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Details about Marco Lippi

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


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Working Papers

2023

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

2022

  1. 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 Downloads
  2. Validating DSGE Models through Dynamic Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2020

  1. Common Component Structural VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2020) Downloads View citations (3)

2017

  1. Optimal Dimension Reduction for High-dimensional and Functional Time Series
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article in Statistical Inference for Stochastic Processes (2018)

2016

  1. Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (12)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2016) Downloads View citations (19)

    See also Journal Article in Journal of Applied Econometrics (2018)
  2. Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) Downloads View citations (16)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2015) Downloads View citations (58)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2015) Downloads View citations (29)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (58)

    See also Journal Article in Journal of Econometrics (2017)
  3. Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Dynamic Factor Models, Cointegration and Error Correction Mechanisms, Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (5)
  4. Eigenvalue Ratio Estimators for the Number of Common Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  5. 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" Downloads View citations (1)
  6. Non-Stationary Dynamic Factor Models for Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (19)

2014

  1. Noise Bubbles
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (3)

    See also Journal Article in Economic Journal (2017)
  2. Noisy News in Business Cycles
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (69)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (18)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2014) Downloads View citations (71)

    See also Journal Article in American Economic Journal: Macroeconomics (2017)

2013

  1. Factor Models in High-Dimensional Time Series: A Time-Domain Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (37)
    See also Journal Article in Stochastic Processes and their Applications (2013)

2012

  1. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2015)

2011

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

2008

  1. New Eurocoin: Tracking Economic Growth in Real Time
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" Downloads View citations (18)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (49)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2007) Downloads View citations (45)

    See also Journal Article in The Review of Economics and Statistics (2010)
  2. Opening the Black Box: Structural Factor Models with Large Cross-Sections
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (62)
    Also in Working Paper Series, European Central Bank (2007) Downloads View citations (70)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) Downloads View citations (21)

    See also Journal Article in Econometric Theory (2009)

2005

  1. The generalised dynamic factor model: one sided estimation and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (498)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (47)
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2003) Downloads View citations (56)

    See also Journal Article in Journal of the American Statistical Association (2005)

2004

  1. 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 Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2004) Downloads View citations (3)
  2. The generalised dynamic factor model: consistency and rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (94)
    See also Journal Article in Journal of Econometrics (2004)

2003

  1. Do financial variables help forecasting inflation and real activity in the Euro area ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (246)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (26)

    See also Journal Article in Journal of Monetary Economics (2003)
  2. 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) Downloads View citations (150)
  3. 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 Downloads
    See also Journal Article in Econometric Theory (2004)
  4. Opening the Black Box: Structural Factor Models versus Structural VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (52)

2001

  1. 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 Downloads View citations (144)
  2. Coincident and leading indicators for the Euro area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (149)
  3. 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 Downloads View citations (164)
    See also Journal Article in International Journal of Industrial Organization (2001)

2000

  1. 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 Downloads View citations (8)
  2. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (46)
  3. The Generalized Dynamic Factor Model: Representation Theory
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (238)
    See also Journal Article in Econometric Theory (2001)
  4. The generalised dynamic factor model: identification and estimation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (612)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads View citations (334)

    See also Journal Article in The Review of Economics and Statistics (2000)

1998

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

1994

  1. Common and uncommon trends and cycles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
    See also Journal Article in European Economic Review (1994)
  2. Diffusion of technical change and the decomposition of output into trend and cycle
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (57)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1993) Downloads View citations (2)

    See also Journal Article in Review of Economic Studies (1994)
  3. VAR analysis, non-fundamental representations, Blashke matrices
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (22)
    See also Journal Article in Journal of Econometrics (1994)

1993

  1. The dynamic effects of aggregate demand and supply disturbances: comment
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (197)
    See also Journal Article in American Economic Review (1993)

1992

  1. 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 in Journal of Monetary Economics (1992)

1991

  1. Permanent and temporary fluctuations in macroeconomics
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  2. 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 in Economic Journal (1991)

1990

  1. 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 Downloads View citations (1)

2022

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

2021

  1. Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors
    Journal of Econometrics, 2021, 221, (2), 455-482 Downloads View citations (16)

2020

  1. Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
    Econometrics, 2020, 8, (1), 1-23 Downloads View citations (12)

2018

  1. Dynamic factor model with infinite‐dimensional factor space: Forecasting
    Journal of Applied Econometrics, 2018, 33, (5), 625-642 Downloads View citations (40)
    See also Working Paper (2016)
  2. Optimal dimension reduction for high-dimensional and functional time series
    Statistical Inference for Stochastic Processes, 2018, 21, (2), 385-398 Downloads View citations (2)
    See also Working Paper (2017)

2017

  1. Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
    Journal of Econometrics, 2017, 199, (1), 74-92 Downloads View citations (64)
    See also Working Paper (2016)
  2. Noise Bubbles
    Economic Journal, 2017, 127, (604), 1940-1976 Downloads
    See also Working Paper (2014)
  3. Noisy News in Business Cycles
    American Economic Journal: Macroeconomics, 2017, 9, (4), 122-52 Downloads View citations (36)
    See also Working Paper (2014)

2015

  1. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations
    Journal of Econometrics, 2015, 185, (2), 359-371 Downloads View citations (84)
    See also Working Paper (2012)

2013

  1. Factor models in high-dimensional time series—A time-domain approach
    Stochastic Processes and their Applications, 2013, 123, (7), 2678-2695 Downloads View citations (15)
    See also Working Paper (2013)

2011

  1. The general dynamic factor model: One-sided representation results
    Journal of Econometrics, 2011, 163, (1), 23-28 Downloads View citations (35)

2010

  1. New Eurocoin: Tracking Economic Growth in Real Time
    The Review of Economics and Statistics, 2010, 92, (4), 1024-1034 Downloads View citations (123)
    See also Working Paper (2008)

2009

  1. OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
    Econometric Theory, 2009, 25, (5), 1319-1347 Downloads View citations (321)
    See also Working Paper (2008)

2007

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

2005

  1. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
    Journal of the American Statistical Association, 2005, 100, 830-840 Downloads View citations (556)
    See also Working Paper (2005)

2004

  1. ISSUES CONCERNING THE APPROXIMATION UNDERLYING THE SPECTRAL REPRESENTATION THEOREM
    Econometric Theory, 2004, 20, (2), 417-426 Downloads
    See also Working Paper (2003)
  2. The generalized dynamic factor model consistency and rates
    Journal of Econometrics, 2004, 119, (2), 231-255 Downloads View citations (191)
    See also Working Paper (2004)

2003

  1. Do financial variables help forecasting inflation and real activity in the euro area?
    Journal of Monetary Economics, 2003, 50, (6), 1243-1255 Downloads View citations (241)
    See also Working Paper (2003)

2001

  1. Innovation and corporate growth in the evolution of the drug industry
    International Journal of Industrial Organization, 2001, 19, (7), 1161-1187 Downloads View citations (156)
    See also Working Paper (2001)
  2. THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY
    Econometric Theory, 2001, 17, (6), 1113-1141 Downloads View citations (242)
    See also Working Paper (2000)

2000

  1. The Generalized Dynamic-Factor Model: Identification And Estimation
    The Review of Economics and Statistics, 2000, 82, (4), 540-554 Downloads View citations (1063)
    See also Working Paper (2000)

1999

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

1998

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

1994

  1. 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 Downloads
  2. Common and uncommon trends and cycles
    European Economic Review, 1994, 38, (3-4), 624-635 Downloads View citations (14)
    See also Working Paper (1994)
  3. Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle
    Review of Economic Studies, 1994, 61, (1), 19-30 Downloads View citations (60)
    See also Working Paper (1994)
  4. VAR analysis, nonfundamental representations, blaschke matrices
    Journal of Econometrics, 1994, 63, (1), 307-325 Downloads View citations (161)
    See also Working Paper (1994)

1993

  1. Editors' note
    Ricerche Economiche, 1993, 47, (3), 233-234 Downloads
  2. Editors' note
    Ricerche Economiche, 1993, 47, (2), 105-106 Downloads
  3. The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment
    American Economic Review, 1993, 83, (3), 644-52 Downloads View citations (228)
    See also Working Paper (1993)

1992

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

1991

  1. Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter?
    Economic Journal, 1991, 101, (405), 314-23 Downloads View citations (6)
    See also Working Paper (1991)

1988

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

Books

1997

  1. Aggregation and the Microfoundations of Dynamic Macroeconomics
    OUP Catalogue, Oxford University Press View citations (116)

Chapters

2008

  1. Some Observations on Sraffa and Mathematical Proofs With an Appendix on Sraffa’s Convergence Algorithm
    Palgrave Macmillan

1992

  1. Microfoundations of Dynamic Macroequations
    Palgrave Macmillan

1991

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

1988

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