Details about Massimo Franchi

Access statistics for papers by Massimo Franchi.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pfr177

Working Papers

2024

1. Canonical correlation analysis of stochastic trends via functional approximation
   Papers, arXiv.org
2. The general solution to an autoregressive law of motion
   Papers, arXiv.org
   Also in Working Papers, University of Sydney, School of Economics (2024)

2019

3. Cointegration, root functions and minimal bases
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome View citations (1)
   See also Journal Article Cointegration, Root Functions and Minimal Bases, Econometrics, MDPI (2021) View citations (2) (2021)

2018

4. Cointegration in functional autoregressive processes
   Papers, arXiv.org View citations (5)
   Also in DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2017)
   See also Journal Article COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES, Econometric Theory, Cambridge University Press (2020) View citations (7) (2020)

2017

5. A general inversion theorem for cointegration
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome View citations (5)
   See also Journal Article A general inversion theorem for cointegration, Econometric Reviews, Taylor & Francis Journals (2019) View citations (10) (2019)
6. Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
   Also in Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (5)
   See also Journal Article Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles, Econometrics, MDPI (2017) View citations (4) (2017)

2014

7. Inverting a matrix function around a singularity via local rank factorization
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome

2013

8. Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome View citations (5)

2012

9. A simple check for VAR representations of DSGE models
   DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome
10. On ABCs (and Ds) of VAR representations of DSGE models
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2012) View citations (1)

2011

11. Normal forms of regular matrix polynomials via local rank factorization
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome

2007

12. Taking a DSGE Model to the Data Meaningfully
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (26)
    See also Journal Article Taking a DSGE Model to the Data Meaningfully, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2007) View citations (23) (2007)

2006

13. A General Representation Theorem for Integrated Vector Autoregressive Processes
    Discussion Papers, University of Copenhagen. Department of Economics View citations (2)

2004

14. A Priori Inequality Restrictions and Bound Analysis in VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics

2002

15. A Non-Causal Identification Scheme for Vector Autoregressions
    Computing in Economics and Finance 2002, Society for Computational Economics

Undated

16. The Integration Order of Vector Autoregressive Processes
    Discussion Papers, University of Copenhagen. Department of Economics
    See also Journal Article THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES, Econometric Theory, Cambridge University Press (2007) View citations (5) (2007)

Journal Articles

2021

1. Cointegration, Root Functions and Minimal Bases
   Econometrics, 2021, 9, (3), 1-27 View citations (2)
   See also Working Paper Cointegration, root functions and minimal bases, DSS Empirical Economics and Econometrics Working Papers Series (2019) View citations (1) (2019)

2020

2. COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES
   Econometric Theory, 2020, 36, (5), 803-839 View citations (7)
   See also Working Paper Cointegration in functional autoregressive processes, Papers (2018) View citations (5) (2018)

2019

3. A general inversion theorem for cointegration
   Econometric Reviews, 2019, 38, (10), 1176-1201 View citations (10)
   See also Working Paper A general inversion theorem for cointegration, DSS Empirical Economics and Econometrics Working Papers Series (2017) View citations (5) (2017)

2018

4. Testing for cointegration in I(1) state space systems via a finite order approximation
   Economics Letters, 2018, 165, (C), 73-76

2017

5. Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
   Econometrics, 2017, 5, (2), 1-20 View citations (4)
   See also Working Paper Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles, CREATES Research Papers (2017) View citations (5) (2017)

2015

6. Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation
   Computational Economics, 2015, 46, (4), 613-626 View citations (19)

2013

7. A check for finite order VAR representations of DSGE models
   Economics Letters, 2013, 120, (1), 100-103 View citations (23)

2011

8. A characterization of vector autoregressive processes with common cyclical features
   Journal of Econometrics, 2011, 163, (1), 105-117 View citations (11)
9. Multiple equilibria in Spanish unemployment
   Structural Change and Economic Dynamics, 2011, 22, (1), 71-80 View citations (4)

2010

10. A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS
    Econometric Theory, 2010, 26, (4), 1201-1217 View citations (12)

2008

11. Common smooth transition trend-stationarity in European unemployment
    Economics Letters, 2008, 101, (2), 106-109 View citations (10)

2007

12. THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES
    Econometric Theory, 2007, 23, (3), 546-553 View citations (5)
    See also Working Paper The Integration Order of Vector Autoregressive Processes, Discussion Papers
13. Taking a DSGE Model to the Data Meaningfully
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2007, 1, 1-38 View citations (23)
    See also Working Paper Taking a DSGE Model to the Data Meaningfully, Economics Discussion Papers (2007) View citations (26) (2007)