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Massimiliano Giuseppe Marcellino

European University Institute

Villa Schifanoia

133 via Bocaccio

Firenze (Florence), Tuscany 50014

Italy

European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)

Part-time professor RSCAS

Villa La Fonte, via delle Fontanelle 18

50016 San Domenico di Fiesole

Florence, Florence 50014

Italy

Bocconi University - Department of Economics

Via Gobbi 5

Milan, 20136

Italy

Centre for Economic Policy Research (CEPR)

Fellow

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

  • European University Institute

  • European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)

  • Bocconi University - Department of Economics

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

109

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CITATIONS
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659

Scholarly Papers (109)

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1.

Are there any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

IGIER Working Paper No. 236
Number of pages: 46 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 504 (41,103)
Citation 22

Abstract:

Leading indicator, factor model, model selection, GDP growth, inflation

2.

Leading Indicators: What Have We Learned?

Downloads 326 ( 76,222)
Citation 9

Leading Indicators: What Have We Learned?

IGIER Working Paper No. 286
Number of pages: 84 Posted: 05 Apr 2005
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 302 (82,535)
Citation 9

Abstract:

Business Cycles, Leading Indicators, Coincident Indicators, Turning Points, Forecasting

Leading Indicators: What Have We Learned?

CEPR Discussion Paper No. 4977
Number of pages: 86 Posted: 09 Aug 2005
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 24 (441,629)
Citation 9
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Abstract:

Business cycles, leading indicators, coincident indicators, turning points, forecasting

3.

Testing for PPP: Should We Use Panel Methods?

IGIER Working Paper No. 186
Number of pages: 33 Posted: 06 Apr 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 262 (90,046)
Citation 32

Abstract:

PPP, unit root, panel, cointegration, cross-unit dependence

4.

Leading Indicators for Euro-area Inflation and GDP Growth

Downloads 257 ( 99,104)
Citation 25

Leading Indicators for Euro-area Inflation and GDP Growth

IGIER Working Paper No. 235
Number of pages: 42 Posted: 26 May 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 221 (115,167)
Citation 25

Abstract:

Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro Area Inflation and GDP Growth

CEPR Discussion Paper No. 3893
Number of pages: 44 Posted: 24 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 21 (458,813)
Citation 25
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Abstract:

Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro-Area Inflation and GDP Growth

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 785-813, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 15 (493,760)
Citation 25
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Abstract:

5.

A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

U of London Queen Mary Economics Working Paper No. 489
Number of pages: 53 Posted: 12 May 2003
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 252 (94,825)
Citation 19

Abstract:

6.

TFP, Costs, and Public Infrastructure: An Equivocal Relationship

IGIER Working Paper No. 176
Number of pages: 36 Posted: 11 Mar 2001
Eliana La Ferrara and Massimiliano Giuseppe Marcellino
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and European University Institute
Downloads 203 (109,788)
Citation 10

Abstract:

infrastructures, TFP, growth, costs

7.

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

IGIER Working Paper No. 185
Number of pages: 20 Posted: 06 Apr 2001
Hans-Martin Krolzig, Massimiliano Giuseppe Marcellino and Grayham E. Mizon
Humboldt University of Berlin - Institute for Statistics and Econometrics, European University Institute and University of Southampton - Division of Economics
Downloads 191 (126,802)
Citation 12

Abstract:

business cycles, employment, Impulse-Response Analysis, cointegration, regime shifts, Markov switching

8.

Dating the Euro Area Business Cycle

Downloads 183 (138,420)
Citation 26

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Michael J. Artis and Tommaso Proietti
European University Institute, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 165 (151,865)
Citation 25

Abstract:

Business cycle, Euro area, cycle dating, cycle synchronization

Dating the Euro Area Business Cycle

CEPR Discussion Paper No. 3696
Number of pages: 62 Posted: 31 Jan 2003
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 18 (476,362)
Citation 26
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Abstract:

Business cycle, euro area, cycle dating, cycle synchronization

9.

Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency Fx Data

UC Davis Working Paper No. 00-02
Number of pages: 43 Posted: 14 Jun 2000
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 170 (144,733)

Abstract:

10.

Modelling Shifts in the Wage-Price and Unemployment-Inflation Relationships in Italy, Poland, and the UK

Bocconi University, IGIER Working Paper No. 145
Number of pages: 27 Posted: 13 Mar 1999
Massimiliano Giuseppe Marcellino and Grayham E. Mizon
European University Institute and University of Southampton - Division of Economics
Downloads 164 (144,733)
Citation 4

Abstract:

11.

Fiscal Solvency and Fiscal Forecasting in Europe

IGIER Working Paper No. 142
Number of pages: 40 Posted: 21 Jul 1998
Michael J. Artis and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG) and European University Institute
Downloads 162 (138,420)
Citation 6

Abstract:

12.

Factor Analysis in a New-Keynesian Model

ECB Working Paper No. 510
Number of pages: 54 Posted: 25 Aug 2005
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 159 (156,699)
Citation 6

Abstract:

New-Keynesian Phillips curve, forward looking output equation, Taylor rule, rational expectations, factor analysis, determinacy of equilibrium.

13.

Public Capital and Economic Performance: Evidence from Italy

IGIER Working Paper No. 163
Number of pages: 30 Posted: 26 Jun 2000
Eliana La Ferrara, Massimiliano Giuseppe Marcellino and Federico Bonaglia
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER), European University Institute and Organization for Economic Co-Operation and Development (OECD) - Development Centre (DEV)
Downloads 159 (145,505)
Citation 8

Abstract:

14.

Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data

IGIER Working Paper No. 170
Number of pages: 43 Posted: 01 Mar 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 155 (155,855)
Citation 39

Abstract:

15.

Model Selection for Non-Linear Dynamic Models

IGIER Working Paper No. 159
Number of pages: 24 Posted: 17 Feb 2000
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 149 (161,011)
Citation 1

Abstract:

16.

A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series

Downloads 137 (177,384)
Citation 56

A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series

IGIER Working Paper No. 285
Number of pages: 31 Posted: 13 Apr 2005
Massimiliano Giuseppe Marcellino, James H. Stock and Mark W. Watson
European University Institute, Harvard University - Department of Economics and Princeton University - Woodrow Wilson School of Public and International Affairs
Downloads 122 (195,108)
Citation 56

Abstract:

Multistep forecasts, VAR forecasts, forecast comparisons

A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series

CEPR Discussion Paper No. 4976
Number of pages: 32 Posted: 01 Aug 2005
Massimiliano Giuseppe Marcellino, James H. Stock and Mark W. Watson
European University Institute, Harvard University - Department of Economics and Princeton University - Woodrow Wilson School of Public and International Affairs
Downloads 15 (493,760)
Citation 56
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Abstract:

Multistep forecasts, VAR forecasts, forecast comparisons

17.

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the US

Downloads 135 (179,495)
Citation 14

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the US

ECB Working Paper No. 681
Number of pages: 59 Posted: 26 Oct 2006
Kirstin Hubrich, Massimiliano Giuseppe Marcellino and Guenter W. Beck
Board of Governors of the Federal Reserve System, European University Institute and Goethe University Frankfurt
Downloads 135 (180,021)
Citation 14

Abstract:

Regional inflation dynamics, euro area and US, common factor models

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the US

CFS Working Paper No. 2007/01
Posted: 07 Mar 2007
Guenter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
Goethe University Frankfurt, Board of Governors of the Federal Reserve System and European University Institute

Abstract:

Regional Inflation Dynamics, Euro Area and US, Common Factor Model

18.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 128 (175,359)
Citation 12

Abstract:

Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

19.

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Downloads 124 (192,009)
Citation 19

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Deutsche Bundesbank Discussion Paper Economic Studies Series 1, No. 34/07
Number of pages: 60 Posted: 19 Feb 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 82 (257,538)
Citation 19

Abstract:

MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

Factor-Midas for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Bundesbank Series 1 Discussion Paper No. 2007,34
Number of pages: 60 Posted: 08 Jun 2016
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 40 (369,907)
Citation 19

Abstract:

MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

CEPR Discussion Paper No. DP6708
Number of pages: 43 Posted: 10 Jun 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 2 (568,238)
Citation 19
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Abstract:

business cycle, large factor models, MIDAS, missing values, mixed-frequency data, nowcasting

20.

Measuring Uncertainty and Its Impact on the Economy

Downloads 121 (195,610)

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 75 (271,864)

Abstract:

Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

FRB of Cleveland Working Paper No. 16-22
Number of pages: 63 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 46 (349,098)

Abstract:

Bayesian VARs, Stochastic Volatility, Large Datasets

21.

A Survey of Econometric Methods for Mixed-Frequency Data

Number of pages: 45 Posted: 23 May 2013
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and European University Institute
Downloads 118 (100,791)

Abstract:

mixed-frequency data, mixed-frequency VAR, MIDAS, nowcasting, forecasting

22.

Forecasting Macroeconomic Variables for the New Member States of the European Union

ECB Working Paper No. 482
Number of pages: 48 Posted: 01 Jun 2005
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 115 (195,610)
Citation 1

Abstract:

Factor models, forecasts, time series models, new Member States

23.

Interpolation and Backdating with a Large Information Set

Downloads 112 (207,235)
Citation 11

Interpolation and Backdating with a Large Information Set

ECB Working Paper No. 252
Number of pages: 41 Posted: 22 Jan 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and European University Institute
Downloads 95 (234,116)
Citation 11

Abstract:

Interpolation, factor model, Kalman filter, spline

Interpolation and Backdating with a Large Information Set

CEPR Discussion Paper No. 4533
Number of pages: 36 Posted: 30 Sep 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and European University Institute
Downloads 17 (482,205)
Citation 11
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Abstract:

Interpolation, factor model, Kalman filter, spline

24.

Modelling and Forecasting Fiscal Variables for the Euro Area

Downloads 108 (212,676)
Citation 4

Modelling and Forecasting Fiscal Variables for the Euro Area

IGIER Working Paper No. 298
Number of pages: 33 Posted: 09 Oct 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 67 (290,035)
Citation 4

Abstract:

Fiscal forecasting, forecast comparison, fiscal rules, euro area

Modelling and Forecasting Fiscal Variables for the Euro Area

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 755-783, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 25 (436,069)
Citation 4
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Abstract:

Modelling and Forecasting Fiscal Variables for the Euro Area

CEPR Discussion Paper No. 5294
Number of pages: 35 Posted: 29 Dec 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 16 (487,874)
Citation 4
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Abstract:

Fiscal forecasting, forecast comparison, fiscal rules, euro area

25.

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Downloads 103 (220,013)
Citation 1

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Bundesbank Series 1 Discussion Paper No. 2011,35
Number of pages: 56 Posted: 08 Jun 2016
Claudia Foroni, Massimiliano Giuseppe Marcellino and Christian Schumacher
Independent, European University Institute and Deutsche Bundesbank
Downloads 99 (227,492)
Citation 1

Abstract:

mixed data sampling, distributed lag polynomals, time aggregation, now-casting

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

CEPR Discussion Paper No. DP8828
Number of pages: 38 Posted: 01 Mar 2012
Claudia Foroni, Massimiliano Giuseppe Marcellino and Christian Schumacher
Independent, European University Institute and Deutsche Bundesbank
Downloads 4 (554,313)
Citation 1
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Abstract:

distributed lag polynomals, Mixed data sampling, nowcasting, time aggregation

26.

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Downloads 97 (229,168)

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

IGIER Working Paper No. 306
Number of pages: 38 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 83 (255,573)

Abstract:

Factor models, Principal components, Subspace algorithms, Structural

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

CEPR Discussion Paper No. 5621
Number of pages: 39 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 14 (499,730)
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Abstract:

Factor models, principal components, subspace algorithms, structural identification, structural VAR

27.

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Downloads 86 (247,819)
Citation 17

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

IGIER Working Paper No. 305
Number of pages: 34 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 64 (297,340)
Citation 17

Abstract:

Factor models, Principal components, Subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

CEPR Discussion Paper No. 5620
Number of pages: 35 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 21 (458,813)
Citation 17
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Abstract:

factor models, principal components, subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Journal of Time Series Analysis, Vol. 30, Issue 2, pp. 208-238, March 2009
Number of pages: 31 Posted: 27 Apr 2009
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 1 (579,783)
Citation 17
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Abstract:

28.

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Downloads 80 (259,141)
Citation 1

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 896
Number of pages: 61 Posted: 21 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
European University Institute, Bank of Italy and Bank of Italy
Downloads 77 (267,604)
Citation 1

Abstract:

forecasting, business cycle, mixed-frequency data, nonlinear models, nowcasting

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

CEPR Discussion Paper No. DP9334
Number of pages: 57 Posted: 12 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
European University Institute, Bank of Italy and Bank of Italy
Downloads 3 (560,083)
Citation 1
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Abstract:

Business cycle, Forecasting, Mixed-frequency data, Nonlinear models, Nowcasting

29.

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Downloads 79 (261,118)
Citation 1

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Document de Travail No. 383
Number of pages: 36 Posted: 01 Jun 2012
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
Banque de France, European University Institute and Banque de France
Downloads 74 (273,988)
Citation 1

Abstract:

Forecasting, Non-linear models, Great Recession

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

CEPR Discussion Paper No. DP9313
Number of pages: 45 Posted: 01 Feb 2013
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
Banque de France, European University Institute and Banque de France
Downloads 5 (549,159)
Citation 1
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Abstract:

Great Recession, Macroeconomic forecasting, Non-linear models

30.

Time Scale Transformations of Discrete Time Processes

Downloads 79 (261,118)
Citation 4

Time Scale Transformations of Discrete Time Processes

U of California Davis Working Paper
Number of pages: 29 Posted: 26 Feb 2003
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 66 (292,511)
Citation 4

Abstract:

time aggregation, time-scale transformation, irregularly spaced data, autoregressive conditional intensity model

Time-Scale Transformations of Discrete Time Processes

Journal of Time Series Analysis, Vol. 25, No. 6, pp. 873-894, November 2004
Number of pages: 22 Posted: 18 Oct 2004
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 13 (505,433)
Citation 4
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Abstract:

31.

Forecasting Macroeconomic Variables for the Acceding Countries

IGIER Working Paper No. 260
Number of pages: 46 Posted: 15 May 2004
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 77 (251,439)
Citation 3

Abstract:

Factor models, Forecasts, Time Series Models, Acceding Countries

32.

Ex Post and Ex Ante Analysis of Provisional Data

IGIER Working Paper No. 141
Number of pages: 22 Posted: 02 Dec 1998
Massimiliano Giuseppe Marcellino and Giampiero M. Gallo
European University Institute and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 74 (263,031)
Citation 2

Abstract:

33.

Linear Aggregation with Common Trends and Cycles

IGIER Working Paper No. 160
Number of pages: 18 Posted: 30 Mar 2000
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 71 (269,263)

Abstract:

34.

Pooling-Based Data Interpolation and Backdating

Downloads 69 (282,171)
Citation 1

Pooling-Based Data Interpolation and Backdating

IGIER Working Paper No. 299
Number of pages: 38 Posted: 09 Oct 2005
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 48 (342,800)
Citation 1

Abstract:

Pooling, Interpolation, Factor Model, Kalman Filter, Spline

Pooling-Based Data Interpolation and Backdating

CEPR Discussion Paper No. 5295
Number of pages: 39 Posted: 29 Dec 2005
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 12 (511,366)
Citation 1
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Abstract:

Pooling, interpolation, factor Model, Kalman Filter, spline

Pooling-Based Data Interpolation and Backdating

Journal of Time Series Analysis, Vol. 28, No. 1, pp. 53-71, January 2007
Number of pages: 19 Posted: 18 Dec 2006
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 9 (528,108)
Citation 1
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Abstract:

35.

Econometric Analyses with Backdated Data: Unified Germany and the Euro Area

ECB Working Paper No. 752
Number of pages: 67 Posted: 31 May 2007
Elena Angelini and Massimiliano Giuseppe Marcellino
European Central Bank (ECB) and European University Institute
Downloads 62 (289,081)

Abstract:

Backdating, Factor Model, Unified Germany, Euro Area

36.

Real Time Estimates of the Euro Area Output Gap: Reliability and Forecasting Performance

ECB Working Paper No. 1157
Number of pages: 79 Posted: 10 Mar 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
European University Institute and European Central Bank (ECB)
Downloads 61 (271,300)
Citation 6

Abstract:

Output gap, real-time data, euro area, inflation forecasts, real GDP forecasts, data revisions

37.

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Downloads 57 (311,238)

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

FRB of Cleveland Working Paper No. 12-27
Number of pages: 58 Posted: 15 Nov 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 53 (327,251)

Abstract:

Prediction, forecasting, Bayesian methods, mixed frequency models

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

CEPR Discussion Paper No. DP9312
Number of pages: 59 Posted: 01 Feb 2013
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 4 (554,313)
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Abstract:

Bayesian methods, forecasting, mixed frequency models, Prediction

38.

Bayesian VARs: Specification Choices and Forecast Accuracy

Downloads 57 (311,238)
Citation 3

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 54 (324,303)
Citation 3

Abstract:

Bayesian VARs, forecasting, prior specification, lag length, marginal likelihood

Bayesian VARs: Specification Choices and Forecast Accuracy

CEPR Discussion Paper No. DP8273
Number of pages: 52 Posted: 14 Mar 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 3 (560,083)
Citation 3
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Abstract:

Bayesian VARs, forecasting, marginal likelihood, prior specification

39.

Path Forecast Evaluation

Downloads 54 (319,531)
Citation 3

Path Forecast Evaluation

Number of pages: 45 Posted: 18 Jul 2008 Last Revised: 05 Feb 2014
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 52 (330,309)
Citation 3

Abstract:

path forecast, simultaneous confidence region, error bands

Path Forecast Evaluation

CEPR Discussion Paper No. DP7009
Number of pages: 48 Posted: 18 Dec 2008
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 2 (568,238)
Citation 3
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Abstract:

error bands, path forecast, simultaneous confidence region

40.

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Downloads 48 (337,083)
Citation 3

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 43 (359,252)
Citation 3

Abstract:

FAVAR, time-varying parameters, monetary transmission, forecasting

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

CEPR Discussion Paper No. DP8321
Number of pages: 53 Posted: 18 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 5 (549,159)
Citation 3
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Abstract:

FAVAR, forecasting, monetary transmission, time-varying parameters

41.

Have Standard VARs Remained Stable Since the Crisis?

Downloads 45 (346,244)

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
Number of pages: 57 Posted: 12 Sep 2014
Knut Are Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 32 (401,716)

Abstract:

Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Norges Bank Working Paper 13 | 2014
Number of pages: 57 Posted: 04 May 2015
Knut Are Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 13 (505,433)

Abstract:

Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Knut Are Aastveit, Andrea Carreiro, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 0
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Abstract:

42.

Factor Based Index Tracking

CEPR Discussion Paper No. 3265
Number of pages: 42 Posted: 12 Apr 2002
Francesco Corielli and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 41 (359,161)
Citation 4
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Abstract:

Index tracing, replica, stock index, factor models

43.

Forecasting Economic Activity with Higher Frequency Targeted Predictors

Bank of Italy Temi di Discussione (Working Paper) No. 847
Number of pages: 49 Posted: 29 Feb 2012
Guido Bulligan, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
Bank of Italy, European University Institute and Bank of Italy
Downloads 40 (328,162)

Abstract:

short-term GDP forecast, factor models, bridge models, General To Specific

44.

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Downloads 38 (369,604)
Citation 1

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Bundesbank Series 1 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 34 (393,320)
Citation 1

Abstract:

international business cycles, international transmission channels, financial markets, globalization, financial conditions index, global financial crisis, timevarying FAVAR

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

CEPR Discussion Paper No. DP8341
Number of pages: 48 Posted: 20 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 4 (554,313)
Citation 1
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Abstract:

financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

45.

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

Downloads 32 (392,213)

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

Bundesbank Discussion Paper No. 19/2016
Number of pages: 34 Posted: 29 Jun 2016
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and European University Institute
Downloads 32 (401,716)

Abstract:

exchange rates, forecasting, density forecasts, BVAR, time-varying parameters

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

CEPR Discussion Paper No. DP11559
Number of pages: 34 Posted: 10 Oct 2016
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and European University Institute
Downloads 0
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Abstract:

46.

On the Importance of Sectoral and Regional Shocks for Price-Setting

ECB Working Paper No. 1334
Number of pages: 56 Posted: 17 May 2011
Guenter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
Goethe University Frankfurt, Board of Governors of the Federal Reserve System and European University Institute
Downloads 32 (343,019)
Citation 2

Abstract:

Disaggregated prices, euro area regional and sectoral inflation, common factor models

47.

Survey Data as Coincident or Leading Indicators

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3
Number of pages: 33 Posted: 01 Jul 2009
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi Sr. and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 32 (373,173)
Citation 2

Abstract:

Survey data, Forecasting, Temporal Disaggregation, Dynamic factor modes, Kalman Filter and smoother

48.

EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

CEIS Working Paper No. 287
Number of pages: 40 Posted: 03 Oct 2013
Cecilia Frale, Stefano Grassi, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi Sr. and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, University of Aarhus - CREATES, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 31 (349,411)

Abstract:

Index of coincident indicators, Temporal Disaggregation, Multivariate State Space Models, Dynamic factor Models, Quarterly National accounts

49.

Factor Analysis in a Model with Rational Expectations

Downloads 26 (418,650)
Citation 4

Factor Analysis in a Model with Rational Expectations

NBER Working Paper No. w13404
Number of pages: 30 Posted: 14 Sep 2007 Last Revised: 18 Aug 2010
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 23 (447,337)
Citation 4

Abstract:

Factor Analysis in a Model with Rational Expectations

Econometrics Journal, Vol. 11, Issue 2, pp. 271-286, July 2008
Number of pages: 16 Posted: 14 Jul 2008
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 3 (560,083)
Citation 4
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Abstract:

50.

Variable Reduction and Variable Selection Methods Using Small, Medium and Large Datasets: A Forecast Comparison for the PEEIs

quantf research Working Paper Series: WP08/2014
Number of pages: 36 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
University of London - Queen Mary College - Department of Economics, European University Institute and Quantf Research
Downloads 25 (352,637)

Abstract:

Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components

51.

Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data

Econometrics Journal, Vol. 7, No. 2, pp. 322-340, December 2004
Number of pages: 19 Posted: 13 Dec 2004
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 22 (438,897)
Citation 41
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Abstract:

52.

Variable Selection for Large Unbalanced Datasets Using Non-Standard Optimisation of Information Criteria and Variable Reduction Methods

quantf research Working Paper Series: WP04/2014
Number of pages: 21 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
University of London - Queen Mary College - Department of Economics, European University Institute and Quantf Research
Downloads 21 (349,411)

Abstract:

Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI

53.

The Solvency of Government Finances in Europe

Fiscal Sustainability Conference, p. 210, 2000
Number of pages: 34 Posted: 17 Jul 2012
Michael Artis and Massimiliano Giuseppe Marcellino
University of Manchester and European University Institute
Downloads 21 (384,400)

Abstract:

54.

Common Drifting Volatility in Large Bayesian VARs

Downloads 21 (444,046)

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 20 (464,637)

Abstract:

Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

CEPR Discussion Paper No. DP8894
Number of pages: 71 Posted: 04 Apr 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 1 (579,783)
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Abstract:

Bayesian VARs, forecasting, prior specification, stochastic volatility

55.

Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area

CEPR Discussion Paper No. 3635
Number of pages: 35 Posted: 13 Dec 2002
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 21 (444,046)
Citation 20
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Abstract:

Fiscal policy, policy coordination, stabilization policy, monetary policy

56.

Large Datasets, Small Models and Monetary Policy in Europe

CEPR Discussion Paper No. 3098
Number of pages: 31 Posted: 08 Jan 2002
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 20 (449,268)
Citation 14
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Abstract:

Monetary policy, small models, dynamic factors

57.

Forecasting EU Economic Activity Using Summary Indicators

quantf research Working Paper Series: WP07/2014
Number of pages: 51 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
University of London - Queen Mary College - Department of Economics, European University Institute and Quantf Research
Downloads 16 (444,046)

Abstract:

Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators

58.

The Transmission Mechanism in a Changing World

CEPR Discussion Paper No. 4014
Number of pages: 41 Posted: 26 Sep 2003
Michael J. Artis, Ana Beatriz Galvão and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG), University of Warwick and European University Institute
Downloads 16 (470,097)
Citation 7
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Abstract:

Transmission mechanism, shocks, cycles, Europe, impulse response, non-linear VAR

59.

Forecasting EMU Macroeconomic Variables

CEPR Discussion Paper No. 3529
Number of pages: 33 Posted: 23 Oct 2002
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 16 (470,097)
Citation 10
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Abstract:

European Monetary Union, forecasting, time-varying models, non-linear models, instability, non-linearity

60.

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Downloads 15 (475,315)

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1122
Number of pages: 63 Posted: 28 Aug 2017
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
University of London - Queen Mary College - Department of Economics, European University Institute and Bank of Italy
Downloads 14 (499,730)

Abstract:

large VARs, time-varying parameters, non-parametric estimation, forecasting

Large Time-Varying Parameter VARs: A Non-Parametric Approach

CEPR Discussion Paper No. DP11560
Number of pages: 57 Posted: 10 Oct 2016
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
University of London - Queen Mary College - Department of Economics, European University Institute and Bank of Italy
Downloads 1 (579,783)
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Abstract:

61.

Selecting Predictors by Using Bayesian Model Averaging in Bridge Models

Bank of Italy Temi di Discussione (Working Paper) No. 872
Number of pages: 40 Posted: 02 Oct 2012
Lorenzo Bencivelli, Massimiliano Giuseppe Marcellino and Gianluca Moretti
Bank of Italy, European University Institute and UBS Global Asset Management
Downloads 15 (423,558)

Abstract:

business cycle analysis, forecasting, Bayesian model averaging, bridge models

62.

Forecast Pooling for Short Time Series of Macroeconomic Variables

CEPR Discussion Paper No. 3313
Number of pages: 35 Posted: 16 May 2002
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 15 (475,315)
Citation 9
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Abstract:

Time-varying models, non-linear models, forecast pooling, European Monetary Union

63.

Instability and Non-Linearity in the EMU

CEPR Discussion Paper No. 3312
Number of pages: 40 Posted: 14 May 2002
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 15 (475,315)
Citation 10
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Abstract:

Instability, non-linearity, time-varying models, non-linear models, European Monetary Union

64.

Factor Forecasts for the US

CEPR Discussion Paper No. 3119
Number of pages: 42 Posted: 22 Jan 2002
Michael J. Artis, Anindya Banerjee and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute - Department of Economics and European University Institute
Downloads 13 (485,727)
Citation 5
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Abstract:

Factor models, forecasts, time series models

65.

Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014
Number of pages: 13 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
University of London - Queen Mary College - Department of Economics, European University Institute and Quantf Research
Downloads 12 (449,268)

Abstract:

Financial Conditions, Forecasting

66.

Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings

quantf research Working Paper Series: WP05/2014
Number of pages: 34 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
University of London - Queen Mary College - Department of Economics, European University Institute and Quantf Research
Downloads 12 (470,097)

Abstract:

Business Cycles, Recession

67.

Mixed Frequency Structural VARs

Norges Bank Working Paper 2014/01
Number of pages: 27 Posted: 23 Jan 2014
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and European University Institute
Downloads 12 (380,607)

Abstract:

Structural VAR, temporal aggregation, mixed frequency data, identification, estimation, impulse response function

68.

Pooling Versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

Downloads 12 (491,005)
Citation 1

Pooling Versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

Bundesbank Series 1 Discussion Paper No. 2009,03
Number of pages: 56 Posted: 08 Jun 2016
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 8 (533,632)
Citation 1

Abstract:

casting, forecast combination, forecast pooling, model selection, mixed - frequency data, factor models, MIDAS

Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

CEPR Discussion Paper No. DP7197
Number of pages: 41 Posted: 11 Mar 2009
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 4 (554,313)
Citation 1
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Abstract:

factor models, forecast combination, forecast pooling, MIDAS, mixed-frequency data, model selection, nowcasting

69.

Empirical Simultaneous Confidence Regions for Path-Forecasts

Downloads 11 (496,144)

Empirical Simultaneous Confidence Regions for Path-Forecasts

Number of pages: 60 Posted: 17 Oct 2015
Òscar Jordà, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and European University Institute
Downloads 6 (544,074)

Abstract:

path forecast, forecast uncertainty, simultaneous confidence region, Scheffé’s S-method, Mahalanobis distance, false discovery rate

Empirical Simultaneous Confidence Regions for Path-Forecasts

Bundesbank Series 1 Discussion Paper No. 2010,06
Number of pages: 60 Posted: 08 Jun 2016
Òscar Jordà, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and European University Institute
Downloads 5 (549,159)

Abstract:

Path forecast, forecast uncertainty, simultaneous confidence region, Scheffé's S-method, Mahalanobis distance, false discovery rate

70.

Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area

Oxford Bulletin of Economics and Statistics, Vol. 66, No. 4, pp. 537-565, September 2004
Number of pages: 29 Posted: 07 Sep 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 11 (496,144)
Citation 23
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Abstract:

71.

Forecast Pooling for European Macroeconomic Variables

Oxford Bulletin of Economics and Statistics, Vol. 66, No. 1, pp. 91-112, February 2004
Number of pages: 22 Posted: 26 Mar 2004
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 11 (496,144)
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Abstract:

72.

Characterizing the Business Cycle for Accession Countries

CEPR Discussion Paper No. 4457
Number of pages: 48 Posted: 30 Jul 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 10 (501,119)
Citation 10
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Abstract:

Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

73.

Mixed Frequency Structural Models: Identification, Estimation, and Policy Analysis

Norges Bank Working Paper 15
Number of pages: 46 Posted: 12 Nov 2013
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and European University Institute
Downloads 8 (449,268)

Abstract:

Structural VAR, DSGE models, temporal aggregation, mixed frequency data, identification, estimation, policy analysis

74.

Forecasting with Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP7677
Number of pages: 46 Posted: 10 Feb 2010
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 6 (520,231)
Citation 4
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Abstract:

Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, Forecasting

75.

A Monthly Indicator of the Euro Area GDP

CEPR Discussion Paper No. DP7007
Number of pages: 41 Posted: 18 Dec 2008
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi Sr. and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 6 (520,231)
Citation 7
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Abstract:

Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

76.

Markov-Switching Midas Models

CEPR Discussion Paper No. DP8234
Number of pages: 47 Posted: 09 Feb 2011
Pierre Guérin and Massimiliano Giuseppe Marcellino
Government of Canada - Bank of Canada and European University Institute
Downloads 5 (524,718)
Citation 3
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Abstract:

business cycle, forecasting, mixed-frequency data, non-linear models, nowcasting

77.

Forecasting Exchange Rates with a Large Bayesian VAR

CEPR Discussion Paper No. DP7008
Number of pages: 33 Posted: 18 Dec 2008
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 5 (524,718)
Citation 9
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Abstract:

Bayesian VAR, Exchange Rates, Forecasting

78.

On the Importance of Sectoral and Regional Shocks for Price-Setting

CEPR Discussion Paper No. DP8357
Number of pages: 51 Posted: 04 May 2011
Günter Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System and European University Institute
Downloads 4 (529,228)
Citation 2
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Abstract:

common factor models, disaggregated prices, euro area regional and sectoral inflation

79.

Midas Vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

CEPR Discussion Paper No. DP7445
Number of pages: 25 Posted: 07 Oct 2009
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 4 (529,228)
Citation 9
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Abstract:

euro area growth, MIDAS, mixed-frequency data, mixed-frequency VAR, nowcasting

80.

A Measure for Credibility: Tracking US Monetary Developments

CEPR Discussion Paper No. DP7036
Number of pages: 30 Posted: 18 Dec 2008
Maria Demertzis, Massimiliano Giuseppe Marcellino and Nicola Viegi
De Nederlandsche Bank - Research Department, European University Institute and University of Pretoria - Department of Economics
Downloads 4 (529,228)
Citation 1
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Abstract:

anchors for expectations, credibility, Great Inflation, Great Moderation

81.

Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP6707
Number of pages: 28 Posted: 10 Jun 2008
Anindya Banerjee and Massimiliano Giuseppe Marcellino
European University Institute - Department of Economics and European University Institute
Downloads 4 (529,228)
Citation 6
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Abstract:

Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, VAR

82.

Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

CEPR Discussion Paper No. DP6706
Number of pages: 60 Posted: 10 Jun 2008
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 4 (529,228)
Citation 5
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Abstract:

Factor models, forecasts, parameter uncertainty, short samples, structural change, time series models

83.

Endogenous Monetary Policy Regimes and the Great Moderation

CEPR Discussion Paper No. DP7827
Number of pages: 39 Posted: 19 May 2010
Ana Beatriz Galvão and Massimiliano Giuseppe Marcellino
University of Warwick and European University Institute
Downloads 3 (534,229)
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Abstract:

great moderation, impulse responses, monetary policy, time-varying models

84.

Forecasting Government Bond Yields with Large Bayesian Vars

CEPR Discussion Paper No. DP7796
Number of pages: 54 Posted: 19 May 2010
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 3 (534,229)
Citation 5
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Abstract:

Bayesian methods, Forecasting, Term Structure

85.

The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap

CEPR Discussion Paper No. DP7763
Number of pages: 46 Posted: 05 Apr 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
European University Institute and European Central Bank (ECB)
Downloads 3 (534,229)
Citation 6
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Abstract:

data revisions, euro area, inflation forecasts, Output gap, real GDP forecasts, real-time data

86.

Sectoral Survey-Based Confidence Indicators for Europe

Oxford Bulletin of Economics and Statistics, Vol. 73, No. 2, pp. 175-206, 2011
Number of pages: 32 Posted: 01 Mar 2011
Andrea Carriero and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and European University Institute
Downloads 2 (541,226)
Citation 2
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Abstract:

87.

Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Oxford Bulletin of Economics and Statistics, Vol. 72, Issue 4, pp. 518-550, August 2010
Number of pages: 33 Posted: 21 Jun 2010
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 2 (541,226)
Citation 18
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Abstract:

88.

Empirical Simultaneous Confidence Regions for Path-Forecasts

CEPR Discussion Paper No. DP7797
Number of pages: 51 Posted: 19 May 2010
Oscar Jorda, Malte Knüppel and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics, Deutsche Bundesbank - Research Centre and European University Institute
Downloads 2 (541,226)
Citation 1
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Abstract:

forecast uncertainty, path forecast, Scheffe;'s S-method, simultaneous confidence region

89.

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

CEPR Discussion Paper No. DP7726
Number of pages: 39 Posted: 17 Mar 2010
George Kapetanios and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics and European University Institute
Downloads 2 (541,226)
Citation 6
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Abstract:

DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments

90.

The Reliability of Real Time Estimates of the Euro Area Output Gap

CEPR Discussion Paper No. DP7716
Number of pages: 35 Posted: 09 Mar 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
European University Institute and European Central Bank (ECB)
Downloads 2 (541,226)
Citation 5
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Abstract:

data revisions, euro area, Output gap, real-time data

91.

Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-Specified Models

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 867-893, December 2008
Number of pages: 27 Posted: 02 Dec 2008
Massimiliano Giuseppe Marcellino and Barbara Rossi
European University Institute and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 2 (541,226)
Citation 1
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Abstract:

92.

Regime Switches in the Risk-Return Trade-Off

CEPR Discussion Paper No. DP9698
Number of pages: 45 Posted: 28 Oct 2013
Eric Ghysels, Pierre Guérin and Massimiliano Giuseppe Marcellino
University of North Carolina Kenan-Flagler Business School, Government of Canada - Bank of Canada and European University Institute
Downloads 1 (551,212)
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Abstract:

conditional variance, Markov-switching, MIDAS, Risk-return trade-off

93.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

CEPR Discussion Paper No. DP7446
Number of pages: 36 Posted: 07 Oct 2009
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, University of London - Queen Mary College - Department of Economics and European University Institute
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Abstract:

Bayesian VARs, factor models, forecasting, reduced rank

94.

Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the United States

Economic Policy, Vol. 24, Issue 57, pp. 141-184, January 2009
Number of pages: 43 Posted: 02 Jan 2009
Guenter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
Goethe University Frankfurt, Board of Governors of the Federal Reserve System and European University Institute
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Abstract:

95.

Macroeconomic Activity and Risk Indicators: An Unstable Relationship

BAFFI CAREFIN Centre Research Paper No. 2017-56
Number of pages: 29 Posted: 06 Jul 2017
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and European University Institute
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Abstract:

forecasting, credit spreads, SVAR, time-varying parameters

96.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

FRB of Cleveland Working Paper No. 16-17
Number of pages: 55 Posted: 18 Sep 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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Abstract:

97.

Time Variation in Macro-Financial Linkages

Bundesbank Discussion Paper No. 13/2013
Number of pages: 54 Posted: 21 Jun 2016
Esteban Prieto, Sandra Eickmeier and Massimiliano Giuseppe Marcellino
University of Tuebingen, Deutsche Bundesbank and European University Institute
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Citation 1

Abstract:

financial shocks, time-varying parameter VAR model, Global Financial Crisis, macro-financial linkages

98.

Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

Bundesbank Series 1 Discussion Paper No. 2009,07
Number of pages: 36 Posted: 08 Jun 2016
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
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Citation 6

Abstract:

nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

99.

Using Low Frequency Information for Predicting High Frequency Variables

Norges Bank Working Paper 13/2015
Number of pages: 41 Posted: 27 Nov 2015
Claudia Foroni, Pierre Guerin and Massimiliano Giuseppe Marcellino
Norges Bank, Government of Canada - Bank of Canada and European University Institute
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Abstract:

Mixed-Frequency VAR models, temporal aggregation, MIDAS models

100.

Structural Analysis with Multivariate Autoregressive Index Models

CEPR Discussion Paper No. DP10801
Number of pages: 53 Posted: 08 Sep 2015
Andrea Carreiro, George Kapetanios and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, University of London - Queen Mary College - Department of Economics and European University Institute
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Abstract:

Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis

101.

Monetary, Fiscal and Oil Shocks: Evidence Based on Mixed Frequency Structural FAVARs

CEPR Discussion Paper No. DP10610
Number of pages: 39 Posted: 27 May 2015
Massimiliano Giuseppe Marcellino and Vasja Sivec
European University Institute and European University Institute
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Abstract:

estimation, identification, impulse response function, mixed frequency data, Structural FAVAR, temporal aggregation

102.

Factor Based Identification-Robust Inference in IV Regressions

CEPR Discussion Paper No. DP10390
Number of pages: 50 Posted: 02 Feb 2015
George Kapetanios, Lynda Khalaf and Massimiliano Giuseppe Marcellino
University of London - Queen Mary College - Department of Economics, Carleton University and European University Institute
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Abstract:

factor model, identification-robust inference, IV regression, new Keynesian model, principle components, weak instruments

103.

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP9848
Number of pages: 58 Posted: 02 Jun 2014
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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Abstract:

density forecasting, no arbitrage, stochastic volatility, Term structure

104.

Markov-Switching Mixed-Frequency VAR Models

CEPR Discussion Paper No. DP9815
Number of pages: 44 Posted: 02 Jun 2014
Claudia Foroni, Pierre Guérin and Massimiliano Giuseppe Marcellino
Independent, Government of Canada - Bank of Canada and European University Institute
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Abstract:

Fore-, Markov-switching, MIDAS, Mixed-frequency VAR, Nowcasting

105.

Structural FECM: Cointegration in Large-Scale Structural FAVAR Models

CEPR Discussion Paper No. DP9858
Number of pages: 34 Posted: 02 Jun 2014
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
University of Birmingham - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
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Abstract:

Cointegration, Dynamic Factor Models, Factor-augmented Error Correction Models, FAVAR, Structural Analysis

106.

A Simple Benchmark for Forecasts of Growth and Inflation

CEPR Discussion Paper No. 6012
Posted: 07 May 2007
Massimiliano Giuseppe Marcellino
European University Institute

Abstract:

growth, inflation, non-linear models, time-varying models

107.

Fiscal Forecasting: The Track Record of the IMF, OECD and EC

Econometrics Journal, Vol. 4, pp. S20-S36, 2001
Posted: 27 Sep 2001
Michael J. Artis and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG) and European University Institute

Abstract:

Fiscal forecasting, Forecast comparison, Loss function

108.

Further Results on MSFE Encompassing

IGIER Working Paper No. 143
Posted: 03 Dec 1998
Massimiliano Giuseppe Marcellino
European University Institute

Abstract:

109.

Some Temporal Aggregation Issues in Empirical Analysis

UCSD Economics Discussion Paper No. 96-39
Posted: 11 Feb 1997
Massimiliano Giuseppe Marcellino
European University Institute

Abstract:

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