecasting Macroeconomic Variables for the Acceding Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
39. Interpolation and Backdating with A Large Information Set
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2003) View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2003

40. A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
    Working Papers, Queen Mary, University of London, Department of Economics View citations
41. Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Economics Working Papers, European University Institute (2002) View citations
    See also Journal Article in International Journal of Forecasting (2006)
42. Dating the Euro Area Business Cycle
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    Also in Economics Working Papers, European University Institute (2002) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations
43. Leading Indicators for Euro Area Inflation and GDP Growth
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2003)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
44. The Transmission Mechanism in a Changing World
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Economics Working Papers, European University Institute (2003) View citations
    See also Journal Article in Journal of Applied Econometrics (2007)
45. Time-Scale Transformations of Discrete-Time Processes
    Working Papers, University of California at Davis, Department of Economics View citations
    See also Journal Article in Journal of Time Series Analysis (2004)

2002

46. Factor Based Index Tracking
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Journal Article in Journal of Banking & Finance (2006)
47. Factor Forecasts for the UK
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Economics Working Papers, European University Institute (2001) View citations
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
48. Forecast Pooling for Short Time Series of Macroeconomic Variables
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
49. Forecasting EMU Macroeconomic Variables
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Journal Article in International Journal of Forecasting (2004)
50. Instability and Non-Linearity in the EMU
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
51. Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Journal of Macroeconomics (2006)
52. Testing for PPP: Should We Use Panel Methods?
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Empirical Economics (2005)
53. interpolation with a large information set
    Computing in Economics and Finance 2002, Society for Computational Economics View citations

2001

54. A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Empirical Economics (2002)
55. Large Datasets, Small Models and Monetary Policy in Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
56. Robust Decision Theory and the Lucas Critique
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    See also Journal Article in Macroeconomic Dynamics (2002)
57. Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Journal of Applied Econometrics (2001)

2000

58. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
    Economics Working Papers, European University Institute View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Econometrics Journal (2004)
59. Stochastic Processes Subject to Time Scale Transformations: An Application to High-Frequency FX Data
    Working Papers, University of California at Davis, Department of Economics
    Also in Department of Economics, California Davis - Department of Economics
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
60. Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1999

61. Fiscal Forecasting: the Track Record of the IMF, OECD and EC
    Economics Working Papers, European University Institute View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations
    See also Journal Article in Econometrics Journal (2001)
62. Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Journal Article in Economic Modelling (2000)

1998

63. Fiscal Solvency and Fiscal Forecasting in Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    Economics Working Papers, European University Institute (1998) View citations

1997

64. Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures
    Economics Working Papers, European University Institute View citations

1996

65. Some Temporal Aggregation Issues in Empirical Analysis
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

Undated

66. Ex Post and Ex Ante Analysis of Provisional Data
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
67. Further Results on MSFE Encompassing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
68. Linear Aggregation with Common Trends and Cycles
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Journal Article in Research in Economics (2000)
69. Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in European Economic Review (2003)
70. Model Selection for Non-Linear Dynamic Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
71. Principal components at work: The empirical analysis of monetary policy with large datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Journal of Applied Econometrics (2005)
72. Public Capital and Economic Performance: Evidence from Italy
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in Giornale degli Economisti (2000)
73. TFP, Costs, and Public Infrastructure: An Equivocal Relationship
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations

Journal Articles

2009

1. A parametric estimation method for dynamic factor models of large dimensions
   Journal of Time Series Analysis, 2009, 30, (2), 208-238
   See also Working Paper (2006)
2. Forecasting exchange rates with a large Bayesian VAR
   International Journal of Forecasting, 2009, 25, (2), 400-417 View citations
   See also Working Paper (2008)
3. Regional inflation dynamics within and across euro area countries and a comparison with the United States
   Economic Policy, 2009, 24, 141-184 View citations

2008

4. A linear benchmark for forecasting GDP growth and inflation?
   Journal of Forecasting, 2008, 27, (4), 305-340 View citations
5. Factor analysis in a model with rational expectations
   Econometrics Journal, 2008, 11, (2), 271-286
   See also Working Paper (2007)
6. Forecasting euro area variables with German pre-EMU data
   Journal of Forecasting, 2008, 27, (6), 465-481 View citations
   See also Working Paper (2006)
7. Foreword
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714
8. Guest Editors' Introduction to Special Issue on Encompassing
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719
9. Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-specified Models
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 867-893

2007

10. A comparison of methods for the construction of composite coincident and leading indexes for the UK
    International Journal of Forecasting, 2007, 23, (2), 219-236 View citations
    See also Working Paper (2007)
11. A macroeconometric model for the Euro economy
    Journal of Policy Modeling, 2007, 29, (1), 1-13 View citations
12. Pooling-Based Data Interpolation and Backdating
    Journal of Time Series Analysis, 2007, 28, (1), 53-71
    See also Working Paper (2005)
13. The transmission mechanism in a changing world
    Journal of Applied Econometrics, 2007, 22, (1), 39-61 View citations
    See also Working Paper (2003)

2006

14. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    Journal of Econometrics, 2006, 135, (1-2), 499-526 View citations
    See also Working Paper (2005)
15. Are there any reliable leading indicators for US inflation and GDP growth?
    International Journal of Forecasting, 2006, 22, (1), 137-151 View citations
    See also Working Paper (2003)
16. Factor based index tracking
    Journal of Banking & Finance, 2006, 30, (8), 2215-2233
    See also Working Paper (2002)
17. Interpolation and backdating with a large information set
    Journal of Economic Dynamics and Control, 2006, 30, (12), 2693-2724 View citations
    See also Working Paper (2004)
18. Some stylized facts on non-systematic fiscal policy in the Euro area
    Journal of Macroeconomics, 2006, 28, (3), 461-479 View citations
    See also Working Paper (2002)

2005

19. Leading Indicators for Euro-area Inflation and GDP Growth
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 785-813 View citations
    See also Working Paper (2003)
20. Modelling and Forecasting Fiscal Variables for the Euro Area
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 755-783 View citations
    See also Working Paper (2005)
21. Principal components at work: the empirical analysis of monetary policy with large data sets
    Journal of Applied Econometrics, 2005, 20, (5), 603-620 View citations
    See also Working Paper
22. Testing for PPP: Should we use panel methods?
    Empirical Economics, 2005, 30, (1), 77-91 View citations
    See also Working Paper (2002)

2004

23. 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
24. Forecast Pooling for European Macroeconomic Variables
    Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 91-112 View citations
25. Forecasting EMU macroeconomic variables
    International Journal of Forecasting, 2004, 20, (2), 359-372 View citations
    See also Working Paper (2002)
26. Some cautions on the use of panel methods for integrated series of macroeconomic data
    Econometrics Journal, 2004, 7, (2), 322-340 View citations
    See also Working Paper (2000)
27. Time-scale transformations of discrete time processes
    Journal of Time Series Analysis, 2004, 25, (6), 873-894 View citations
    See also Working Paper (2003)

2003

28. MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
    Macroeconomic Dynamics, 2003, 7, (04), 618-635 View citations
29. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
    European Economic Review, 2003, 47, (1), 1-18 View citations
    See also Working Paper

2002

30. A Markov-switching vector equilibrium correction model of the UK labour market
    Empirical Economics, 2002, 27, (2), 233-254 View citations
    See also Working Paper (2001)
31. ROBUST DECISION THEORY AND THE LUCAS CRITIQUE
    Macroeconomic Dynamics, 2002, 6, (01), 167-185 View citations
    See also Working Paper (2001)

2001

32. Fiscal forecasting: The track record of the IMF, OECD and EC
    Econometrics Journal, 2001, 4, (1), S20-S36 View citations
    See also Working Paper (1999)
33. Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994
    Journal of Applied Econometrics, 2001, 16, (3), 359-370 View citations
    See also Working Paper (2001)

2000

34. Forecast Bias and MSFE Encompassing
    Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 533-42 View citations
35. Linear aggregation with common trends and cycles
    Research in Economics, 2000, 54, (2), 117-131
    See also Working Paper
36. Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK
    Economic Modelling, 2000, 17, (3), 387-413 View citations
    See also Working Paper (1999)
37. Public Capital and Economic Performance: Evidence from Italy
    Giornale degli Economisti, 2000, 59, (2), 221-244 View citations
    See also Working Paper

1999

38. Some Consequences of Temporal Aggregation in Empirical Analysis
    Journal of Business & Economic Statistics, 1999, 17, (1), 129-36 View citations

Chapters

2006

1. Leading Indicators
   Elsevier View citations