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Details about Tommaso Proietti

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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)

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Working Papers

2017

  1. A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (1705) Downloads

2016

  1. A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2015) Downloads
  2. A generalized exponential time series regression model for electricity prices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2015

  1. EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads
    Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences (2015) Downloads
  2. Exponential Smoothing, Long Memory and Volatility Prediction
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads
    CEIS Research Paper, Tor Vergata University, CEIS (2014) Downloads
  3. Generalised partial autocorrelations and the mutual information between past and future
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads
  4. On the Selection of Common Factors for Macroeconomic Forecasting
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (2)
  5. Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (2)
    Also in FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID) (2014) Downloads
    CEIS Research Paper, Tor Vergata University, CEIS (2014) Downloads View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

    See also Journal Article in International Journal of Forecasting (2016)
  6. Seasonal Changes in Central England Temperatures
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2015) Downloads

2014

  1. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro
    Studies in Economics, School of Economics, University of Kent Downloads View citations (3)

2013

  1. EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    See also Journal Article in International Journal of Forecasting (2015)
  2. Generalised Linear Spectral Models
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
  3. The Exponential Model for the Spectrum of a Time Series: Extensions and Applications
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
    CEIS Research Paper, Tor Vergata University, CEIS (2013) Downloads
  4. The Generalised Autocovariance Function
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2015)

2012

  1. Maximum likelihood estimation of time series models: the Kalman filter and beyond
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads

    See also Chapter (2013)

2011

  1. Bayesian stochastic model specification search for seasonal and calendar effects
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (4)
  2. Characterizing economic trends by Bayesian stochastic model specification search
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2010) Downloads
    MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2014)
  3. Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
    Economics Working Papers, European University Institute Downloads View citations (4)
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2011) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2013)
  4. Patterns of industrial specialisation in post-Unification Italy
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Scandinavian Economic History Review (2013)
  5. 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 Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (1)

    See also Journal Article in Empirical Economics (2015)
  6. The Multistep Beveridge-Nelson Decomposition
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2009) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2009) Downloads

    See also Journal Article in Econometric Reviews (2016)
  7. The Variance Profile
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Journal of the American Statistical Association (2012)

2010

  1. Seasonality, Forecast Extensions and Business Cycle Uncertainty
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Economic Surveys (2012)
  2. Trend Estimation
    MPRA Paper, University Library of Munich, Germany Downloads

2009

  1. Hyper-spherical and Elliptical Stochastic Cycles
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Time Series Analysis (2010)
  2. Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Survey Data as Coicident or Leading Indicators
    Economics Working Papers, European University Institute Downloads View citations (3)
    Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance Downloads View citations (1)

    See also Journal Article in Journal of Forecasting (2010)

2008

  1. A Monthly Indicator of the Euro Area GDP
    Economics Working Papers, European University Institute Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (3)
  2. Direct and iterated multistep AR methods for difference stationary processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2011)
  3. 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 Downloads View citations (6)
  4. Extracting the Cyclical Component in Hours Worked: a Bayesian Approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  5. Has the Volatility of U.S. Inflation Changed and How?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Journal of Time Series Econometrics (2010)
  6. 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 Downloads
    See also Journal Article in Annals of the Institute of Statistical Mathematics (2011)
  7. On the Spectral Properties of Matrices Associated with Trend Filters
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Econometric Theory (2010)
  8. Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (3)
  9. Structural Time Series Models for Business Cycle Analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)
    Also in CEIS Research Paper, Tor Vergata University, CEIS (2008) Downloads View citations (2)
  10. The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
    See also Journal Article in Cliometrica, Journal of Historical Economics and Econometric History (2010)
  11. The comovements of construction in Italy's regions, 1861-1913
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2007

  1. Band Spectral Estimation for Signal Extraction
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    See also Journal Article in Economic Modelling (2008)
  2. Growth accounting for the euro area: a structural approach
    Working Paper Series, European Central Bank Downloads View citations (14)
  3. New proposals for the quantification of qualitative survey data
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (10)
    See also Journal Article in Journal of Forecasting (2011)
  4. Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2006

  1. Measuring Core Inflation by Multivariate Structural Time Series Models
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
  2. On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in Econometrics, EconWPA (2004) Downloads View citations (3)

    See also Journal Article in Econometric Reviews (2009)

2004

  1. Characterising the Business Cycle for Accession Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (17)
    Also in Econometrics, EconWPA (2004) Downloads View citations (30)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (28)
  2. Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints
    Econometrics, EconWPA Downloads View citations (13)
    See also Journal Article in Journal of the Royal Statistical Society Series C (2006)
  3. Forecasting and Signal Extraction with Misspecified Models
    Econometrics, EconWPA Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2005)
  4. On the Estimation of Nonlinearly Aggregated Mixed Models
    Econometrics, EconWPA Downloads View citations (12)
  5. Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited
    Econometrics, EconWPA Downloads View citations (10)
    See also Journal Article in Econometrics Journal (2006)

2003

  1. Dating the Euro Area Business Cycle
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (39)
    Also in Economics Working Papers, European University Institute (2002) Downloads View citations (37)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (45)

2002

  1. Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach
    Economics Working Papers, European University Institute Downloads View citations (28)
    See also Journal Article in Empirical Economics (2007)
  2. Seasonal Specific Structural Time Series Models
    Economics Working Papers, European University Institute Downloads View citations (1)
  3. Some Reflections on Trend-Cycle Decompositions with Correlated Components
    Econometrics, EconWPA Downloads View citations (5)
    Also in Economics Working Papers, European University Institute (2002) Downloads View citations (6)

2000

  1. 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 Downloads
    See also Journal Article in Journal of Time Series Analysis (2003)

1999

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

1993

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

Journal Articles

2016

  1. Component-wise Representations of Long-memory Models and Volatility Prediction
    Journal of Financial Econometrics, 2016, 14, (4), 668-692 Downloads View citations (1)
  2. Outlier detection in structural time series models: The indicator saturation approach
    International Journal of Forecasting, 2016, 32, (1), 180-202 Downloads View citations (4)
    See also Working Paper (2015)
  3. State space modeling of Gegenbauer processes with long memory
    Computational Statistics & Data Analysis, 2016, 100, (C), 115-130 Downloads View citations (3)
  4. The Multistep Beveridge--Nelson Decomposition
    Econometric Reviews, 2016, 35, (3), 373-395 Downloads
    See also Working Paper (2011)

2015

  1. 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 Downloads
    See also Working Paper (2013)
  2. Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
    Empirical Economics, 2015, 48, (3), 983-1011 Downloads View citations (1)
    See also Working Paper (2011)
  3. The generalised autocovariance function
    Journal of Econometrics, 2015, 186, (1), 245-257 Downloads
    See also Working Paper (2013)

2014

  1. Characterising economic trends by Bayesian stochastic model specification search
    Computational Statistics & Data Analysis, 2014, 71, (C), 359-374 Downloads View citations (2)
    See also Working Paper (2011)

2013

  1. Does the Box–Cox transformation help in forecasting macroeconomic time series?
    International Journal of Forecasting, 2013, 29, (1), 88-99 Downloads View citations (7)
    See also Working Paper (2011)
  2. Patterns of industrial specialisation in post-Unification Italy
    Scandinavian Economic History Review, 2013, 61, (3), 259-286 Downloads
    See also Working Paper (2011)

2012

  1. Growth accounting for the euro area
    Empirical Economics, 2012, 43, (1), 219-244 Downloads
  2. SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY
    Journal of Economic Surveys, 2012, 26, (4), 555-569 Downloads
    See also Working Paper (2010)
  3. The Variance Profile
    Journal of the American Statistical Association, 2012, 107, (498), 607-621 Downloads View citations (4)
    See also Working Paper (2011)

2011

  1. Direct and iterated multistep AR methods for difference stationary processes
    International Journal of Forecasting, 2011, 27, (2), 266-280 Downloads View citations (4)
    Also in International Journal of Forecasting, 2011, 27, (2), 266-280 (2011) Downloads View citations (4)

    See also Working Paper (2008)
  2. 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 (29)
  3. Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints
    International Statistical Review, 2011, 79, (3), 455-476 Downloads View citations (5)
  4. Extracting the Cyclical Component in Hours Worked
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 1-28 Downloads View citations (2)
  5. Multivariate temporal disaggregation with cross-sectional constraints
    Journal of Applied Statistics, 2011, 38, (7), 1455-1466 Downloads View citations (2)
  6. New proposals for the quantification of qualitative survey data
    Journal of Forecasting, 2011, 30, (4), 393-408 Downloads View citations (2)
    See also Working Paper (2007)
  7. 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 Downloads
    See also Working Paper (2008)

2010

  1. Has the Volatility of U.S. Inflation Changed and How?
    Journal of Time Series Econometrics, 2010, 2, (1), 1-22 Downloads View citations (5)
    See also Working Paper (2008)
  2. Hyper-spherical and elliptical stochastic cycles
    Journal of Time Series Analysis, 2010, 31, (3), 169-181 Downloads View citations (10)
    See also Working Paper (2009)
  3. ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS
    Econometric Theory, 2010, 26, (04), 1247-1261 Downloads
    See also Working Paper (2008)
  4. Survey data as coincident or leading indicators
    Journal of Forecasting, 2010, 29, (1-2), 109-131 Downloads View citations (19)
    See also Working Paper (2009)
  5. 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 Downloads View citations (4)
    See also Working Paper (2008)

2009

  1. On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
    Econometric Reviews, 2009, 28, (1-3), 186-208 Downloads View citations (5)
    See also Working Paper (2006)
  2. Transformations and seasonal adjustment
    Journal of Time Series Analysis, 2009, 30, (1), 47-69 Downloads View citations (5)

2008

  1. Band spectral estimation for signal extraction
    Economic Modelling, 2008, 25, (1), 54-69 Downloads View citations (3)
    See also Working Paper (2007)
  2. 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 Downloads

2007

  1. 2nd Special Issue on Statistical Signal Extraction and Filtering
    Computational Statistics & Data Analysis, 2007, 52, (2), 817-820 Downloads
  2. Estimating potential output and the output gap for the euro area: a model-based production function approach
    Empirical Economics, 2007, 33, (1), 85-113 Downloads View citations (34)
    See also Working Paper (2002)
  3. Signal extraction and filtering by linear semiparametric methods
    Computational Statistics & Data Analysis, 2007, 52, (2), 935-958 Downloads View citations (8)

2006

  1. Dynamic factor analysis with non-linear temporal aggregation constraints
    Journal of the Royal Statistical Society Series C, 2006, 55, (2), 281-300 Downloads View citations (41)
    See also Working Paper (2004)
  2. Temporal disaggregation by state space methods: Dynamic regression methods revisited
    Econometrics Journal, 2006, 9, (3), 357-372 Downloads View citations (35)
    See also Working Paper (2004)
  3. Trend-Cycle Decompositions with Correlated Components
    Econometric Reviews, 2006, 25, (1), 61-84 Downloads View citations (25)

2005

  1. 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 Downloads View citations (11)
  2. Convergence in Italian regional per-capita GDP
    Applied Economics, 2005, 37, (5), 497-506 Downloads View citations (12)
  3. Forecasting and signal extraction with misspecified models
    Journal of Forecasting, 2005, 24, (8), 539-556 Downloads View citations (8)
    See also Working Paper (2004)
  4. New algorithms for dating the business cycle
    Computational Statistics & Data Analysis, 2005, 49, (2), 477-498 Downloads View citations (8)

2004

  1. Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
    Oxford Bulletin of Economics and Statistics, 2004, 66, (4), 537-565 Downloads View citations (55)
  2. Introduction
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-5 Downloads
  3. Seasonal Specific Structural Time Series
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-22 Downloads View citations (6)

2003

  1. Forecasting the US unemployment rate
    Computational Statistics & Data Analysis, 2003, 42, (3), 451-476 Downloads View citations (16)
  2. LEAVE-K-OUT DIAGNOSTICS IN STATE-SPACE MODELS
    Journal of Time Series Analysis, 2003, 24, (2), 221-236 Downloads View citations (5)
    See also Working Paper (2000)

2000

  1. A Beveridge-Nelson smoother
    Economics Letters, 2000, 67, (2), 139-146 Downloads View citations (10)
  2. Comparing seasonal components for structural time series models
    International Journal of Forecasting, 2000, 16, (2), 247-260 Downloads View citations (16)

1998

  1. Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 1-18 Downloads View citations (13)
  2. Spurious periodic autoregressions
    Econometrics Journal, 1998, 1, (ConferenceIssue), C1-C22 View citations (2)

1997

  1. Short-Run Dynamics in Cointegrated Systems
    Oxford Bulletin of Economics and Statistics, 1997, 59, (3), 405-22 View citations (74)

1996

  1. Persistence of Shocks on Seasonal Processes
    Journal of Applied Econometrics, 1996, 11, (4), 383-98 Downloads View citations (2)

Edited books

2005

  1. Readings in Unobserved Components Models
    OUP Catalogue, Oxford University Press View citations (19)

Chapters

2013

  1. 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 Downloads
    See also Working Paper (2012)

Editor

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