Tommaso Proietti

University of Rome II - Department of Economics and Finance

Professor of Economic Statistics

Via Columbia n.2

Rome, rome 00100

Italy

SCHOLARLY PAPERS

31

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1,851

CITATIONS
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Top 5,145

in Total Papers Citations

101

Scholarly Papers (31)

1.

Measuring Core Inflation By Multivariate Structural Time Series Models

CEIS Working Paper No. 83
Number of pages: 22 Posted: 31 May 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 205 (120,482)

Abstract:

common trends, dynamic factor analysis, homogeneity, exponential smoothing

2.
Downloads 183 (139,591)
Citation 26

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
European University Institute, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 165 (153,092)
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
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 18 (479,436)
Citation 26
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Abstract:

Business cycle, euro area, cycle dating, cycle synchronization

3.

Structural Time Series Models for Business Cycle Analysis

CEIS Research Paper No. 109
Number of pages: 45 Posted: 01 Apr 2008 Last Revised: 24 Feb 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 174 (132,745)
Citation 2

Abstract:

State Space Models, Kalman Filter and Smoother, Bayesian Estimation

4.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 128 (176,765)
Citation 12

Abstract:

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

5.

New Proposals for the Quantification of Qualitative Survey Data

CEIS Working Paper No. 102
Number of pages: 26 Posted: 07 Mar 2007
Tommaso Proietti and Cecilia Frale
University of Rome II - Department of Economics and Finance and Government of the Italian Republic (Italy) - Department of the Treasury
Downloads 114 (200,980)
Citation 1

Abstract:

Spectral envelope, Seasonality, Deviation cycles, Cumulative Logit

6.

Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis

CEIS Working Paper No. 112
Number of pages: 26 Posted: 03 Apr 2008
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 97 (224,824)

Abstract:

Henderson filter, Trend estimation, Nearest Neighbour Bandwidth, Musgrave asymmetric

7.

On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates

CEIS Working Paper No. 84
Number of pages: 35 Posted: 31 May 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 89 (232,690)
Citation 3

Abstract:

Signal Extraction, Revisions, Kalman filter and Smoother, Bandpass

8.

Growth Accounting for the Euro Area: A Structural Approach

ECB Working Paper No. 804
Number of pages: 48 Posted: 11 Sep 2007
Tommaso Proietti and Alberto Musso
University of Rome II - Department of Economics and Finance and European Central Bank (ECB)
Downloads 85 (237,565)
Citation 1

Abstract:

Potential output, Output gap, Euro area, Unobserved components, Production function approach, Low-pass filters.

9.

Exponential Smoothing, Long Memory and Volatility Prediction

CEIS Working Paper No. 319
Number of pages: 31 Posted: 05 Aug 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 80 (206,286)

Abstract:

Realized Volatility, Signal Extraction, Permanent-Transitory Decomposition, Fractional equal-root IMA model

10.

Band Spectral Estimation for Signal Extraction

CEIS Working Paper No. 105
Number of pages: 29 Posted: 14 May 2007
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 43 (339,599)

Abstract:

Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain

11.

The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913

CEIS Research Paper No. 133
Number of pages: 26 Posted: 21 Nov 2008
Carlo Ciccarelli, Stefano Fenoaltea and Tommaso Proietti
University of Rome, Tor Vergata - Faculty of Economics, affiliation not provided to SSRN and University of Rome II - Department of Economics and Finance
Downloads 42 (336,612)

Abstract:

12.

Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach

CEIS Working Paper No. 325
Number of pages: 46 Posted: 24 Aug 2014
Martyna Marczak and Tommaso Proietti
University of Hohenheim and University of Rome II - Department of Economics and Finance
Downloads 38 (265,086)

Abstract:

Indicator saturation, seasonal adjustment, structural time series model, outliers, structural change, general-to-specific approach, state space model

13.

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

CEIS Working Paper No. 272
Number of pages: 39 Posted: 21 Apr 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 33 (342,586)

Abstract:

Frequency Domain Methods, Generalized linear models, Long Memory, Boosting

14.

On the Selection of Common Factors for Macroeconomic Forecasting

CEIS Working Paper No. 332
Number of pages: 33 Posted: 14 Mar 2015
Alessandro Giovannelli and Tommaso Proietti
University of Rome, Tor Vergata and University of Rome II - Department of Economics and Finance
Downloads 32 (269,294)

Abstract:

Variable selection; Multiple testing; p-value weighting

15.

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
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 (375,853)
Citation 2

Abstract:

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

16.

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
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 (351,957)

Abstract:

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

17.

Temporal Disaggregation By State Space Methods: Dynamic Regression Methods Revisited

Econometrics Journal, Vol. 9, No. 3, pp. 357-372, November 2006
Number of pages: 16 Posted: 01 Nov 2006
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 26 (421,583)
Citation 12
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Abstract:

18.

The Generalised Autocovariance Function

CEIS Working Paper No. 276
Number of pages: 33 Posted: 07 May 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 20 (421,583)

Abstract:

Stationary Gaussian processes, Non-parametric spectral estimation, White noise tests, Feature matching, Discriminant Analysis

19.

Generalised Linear Spectral Models

CEIS Working Paper No. 290
Number of pages: 27 Posted: 07 Oct 2013
Tommaso Proietti and Alessandra Luati
University of Rome II - Department of Economics and Finance and University of Bologna - Department of Statistics
Downloads 16 (412,156)

Abstract:

generalized linear models, iteratively weighted least squares, frequency domain methods

20.

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
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 11 (499,170)
Citation 23
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Abstract:

21.

Seasonal Changes in Central England Temperatures

CEIS Working Paper No. 347
Number of pages: 29 Posted: 17 Jun 2015
Tommaso Proietti and Eric T. Hillebrand
University of Rome II - Department of Economics and Finance and University of Aarhus - CREATES
Downloads 10 (447,001)

Abstract:

Global Warming, Seasonal Models, Structural Change, Amplitude and Phase Shifts

22.

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

CEIS Working Paper No. 340
Number of pages: 45 Posted: 14 Apr 2015
Tommaso Proietti, Martyna Marczak and Gian Luigi Mazzi Sr.
University of Rome II - Department of Economics and Finance, University of Hohenheim and Eurostat
Downloads 10 (447,001)

Abstract:

Density Forecast Combination and Evaluation; Mixed–Frequency Data; Dynamic Factor Models; State Space Models

23.

Characterizing the Business Cycle for Accession Countries

CEPR Discussion Paper No. 4457
Number of pages: 48 Posted: 30 Jul 2004
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 10 (504,160)
Citation 10
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Abstract:

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

24.

Generalised Partial Autocorrelations and the Mutual Information between Past and Future

CEIS Working Paper No. 344
Number of pages: 17 Posted: 06 Jun 2015
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads 6 (473,176)

Abstract:

Generalised autocovariance, Spectral models, Whittle likelihood, Reparameterisation.

25.

A Monthly Indicator of the Euro Area GDP

CEPR Discussion Paper No. DP7007
Number of pages: 41 Posted: 18 Dec 2008
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 (523,414)
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

26.

Hyper-Spherical and Elliptical Stochastic Cycles

Journal of Time Series Analysis, Vol. 31, Issue 3, pp. 169-181, May 2010
Number of pages: 13 Posted: 19 Apr 2010
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Downloads 2 (544,931)
Citation 1
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Abstract:

27.

Seasonality, Forecast Extensions and Business Cycle Uncertainty

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 555-569, 2012
Number of pages: 15 Posted: 07 Aug 2012
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 1 (555,058)
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Abstract:

Linear filters, Reliability, Seasonal adjustment, Unobserved components

28.

Transformations and Seasonal Adjustment

Journal of Time Series Analysis, Vol. 30, Issue 1, pp. 47-69, January 2009
Number of pages: 23 Posted: 02 Jan 2009
Tommaso Proietti and Marco Riani
University of Rome II - Department of Economics and Finance and University of Parma
Downloads 1 (544,931)
Citation 1
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Abstract:

29.

A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices

CEIS Working Paper No. 410
Number of pages: 26 Posted: 19 Jul 2017
Tommaso Proietti and Alessandro Giovannelli
University of Rome II - Department of Economics and Finance and University of Rome, Tor Vergata
Downloads 0 (483,648)

Abstract:

Toeplitz systems; Optimal linear prediction; Partial autocorrelation function

30.

A Data-Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models

CEIS Working Paper No. 374
Number of pages: 30 Posted: 31 Mar 2016
Martyna Marczak, Tommaso Proietti and Stefano Grassi
University of Hohenheim, University of Rome II - Department of Economics and Finance and University of Kent, Canterbury
Downloads 0 (375,853)

Abstract:

robust filtering, augmented Kalman filter, structural time series model, additive outlier, innovation outlier

31.
Downloads 0 (569,371)

Spurious Periodic Autoregressions

The Econometrics Journal, Vol. 1, Issue 1, pp. 1-22, 1998
Number of pages: 22 Posted: 24 Sep 2014
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Downloads 0
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Abstract:

Periodic models, Seasonality, Trend

Spurious Periodic Autoregressions

The Econometrics Journal, Vol. 1, 1998
Posted: 09 Apr 1999
Tommaso Proietti
University of Rome II - Department of Economics and Finance

Abstract: