Details about Marco Lippi

E-mail:
Homepage:	http://www.lippi.ws
Workplace:	Istituto Einaudi per l'Economia e la Finanza (EIEF) (Einaudi Institute for Economics and Finance), (more information at EDIRC)

Access statistics for papers by Marco Lippi.

Last updated 2023-10-09. Update your information in the RePEc Author Service.

Short-id: pli391

---

Jump to Journal Articles Books Chapters

Working Papers

2023

1. Band-Pass Filtering with High-Dimensional Time Series
   CEIS Research Paper, Tor Vergata University, CEIS
   Also in Papers, arXiv.org (2023)

2022

2. Tracking economic growth in real time during the pandemic: a rationale for a revision of €-coin
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area
3. Validating DSGE Models through Dynamic Factor Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2020

4. Common Component Structural VARs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
   Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2020) View citations (4)

2017

5. Optimal Dimension Reduction for High-dimensional and Functional Time Series
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
   See also Journal Article Optimal dimension reduction for high-dimensional and functional time series, Statistical Inference for Stochastic Processes, Springer (2018) View citations (2) (2018)

2016

6. Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (9)
   Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2016) View citations (19)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (12)
   See also Journal Article Dynamic factor model with infinite‐dimensional factor space: Forecasting, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (47) (2018)
7. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
   EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (16)
   Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) View citations (32)
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) View citations (65)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (65)
   See also Journal Article Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis, Journal of Econometrics, Elsevier (2017) View citations (75) (2017)
8. Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
   Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (5)
9. Eigenvalue Ratio Estimators for the Number of Common Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
10. Eigenvalue Ratio Estimators for the Number of Dynamic Factors
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (1)
11. Non-Stationary Dynamic Factor Models for Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2014

12. Noise Bubbles
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi"
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (3)
    See also Journal Article Noise Bubbles, Economic Journal, Royal Economic Society (2017) (2017)
13. Noisy News in Business Cycles
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (70)
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2014) View citations (72)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (18)
    See also Journal Article Noisy News in Business Cycles, American Economic Journal: Macroeconomics, American Economic Association (2017) View citations (40) (2017)

2013

14. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (41)
    See also Journal Article Factor models in high-dimensional time series—A time-domain approach, Stochastic Processes and their Applications, Elsevier (2013) View citations (18) (2013)

2012

15. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
    See also Journal Article Dynamic factor models with infinite-dimensional factor spaces: One-sided representations, Journal of Econometrics, Elsevier (2015) View citations (89) (2015)

2011

16. One-Sided Representations of Generalized Dynamic Factor Models
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (3)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2011) View citations (3)
    DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2011) View citations (3)

2008

17. New Eurocoin: Tracking Economic Growth in Real Time
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (18)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (49)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2007) View citations (45)
    See also Journal Article New Eurocoin: Tracking Economic Growth in Real Time, The Review of Economics and Statistics, MIT Press (2010) View citations (126) (2010)
18. Opening the Black Box: Structural Factor Models with Large Cross-Sections
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (62)
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) View citations (21)
    Working Paper Series, European Central Bank (2007) View citations (70)
    See also Journal Article OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS, Econometric Theory, Cambridge University Press (2009) View citations (334) (2009)

2005

19. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (518)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) View citations (56)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (47)
    See also Journal Article The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting, Journal of the American Statistical Association, American Statistical Association (2005) View citations (581) (2005)

2004

20. A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (4)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2004) View citations (3)
21. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (104)
    See also Journal Article The generalized dynamic factor model consistency and rates, Journal of Econometrics, Elsevier (2004) View citations (198) (2004)

2003

22. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (254)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (26)
    See also Journal Article Do financial variables help forecasting inflation and real activity in the euro area?, Journal of Monetary Economics, Elsevier (2003) View citations (251) (2003)
23. EUROCOIN: A REAL TIME COINCIDENT INDICATOR OF THE EURO AREA BUSINESS CYCLE
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (150)
24. Issues Concerning the Approximation Underlying the Spectral Representation Theorem
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy
    See also Journal Article ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM, Econometric Theory, Cambridge University Press (2004) (2004)
25. Opening the Black Box: Structural Factor Models versus Structural VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (52)

2001

26. A real time coincident indicator of the euro area business cycle
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (143)
27. Coincident and leading indicators for the Euro area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (150)
28. Innovation and Corporate Growth in the Evolution of the Drug Industry
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (167)
    See also Journal Article Innovation and corporate growth in the evolution of the drug industry, International Journal of Industrial Organization, Elsevier (2001) View citations (158) (2001)

2000

29. Processes of corporate growth in the evolution of an innovation-driven industry. The case of pharmaceuticals
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations (8)
30. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
31. The Generalized Dynamic Factor Model: Representation Theory
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (244)
    See also Journal Article THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY, Econometric Theory, Cambridge University Press (2001) View citations (255) (2001)
32. The generalised dynamic factor model: identification and estimation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (645)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (331)
    See also Journal Article The Generalized Dynamic-Factor Model: Identification And Estimation, The Review of Economics and Statistics, MIT Press (2000) View citations (1095) (2000)

1998

33. Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1998) View citations (6)

1994

34. Common and uncommon trends and cycles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
    See also Journal Article Common and uncommon trends and cycles, European Economic Review, Elsevier (1994) View citations (14) (1994)
35. Diffusion of technical change and the decomposition of output into trend and cycle
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (59)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1993) View citations (2)
    See also Journal Article Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle, The Review of Economic Studies, Review of Economic Studies Ltd (1994) View citations (62) (1994)
36. VAR analysis, non-fundamental representations, Blashke matrices
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (22)
    See also Journal Article VAR analysis, nonfundamental representations, blaschke matrices, Journal of Econometrics, Elsevier (1994) View citations (164) (1994)

1993

37. The dynamic effects of aggregate demand and supply disturbances: comment
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (202)
    See also Journal Article The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment, American Economic Review, American Economic Association (1993) View citations (233) (1993)

1992

38. On persistence of shocks to economic variables: a common misconception
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    See also Journal Article On persistence of shocks to economic variables: A common misconception, Journal of Monetary Economics, Elsevier (1992) View citations (11) (1992)

1991

39. Permanent and temporary fluctuations in macroeconomics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
40. Trend-cycle decompositions and measures of persistence: does time aggregation matter?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    See also Journal Article Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter?, Economic Journal, Royal Economic Society (1991) View citations (6) (1991)

1990

41. Issues on Aggregation and Microfundations of Macroeconomics
    Working Papers, Roma "la Sapienza" - Scienze Economiche View citations (1)

Journal Articles

2023

1. High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research
   Econometrics and Statistics, 2023, 26, (C), 3-16 View citations (2)

2022

2. Linear System Challenges of Dynamic Factor Models
   Econometrics, 2022, 10, (4), 1-26 View citations (1)

2021

3. Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors
   Journal of Econometrics, 2021, 221, (2), 455-482 View citations (21)

2020

4. Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
   Econometrics, 2020, 8, (1), 1-23 View citations (14)

2018

5. Dynamic factor model with infinite‐dimensional factor space: Forecasting
   Journal of Applied Econometrics, 2018, 33, (5), 625-642 View citations (47)
   See also Working Paper Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting, Working Papers ECARES (2016) View citations (9) (2016)
6. Optimal dimension reduction for high-dimensional and functional time series
   Statistical Inference for Stochastic Processes, 2018, 21, (2), 385-398 View citations (2)
   See also Working Paper Optimal Dimension Reduction for High-dimensional and Functional Time Series, Working Papers ECARES (2017) (2017)

2017

7. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
   Journal of Econometrics, 2017, 199, (1), 74-92 View citations (75)
   See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis, EIEF Working Papers Series (2016) View citations (16) (2016)
8. Noise Bubbles
   Economic Journal, 2017, 127, (604), 1940-1976
   See also Working Paper Noise Bubbles, Center for Economic Research (RECent) (2014) (2014)
9. Noisy News in Business Cycles
   American Economic Journal: Macroeconomics, 2017, 9, (4), 122-52 View citations (40)
   See also Working Paper Noisy News in Business Cycles, Working Papers (2014) View citations (70) (2014)

2015

10. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 View citations (89)
    See also Working Paper Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations, Working Papers ECARES (2012) View citations (2) (2012)

2013

11. Factor models in high-dimensional time series—A time-domain approach
    Stochastic Processes and their Applications, 2013, 123, (7), 2678-2695 View citations (18)
    See also Working Paper Factor Models in High-Dimensional Time Series: A Time-Domain Approach, Working Papers ECARES (2013) View citations (41) (2013)

2011

12. The general dynamic factor model: One-sided representation results
    Journal of Econometrics, 2011, 163, (1), 23-28 View citations (37)

2010

13. New Eurocoin: Tracking Economic Growth in Real Time
    The Review of Economics and Statistics, 2010, 92, (4), 1024-1034 View citations (126)
    See also Working Paper New Eurocoin: Tracking Economic Growth in Real Time, Center for Economic Research (RECent) (2008) View citations (18) (2008)

2009

14. OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
    Econometric Theory, 2009, 25, (5), 1319-1347 View citations (334)
    See also Working Paper Opening the Black Box: Structural Factor Models with Large Cross-Sections, Working Papers ECARES (2008) View citations (62) (2008)

2007

15. Il primo esercizio italiano di valutazione della ricerca: una prima valutazione
    Rivista italiana degli economisti, 2007, (2), 267-276 View citations (5)

2005

16. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 View citations (581)
    See also Working Paper The generalised dynamic factor model: one sided estimation and forecasting, ULB Institutional Repository (2005) View citations (518) (2005)

2004

17. ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM
    Econometric Theory, 2004, 20, (2), 417-426
    See also Working Paper Issues Concerning the Approximation Underlying the Spectral Representation Theorem, LEM Papers Series (2003) (2003)
18. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 View citations (198)
    See also Working Paper The generalised dynamic factor model: consistency and rates, ULB Institutional Repository (2004) View citations (104) (2004)

2003

19. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations (251)
    See also Working Paper Do financial variables help forecasting inflation and real activity in the Euro area ?, ULB Institutional Repository (2003) View citations (254) (2003)

2001

20. Innovation and corporate growth in the evolution of the drug industry
    International Journal of Industrial Organization, 2001, 19, (7), 1161-1187 View citations (158)
    See also Working Paper Innovation and Corporate Growth in the Evolution of the Drug Industry, LEM Papers Series (2001) View citations (167) (2001)
21. THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY
    Econometric Theory, 2001, 17, (6), 1113-1141 View citations (255)
    See also Working Paper The Generalized Dynamic Factor Model: Representation Theory, CEPR Discussion Papers (2000) View citations (244) (2000)

2000

22. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations (1095)
    See also Working Paper The generalised dynamic factor model: identification and estimation, ULB Institutional Repository (2000) View citations (645) (2000)

1999

23. Aggregation of linear dynamic microeconomic models
    Journal of Mathematical Economics, 1999, 31, (1), 131-158 View citations (23)

1998

24. The Principle of Labor Value
    International Journal of Political Economy, 1998, 28, (3), 62-73

1994

25. Aggregation: Aggregate production functions and related topics, collected papers by Franklin M. Fisher: Franklin M. Fisher, edited by John Monz (The MIT Press, Cambridge, MA) pp. xxiv-280, $45.00 (cloth)
    Journal of Economic Behavior & Organization, 1994, 24, (2), 241-245
26. Common and uncommon trends and cycles
    European Economic Review, 1994, 38, (3-4), 624-635 View citations (14)
    See also Working Paper Common and uncommon trends and cycles, ULB Institutional Repository (1994) View citations (13) (1994)
27. Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle
    The Review of Economic Studies, 1994, 61, (1), 19-30 View citations (62)
    See also Working Paper Diffusion of technical change and the decomposition of output into trend and cycle, ULB Institutional Repository (1994) View citations (59) (1994)
28. VAR analysis, nonfundamental representations, blaschke matrices
    Journal of Econometrics, 1994, 63, (1), 307-325 View citations (164)
    See also Working Paper VAR analysis, non-fundamental representations, Blashke matrices, ULB Institutional Repository (1994) View citations (22) (1994)

1993

29. Editors' note
    Ricerche Economiche, 1993, 47, (3), 233-234
30. Editors' note
    Ricerche Economiche, 1993, 47, (2), 105-106
31. The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment
    American Economic Review, 1993, 83, (3), 644-52 View citations (233)
    See also Working Paper The dynamic effects of aggregate demand and supply disturbances: comment, ULB Institutional Repository (1993) View citations (202) (1993)

1992

32. On persistence of shocks to economic variables: A common misconception
    Journal of Monetary Economics, 1992, 29, (1), 87-93 View citations (11)
    See also Working Paper On persistence of shocks to economic variables: a common misconception, ULB Institutional Repository (1992) View citations (11) (1992)

1991

33. Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter?
    Economic Journal, 1991, 101, (405), 314-23 View citations (6)
    See also Working Paper Trend-cycle decompositions and measures of persistence: does time aggregation matter?, ULB Institutional Repository (1991) View citations (6) (1991)

1988

34. On the dynamic shape of aggregated error correction models
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 561-585 View citations (16)

Books

1997

1. Aggregation and the Microfoundations of Dynamic Macroeconomics
   OUP Catalogue, Oxford University Press View citations (119)

Chapters

2008

1. Some Observations on Sraffa and Mathematical Proofs With an Appendix on Sraffa’s Convergence Algorithm
   Palgrave Macmillan View citations (2)

1992

2. Microfoundations of Dynamic Macroequations
   Palgrave Macmillan

1991

3. Permanent and Transitory Components in Macroeconomics
   Palgrave Macmillan View citations (2)

1988

4. Part III - How well does established theory work
   Chapter 6-9 in Technical Change and Economic Theory, 1988, pp 120-218 View citations (1)