Details about Fabrizio Iacone

Access statistics for papers by Fabrizio Iacone.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: pia24

Working Papers

2024

1. Comparing predictive ability in presence of instability over a very short time
   Papers, arXiv.org
2. Testing for equal predictive accuracy with strong dependence
   Papers, arXiv.org
   Also in Discussion Papers, Department of Economics, University of York (2021) View citations (1)

2022

3. Density forecast comparison in small samples
   Discussion Papers, Department of Economics, University of York

2021

4. Predicting the COVID-19 epidemic: is a regional approach preferable?
   Discussion Papers, Department of Economics, University of York
5. Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2021) View citations (2)
   Working Paper, Economics Department, Queen's University (2020)
   See also Journal Article Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)
6. Testing the predictive accuracy of COVID-19 forecasts
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Discussion Papers, Department of Economics, University of York (2020) View citations (2)
   See also Journal Article Testing the predictive accuracy of COVID-19 forecasts, International Journal of Forecasting, Elsevier (2023) View citations (1) (2023)

2019

7. A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters
   Discussion Papers, Department of Economics, University of York View citations (2)

2017

8. Semiparametric detection of changes in long range dependence
   Working Papers, Queen Mary University of London, School of Economics and Finance
   See also Journal Article Semiparametric Detection of Changes in Long Range Dependence, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (1) (2019)
9. Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   See also Journal Article TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT, Econometric Theory, Cambridge University Press (2019) View citations (4) (2019)

2015

10. Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
    Discussion Papers, Department of Economics, University of York View citations (2)
11. Comparing predictive accuracy in small samples
    Discussion Papers, Department of Economics, University of York View citations (12)

2011

12. On the behaviour of fixed-b trend break tests under fractional integration
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
    See also Journal Article ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION, Econometric Theory, Cambridge University Press (2013) View citations (8) (2013)

2007

13. Modelling the Dynamics of a Public Health Care System: Evidence from Time-Series Data
    Discussion Papers, Department of Economics, University of York
    Also in Working Papers, Centre for Health Economics, University of York (2007)
    See also Journal Article Modelling the dynamics of a public health care system: evidence from time-series data, Applied Economics, Taylor & Francis Journals (2012) View citations (1) (2012)

2004

14. Cointegration in Fractional Systems with Deterministic Trends
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (1)
    See also Journal Article Cointegration in fractional systems with deterministic trends, Journal of Econometrics, Elsevier (2005) View citations (22) (2005)

2002

15. Exchange Rate Management and Inflation Targeting in the CEE Accession Countries
    Eastward Enlargement of the Euro-zone Working Papers, Free University Berlin, Jean Monnet Centre of Excellence View citations (3)

1997

16. Extracting Information from Asset Prices: The Methodology of EMU Calculators
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (16)
    See also Journal Article Extracting information from asset prices: The methodology of EMU calculators, European Economic Review, Elsevier (2000) View citations (11) (2000)

1996

17. Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)

Journal Articles

2024

1. Survey density forecast comparison in small samples
   International Journal of Forecasting, 2024, 40, (4), 1486-1504

2023

2. Testing the predictive accuracy of COVID-19 forecasts
   International Journal of Forecasting, 2023, 39, (2), 606-622 View citations (1)
   See also Working Paper Testing the predictive accuracy of COVID-19 forecasts, CAMA Working Papers (2021) (2021)

2022

3. Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
   Journal of Business & Economic Statistics, 2022, 40, (2), 880-896
   See also Working Paper Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks, CREATES Research Papers (2021) View citations (4) (2021)

2020

4. Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics
   Journal of Applied Econometrics, 2020, 35, (4), 391-409 View citations (25)

2019

5. Fixed Bandwidth Inference for Fractional Cointegration
   Journal of Time Series Analysis, 2019, 40, (4), 544-572 View citations (3)
6. Semiparametric Detection of Changes in Long Range Dependence
   Journal of Time Series Analysis, 2019, 40, (5), 693-706 View citations (1)
   See also Working Paper Semiparametric detection of changes in long range dependence, Working Papers (2017) (2017)
7. TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
   Econometric Theory, 2019, 35, (6), 1201-1233 View citations (4)
   See also Working Paper Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point, Essex Finance Centre Working Papers (2017) View citations (1) (2017)

2017

8. Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
   Economics Letters, 2017, 150, (C), 39-43 View citations (10)
9. Revisiting inflation in the euro area allowing for long memory
   Economics Letters, 2017, 156, (C), 145-150 View citations (3)
10. Testing for a Change in Mean under Fractional Integration
    Journal of Time Series Econometrics, 2017, 9, (1), 8 View citations (3)

2015

11. Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
    Journal of Time Series Analysis, 2015, 36, (4), 528-540
12. Spatial effects in a common trend model of US city-level CPI
    Regional Science and Urban Economics, 2015, 54, (C), 87-98

2014

13. A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
    Journal of Time Series Analysis, 2014, 35, (1), 40-54 View citations (11)

2013

14. ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
    Econometric Theory, 2013, 29, (2), 393-418 View citations (8)
    See also Working Paper On the behaviour of fixed-b trend break tests under fractional integration, Discussion Papers (2011) View citations (3) (2011)
15. Testing for a break in trend when the order of integration is unknown
    Journal of Econometrics, 2013, 176, (1), 30-45 View citations (13)

2012

16. First Stage Estimation of Fractional Cointegration
    Journal of Time Series Econometrics, 2012, 4, (1), 32 View citations (5)
17. Modelling the dynamics of a public health care system: evidence from time-series data
    Applied Economics, 2012, 44, (23), 2955-2968 View citations (1)
    See also Working Paper Modelling the Dynamics of a Public Health Care System: Evidence from Time-Series Data, Discussion Papers (2007) (2007)

2010

18. Local Whittle estimation of the memory parameter in presence of deterministic components
    Journal of Time Series Analysis, 2010, 31, (1), 37-49 View citations (29)

2009

19. A Semiparametric Analysis of the Term Structure of the US Interest Rates*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (4), 475-490 View citations (10)

2005

20. Cointegration in fractional systems with deterministic trends
    Journal of Econometrics, 2005, 129, (1-2), 263-298 View citations (22)
    See also Working Paper Cointegration in Fractional Systems with Deterministic Trends, STICERD - Econometrics Paper Series (2004) View citations (2) (2004)

2000

21. Extracting information from asset prices: The methodology of EMU calculators
    European Economic Review, 2000, 44, (9), 1607-1632 View citations (11)
    See also Working Paper Extracting Information from Asset Prices: The Methodology of EMU Calculators, CEPR Discussion Papers (1997) View citations (11) (1997)

Chapters

2009

1. Inflation Control in Central and Eastern European Countries
   Chapter 9 in Economic Models Methods, Theory and Applications, 2009, pp 173-200