Access Statistics for Tommaso Proietti

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models 0 0 2 82 1 2 7 88
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 0 1 1 55
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 1 59 0 0 1 52
A Monthly Indicator of the Euro Area GDP 0 1 6 91 0 4 18 310
A Monthly Indicator of the Euro Area GDP 0 1 2 218 0 1 3 465
A data-cleaning augmented Kalman filter for robust estimation of state space models 1 2 3 75 1 2 4 120
A generalized exponential time series regression model for electricity prices 0 0 0 134 0 0 1 167
A seasonal integration analysis of the italian consumption quarterly time series 0 1 1 3 0 1 1 11
Band Spectral Estimation for Signal Extraction 0 0 0 137 0 0 0 314
Band-Pass Filtering with High-Dimensional Time Series 0 0 2 5 1 4 7 19
Band-Pass Filtering with High-Dimensional Time Series 0 0 2 28 1 2 8 26
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 0 0 0 105
Bayesian stochastic model specification search for seasonal and calendar effects 0 1 1 36 0 2 3 108
Characterising the Business Cycle for Accession Countries 0 0 0 196 0 1 1 532
Characterising the Business Cycle for Accession Countries 0 0 0 312 0 1 3 700
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 0 0 1 190
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 1 1 1 158
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 0 0 0 178
Characterizing the Business Cycle for Accession Countries 0 0 2 175 0 0 2 543
Dating the Euro Area Business Cycle 0 1 2 427 0 2 3 1,343
Dating the Euro Area Business Cycle 0 2 4 347 1 3 5 1,134
Dating the Euro Area Business Cycle 0 1 3 313 0 3 8 1,072
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 0 0 0 171
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 1 46 0 0 3 131
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 1 2 199
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 0 3 101
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 0 0 290 0 0 0 554
Efficient Nonparametric Estimation of Generalized Autocovariances 0 1 1 21 0 2 5 32
Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach 0 1 1 949 0 1 3 2,056
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 0 179 1 1 6 419
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 1 2 62 0 1 2 121
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 1 68 0 0 2 147
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 0 0 0 97
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 1 1 1 125
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 1 1 2 97
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 1 85 0 0 7 122
Exponential Smoothing, Long Memory and Volatility Prediction 0 1 1 110 0 3 7 112
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 0 1 2 67
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 0 0 0 256
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 0 123 0 0 1 121
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 0 0 0 388
Generalised Linear Spectral Models 0 0 1 52 0 0 1 109
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 0 1 3 89
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 0 0 3 67
Growth accounting for the euro area: a structural approach 0 0 0 167 1 2 2 365
Has the Volatility of U.S. Inflation Changed and How? 0 1 1 166 0 1 1 336
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 2 2 2 240
Leave-k-out diagnostics in state space models 0 0 0 35 0 0 0 205
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 1 1 2 563
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 1 1 185 0 2 3 294
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 58 0 2 4 233
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 0 0 0 375
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 4 63 0 0 6 47
New proposals for the quantification of qualitative survey data 0 0 0 127 0 0 0 324
Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach 1 1 2 63 2 4 17 116
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 1 1 4 95 1 2 7 108
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 1 1 2 240
On the Estimation of Nonlinearly Aggregated Mixed Models 0 0 0 148 0 0 0 431
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 4 87 0 0 5 230
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 296 0 0 0 612
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 0 0 0 54
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 76 0 1 1 121
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 1 36 0 1 2 73
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 0 0 0 163
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 0 0 0 179
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 42 0 1 5 139
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 172 0 1 1 104
Outlier detection in structural time series models: The indicator saturation approach 0 0 0 56 1 1 2 116
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 0 0 1 99
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 3 3 4 19
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 3 59 0 0 4 64
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 0 0 2 89
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 1 93 1 2 4 316
Seasonal Changes in Central England Temperatures 0 0 0 31 0 1 1 95
Seasonal Changes in Central England Temperatures 0 0 0 31 0 1 3 51
Seasonal Specific Structural Time Series Models 0 0 0 257 0 0 0 433
Seasonality in High Frequency Time Series 0 1 5 74 0 2 7 90
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 0 1 4 395
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 0 0 2 569
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 1 1 1 330
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 0 0 0 42
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 42 1 3 5 63
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 1 1 1 172
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 0 1 1 67
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 0 0 1 35
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 0 0 0 168
Structural Time Series Models for Business Cycle Analysis 0 0 3 681 1 1 4 1,453
Structural properties of the new quarterly series on consumption 0 1 1 1 0 1 1 13
Survey Data as Coicident or Leading Indicators 0 0 0 71 0 0 1 201
Survey Data as Coincident or Leading Indicators 0 0 1 37 0 0 3 165
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 0 0 3 502 0 0 5 1,160
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 1 109 0 0 5 330
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 32 0 0 0 64
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 1 3 42 0 1 5 64
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 0 0 1 109
The Generalised Autocovariance Function 0 0 0 28 0 0 1 99
The Generalised Autocovariance Function 0 0 0 70 0 0 0 134
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 1 1 3 580
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 0 0 2 69
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 0 0 0 183
The Variance Profile 0 0 0 58 1 1 2 201
The comovements of construction in Italy's regions, 1861-1913 0 0 0 62 0 1 1 185
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 0 0 0 164
Trend Estimation 0 0 1 160 1 1 3 357
Total Working Papers 3 21 80 11,896 30 88 271 27,567
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
2nd Special Issue on Statistical Signal Extraction and Filtering 0 0 0 23 0 0 1 62
A Beveridge-Nelson smoother 0 0 1 122 0 0 1 242
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 1 1 1 32
A Systemic Approach to Estimating the Output Gap for the Italian Economy 0 3 5 27 3 8 16 75
A class of periodic trend models for seasonal time series 0 1 1 9 1 2 5 24
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 0 8 1 2 7 47
Band spectral estimation for signal extraction 0 0 0 44 0 0 1 160
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 1 1 2 214
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 0 0 0 79
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models 0 0 0 91 1 1 1 236
Comparing seasonal components for structural time series models 0 1 5 207 0 3 12 609
Component-wise Representations of Long-memory Models and Volatility Prediction 0 0 1 14 0 0 1 49
Convergence in Italian regional per-capita GDP 0 0 0 158 1 1 3 539
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 0 2 194 1 1 6 563
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 0 0 1 33
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 13 0 0 0 83
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 0 0 1 20
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 2 6 50 1 6 15 245
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 0 0 87 0 0 0 260
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 0 6 14 222
Editorial 0 0 0 1 1 1 1 6
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 0 1 210 0 1 11 528
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 0 0 5 0 0 0 30
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 0 1 67
Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 4 0 0 1 54
Extracting the Cyclical Component in Hours Worked 0 0 0 27 0 0 1 114
Forecasting and signal extraction with misspecified models 0 0 0 55 0 0 0 193
Forecasting the US unemployment rate 0 0 0 162 0 0 2 347
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 2 10 0 0 2 30
Growth accounting for the euro area 0 0 0 17 0 0 1 77
Has the Volatility of U.S. Inflation Changed and How? 0 0 0 77 1 1 2 213
Hyper‐spherical and elliptical stochastic cycles 0 0 1 14 0 0 1 60
Introduction 0 0 0 10 1 1 1 79
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 0 0 0 250
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches 0 0 1 45 0 0 1 103
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 1 9 9 3 4 19 19
Multivariate temporal disaggregation with cross-sectional constraints 0 0 2 21 1 1 5 99
New algorithms for dating the business cycle 0 0 0 66 0 0 2 129
New proposals for the quantification of qualitative survey data 0 0 0 34 0 1 2 89
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 3 4 7 18 4 5 16 50
Nowcasting monthly GDP with big data: A model averaging approach 0 0 2 24 0 0 3 68
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 1 1 2 49
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 1 55 1 1 3 146
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing 0 0 0 10 0 0 0 52
Outlier detection in structural time series models: The indicator saturation approach 0 0 1 18 0 1 4 99
Patterns of industrial specialisation in post-Unification Italy 0 0 0 13 0 1 5 59
Peaks, gaps, and time‐reversibility of economic time series 0 0 3 5 1 2 9 19
Persistence of Shocks on Seasonal Processes 0 0 1 55 2 3 4 205
Predictability, real time estimation, and the formulation of unobserved components models 0 0 1 6 0 0 3 18
SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY 0 0 0 29 1 1 1 116
Seasonal Specific Structural Time Series 0 0 0 84 0 1 1 240
Seasonal changes in central England temperatures 0 0 1 11 0 1 2 53
Seasonality in High Frequency Time Series 1 3 7 9 2 7 24 27
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 0 0 2 403
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 0 0 1 129
Spurious periodic autoregressions 0 0 0 0 2 2 3 317
State space modeling of Gegenbauer processes with long memory 1 1 1 22 1 2 2 68
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 0 0 2 74
Survey data as coincident or leading indicators 0 0 0 58 0 1 4 176
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 0 1 4 530
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 1 1 1 39
The Variance Profile 0 0 0 18 0 1 2 100
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 0 0 1 55 0 0 4 285
The generalised autocovariance function 0 0 0 22 0 0 5 107
Transformations and seasonal adjustment 0 0 0 32 0 0 1 100
Trend-Cycle Decompositions with Correlated Components 0 2 2 73 0 3 3 190
Trends in atmospheric ethane 0 1 4 8 0 2 12 21
Unobserved components models with correlated disturbances 0 0 0 3 0 0 0 10
Total Journal Articles 5 19 69 2,877 34 79 264 10,031

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 4 51 0 1 11 167
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 1 2 3 40
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 0 0 1 3
Total Chapters 0 0 4 56 1 3 15 210

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Statistics updated 2025-03-03