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Details about Raffaella Giacomini

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Homepage:http://raffaellagiacomini.wix.com/research
Workplace:Department of Economics, University College London (UCL), (more information at EDIRC)

Access statistics for papers by Raffaella Giacomini.

Last updated 2021-08-24. Update your information in the RePEc Author Service.

Short-id: pgi20


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Working Papers

2021

  1. Identification and Inference Under Narrative Restrictions
    Papers, arXiv.org Downloads View citations (12)

2020

  1. Robust Bayesian Inference in Proxy SVARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019) Downloads View citations (12)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2020) Downloads View citations (2)
  2. Robust Bayesian inference for set-identified models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (10)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) Downloads View citations (23)

    See also Journal Article Robust Bayesian Inference for Set‐Identified Models, Econometrica, Econometric Society (2021) Downloads View citations (26) (2021)
  3. Uncertain Identification
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) Downloads

2019

  1. Estimation Under Ambiguity
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (7)
  2. Incentive-driven Inattention
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (3)
    Working Papers Series, Central Bank of Brazil, Research Department (2018) Downloads View citations (6)

2018

  1. Impact of uncertainty shocks on the global economy
    Post-Print, HAL View citations (5)
    Also in Post-Print, HAL (2017) View citations (2)
  2. Models, Inattention and Bayesian Updates
    Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. Downloads

2016

  1. Models, inattention and expectation updates
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (4)
    Also in Discussion Papers, Centre for Macroeconomics (CFM) (2015) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (5)
  2. Stress Testing with Misspecified Models
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (8)

2015

  1. Model comparisons in unstable environments
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (1)
    Working Papers, Barcelona School of Economics (2014) Downloads View citations (3)
    Working Papers, Duke University, Department of Economics (2010) Downloads View citations (10)
    Working Papers, Duke University, Department of Economics (2009) Downloads View citations (6)

    See also Journal Article MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2016) Downloads View citations (4) (2016)

2014

  1. Anchoring the yield curve using survey expectations
    Working Paper Series, European Central Bank Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (10)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (14)

    See also Journal Article Anchoring the yield curve using survey expectations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (26) (2017)
  2. Economic theory and forecasting: lessons from the literature
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads View citations (7)

    See also Journal Article Economic theory and forecasting: lessons from the literature, Econometrics Journal, Royal Economic Society (2015) Downloads View citations (23) (2015)
  3. Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
    Working Papers, Barcelona School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014) Downloads

    See also Journal Article Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Annual Review of Economics, Annual Reviews (2015) Downloads View citations (8) (2015)
  4. Inference about Non-Identi?ed SVARs
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (4)

2013

  1. Bond returns and market expectations
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (9)
    See also Journal Article Bond Returns and Market Expectations, Journal of Financial Econometrics, Oxford University Press (2014) Downloads View citations (18) (2014)
  2. Generalized Method of Moments with Latent Variables
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (5)
  3. The relationship between DSGE and VAR models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (48)

2012

  1. A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS, Econometric Theory, Cambridge University Press (2013) Downloads View citations (106) (2013)
  2. Incorporating theoretical restrictions into forecasting by projection methods
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (4)

2011

  1. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Post-Print, HAL Downloads View citations (29)
    See also Journal Article How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Journal of Econometrics, Elsevier (2011) Downloads View citations (34) (2011)

2009

  1. Model Selection in Unstable Environments
    2009 Meeting Papers, Society for Economic Dynamics

2008

  1. Forecast Comparisons in Unstable Environments
    Working Papers, Duke University, Department of Economics Downloads View citations (13)
    See also Journal Article Forecast comparisons in unstable environments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (319) (2010)

2007

  1. Mixtures of t-distributions for Finance and Forecasting
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article Mixtures of t-distributions for finance and forecasting, Journal of Econometrics, Elsevier (2008) Downloads View citations (7) (2008)

2006

  1. Detecting and Predicting Forecast Breakdowns
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    Also in UCLA Economics Working Papers, UCLA Department of Economics (2005) Downloads View citations (8)
    Working Paper Series, European Central Bank (2006) Downloads View citations (6)

    See also Journal Article Detecting and Predicting Forecast Breakdowns, The Review of Economic Studies, Review of Economic Studies Ltd (2009) Downloads View citations (114) (2009)

2005

  1. Comparing Density Forecsts via Weighted Likelihood Ratio Tests
    Working Papers, University of Brescia, Department of Economics Downloads View citations (15)
    See also Journal Article Comparing Density Forecasts via Weighted Likelihood Ratio Tests, Journal of Business & Economic Statistics, American Statistical Association (2007) Downloads View citations (435) (2007)
  2. How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) Downloads View citations (80) (2006)

2003

  1. Evaluation and Combination of Conditional Quantile Forecasts
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) Downloads View citations (3)

    See also Journal Article Evaluation and Combination of Conditional Quantile Forecasts, Journal of Business & Economic Statistics, American Statistical Association (2005) Downloads View citations (174) (2005)
  2. Tests of Conditional Predictive Ability
    Econometrics, University Library of Munich, Germany Downloads View citations (62)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2003) Downloads View citations (44)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2003) Downloads View citations (41)

    See also Journal Article Tests of Conditional Predictive Ability, Econometrica, Econometric Society (2006) Downloads View citations (873) (2006)

2002

  1. Aggregation of Space-Time Processes
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (5)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) Downloads View citations (1)

    See also Journal Article Aggregation of space-time processes, Journal of Econometrics, Elsevier (2004) Downloads View citations (96) (2004)
  2. Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (21)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2002) Downloads View citations (20)
  3. Hypernormal Densities
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002) Downloads View citations (1)
    Boston College Working Papers in Economics, Boston College Department of Economics (2002) Downloads View citations (1)

Journal Articles

2021

  1. Robust Bayesian Inference for Set‐Identified Models
    Econometrica, 2021, 89, (4), 1519-1556 Downloads View citations (26)
    See also Working Paper Robust Bayesian inference for set-identified models, CeMMAP working papers (2020) Downloads View citations (10) (2020)

2020

  1. Heterogeneity, Inattention, and Bayesian Updates
    American Economic Journal: Macroeconomics, 2020, 12, (1), 282-309 Downloads View citations (23)

2017

  1. Anchoring the yield curve using survey expectations
    Journal of Applied Econometrics, 2017, 32, (6), 1055-1068 Downloads View citations (26)
    See also Working Paper Anchoring the yield curve using survey expectations, Working Paper Series (2014) Downloads View citations (7) (2014)
  2. Bayesian estimation of state space models using moment conditions
    Journal of Econometrics, 2017, 201, (2), 198-211 Downloads View citations (11)

2016

  1. MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS
    International Economic Review, 2016, 57, (2), 369-392 Downloads View citations (4)
    See also Working Paper Model comparisons in unstable environments, Economics Working Papers (2015) Downloads View citations (2) (2015)

2015

  1. Economic theory and forecasting: lessons from the literature
    Econometrics Journal, 2015, 18, (2), C22-C41 Downloads View citations (23)
    See also Working Paper Economic theory and forecasting: lessons from the literature, CEPR Discussion Papers (2014) Downloads View citations (7) (2014)
  2. Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
    Annual Review of Economics, 2015, 7, (1), 207-229 Downloads View citations (8)
    See also Working Paper Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Working Papers (2014) Downloads (2014)

2014

  1. Bond Returns and Market Expectations
    Journal of Financial Econometrics, 2014, 12, (4), 708-729 Downloads View citations (18)
    See also Working Paper Bond returns and market expectations, CeMMAP working papers (2013) Downloads View citations (9) (2013)
  2. Theory-coherent forecasting
    Journal of Econometrics, 2014, 182, (1), 145-155 Downloads View citations (30)

2013

  1. A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
    Econometric Theory, 2013, 29, (3), 567-589 Downloads View citations (106)
    See also Working Paper A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, CeMMAP working papers (2012) Downloads View citations (1) (2012)

2011

  1. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Journal of Econometrics, 2011, 164, (1), 21-34 Downloads View citations (34)
    See also Working Paper How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Post-Print (2011) Downloads View citations (29) (2011)

2010

  1. Forecast comparisons in unstable environments
    Journal of Applied Econometrics, 2010, 25, (4), 595-620 Downloads View citations (319)
    See also Working Paper Forecast Comparisons in Unstable Environments, Working Papers (2008) Downloads View citations (13) (2008)

2009

  1. Detecting and Predicting Forecast Breakdowns
    The Review of Economic Studies, 2009, 76, (2), 669-705 Downloads View citations (114)
    See also Working Paper Detecting and Predicting Forecast Breakdowns, Working Papers (2006) Downloads View citations (4) (2006)

2008

  1. Mixtures of t-distributions for finance and forecasting
    Journal of Econometrics, 2008, 144, (1), 175-192 Downloads View citations (7)
    See also Working Paper Mixtures of t-distributions for Finance and Forecasting, Economics Series (2007) Downloads (2007)

2007

  1. Comparing Density Forecasts via Weighted Likelihood Ratio Tests
    Journal of Business & Economic Statistics, 2007, 25, 177-190 Downloads View citations (435)
    See also Working Paper Comparing Density Forecsts via Weighted Likelihood Ratio Tests, Working Papers (2005) Downloads View citations (15) (2005)

2006

  1. How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 783-795 Downloads View citations (80)
    See also Working Paper How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?, Working Papers (2005) Downloads View citations (2) (2005)
  2. Tests of Conditional Predictive Ability
    Econometrica, 2006, 74, (6), 1545-1578 Downloads View citations (873)
    See also Working Paper Tests of Conditional Predictive Ability, Econometrics (2003) Downloads View citations (62) (2003)

2005

  1. Evaluation and Combination of Conditional Quantile Forecasts
    Journal of Business & Economic Statistics, 2005, 23, 416-431 Downloads View citations (174)
    See also Working Paper Evaluation and Combination of Conditional Quantile Forecasts, Boston College Working Papers in Economics (2003) Downloads View citations (6) (2003)

2004

  1. Aggregation of space-time processes
    Journal of Econometrics, 2004, 118, (1-2), 7-26 Downloads View citations (96)
    See also Working Paper Aggregation of Space-Time Processes, Boston College Working Papers in Economics (2002) Downloads View citations (5) (2002)

Chapters

2013

  1. Forecasting in macroeconomics
    Chapter 17 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 381-408 Downloads View citations (3)
 
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