Access Statistics for Massimiliano Marcellino

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series 0 0 1 252 6 7 9 736
A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series 0 0 0 582 7 9 16 1,709
A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions 0 0 1 5 3 7 10 36
A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK 0 0 0 3 7 9 11 36
A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables 3 4 10 158 4 9 24 294
A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market 0 0 0 571 4 12 13 1,551
A Measure for Credibility: Tracking US Monetary Developments 0 1 3 44 15 21 23 193
A Measure for Credibility: Tracking US Monetary Developments 0 0 1 57 4 5 7 177
A Monthly Indicator of the Euro Area GDP 0 0 0 91 11 16 23 333
A Monthly Indicator of the Euro Area GDP 0 0 0 218 4 7 8 473
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions 0 0 0 188 2 3 7 622
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 1 8 7 10 12 50
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 0 3 4 9 9 26
A Similarity-based Approach for Macroeconomic Forecasting 0 0 1 62 4 7 11 111
A Simple Benchmark for Forecasts of Growth and Inflation 0 0 0 190 4 8 10 607
A survey of econometric methods for mixed-frequency data 1 2 6 283 7 15 28 619
A survey of econometric methods for mixed-frequency data 0 1 4 162 2 9 18 361
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 2 117 11 17 31 259
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 0 37 3 10 14 100
Addressing COVID-19 outliers in BVARs with stochastic volatility 0 0 4 45 5 14 32 122
An Overview of the Factor-augmented Error-Correction Model 0 0 4 206 1 7 20 239
An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis 1 1 2 120 4 12 14 284
An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis 0 0 4 155 4 10 22 256
Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth? 0 0 0 575 5 9 14 2,421
Are There Any Reliable Leading Indicators for US Inflation and GDP Growth? 0 0 0 304 1 2 4 1,001
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 1 51 1 3 6 79
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 1 1 1 16 7 12 13 53
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 0 67 2 9 14 133
Asymmetries in Financial Spillovers 0 3 12 22 6 19 38 52
Bayesian Neural Networks for Macroeconomic Analysis 0 0 1 2 9 17 23 31
Bayesian Neural Networks for Macroeconomic Analysis 0 0 2 133 3 9 17 62
Bayesian VARs: Specification Choices and Forecast Accuracy 0 0 3 186 3 5 14 443
Bayesian VARs: specification choices and forecast accuracy 0 1 4 433 4 11 29 693
Bayesian modelling of VAR precision matrices using stochastic block networks 0 0 1 14 3 6 14 23
Bayesian nonparametric methods for macroeconomic forecasting 1 1 10 31 6 8 26 74
Bayesian nonparametric methods for macroeconomic forecasting 0 0 0 0 4 7 9 9
Big Data Econometrics: Now Casting and Early Estimates 0 1 7 210 4 7 23 292
Blended Identification in Structural VARs 0 0 2 66 3 6 11 59
Blended Identification in Structural VARs 0 0 1 8 0 5 9 28
Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks 0 0 1 87 4 7 12 67
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 25 1 5 6 109
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 44 1 4 12 80
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 8 3 4 8 36
Can Machine Learning Catch the COVID-19 Recession? 0 0 2 2 3 5 8 21
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 2 2 8 19 6 6 21 60
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 0 0 1 213 5 10 20 339
Characterising the Business Cycle for Accession Countries 0 0 0 312 4 7 9 709
Characterising the Business Cycle for Accession Countries 0 0 0 196 4 7 7 539
Characterizing the Business Cycle for Accession Countries 0 0 0 175 4 6 8 551
Classical time-varying FAVAR models - Estimation, forecasting and structural analysis 0 1 1 115 3 5 6 358
Classical time-varying FAVAR models - estimation, forecasting and structural analysis 1 1 6 666 7 13 28 1,580
Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification 0 0 1 35 4 5 8 33
Coarsened Bayesian VARs. Correcting BVARs for Incorrect Specification 0 0 0 0 3 3 4 4
Common Drifting Volatility in Large Bayesian VARs 0 0 0 116 0 6 12 274
Common Drifting Volatility in Large Bayesian VARs 0 0 0 40 3 3 4 149
Common drifting volatility in large Bayesian VARs 0 0 1 98 6 11 15 290
Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments 0 0 0 6 3 7 7 33
Dating the Euro Area Business Cycle 0 0 0 313 2 3 6 1,078
Dating the Euro Area Business Cycle 0 0 0 347 0 7 9 1,142
Dating the Euro Area Business Cycle 0 0 0 427 4 11 13 1,356
Econometric analyses with backdated data: unified Germany and the euro area 0 0 0 63 4 6 7 278
Empirical Simultaneous Confidence Regions for Path-Forecasts 0 0 0 8 5 7 8 68
Empirical simultaneous confidence regions for path-forecasts 0 0 0 46 2 8 10 159
Empirical simultaneous prediction regions for path-forecasts 0 0 0 58 3 5 6 147
Endogenous Monetary Policy Regimes and the Great Moderation 0 0 0 35 41 59 60 253
Endogenous Monetary Policy Regimes and the Great Moderation 0 0 0 90 4 7 7 199
Endogenous Uncertainty 0 0 1 167 2 8 10 410
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 3 5 6 127
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 4 13 16 163
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 1 4 5 2,050
Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns 0 0 0 77 2 4 7 192
Factor Analysis in a Model with Rational Expectations 0 0 1 119 7 12 14 363
Factor Analysis in a New-Keynesian Model 0 0 0 116 2 5 6 482
Factor Based Index Tracking 0 0 0 538 3 7 9 1,325
Factor Based Index Trading 0 0 0 453 20 24 27 1,370
Factor Forecasts for the UK 0 0 0 161 6 8 11 508
Factor Forecasts for the UK 0 0 0 191 2 3 4 534
Factor analysis in a New-Keynesian model 0 0 0 198 1 4 8 564
Factor based identification-robust inference in IV regressions 1 2 2 49 4 6 8 99
Factor forecasts for the UK 1 1 1 177 2 6 12 597
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 23 4 6 7 115
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 1 1 2 5 5 7 12 33
Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP 0 0 0 144 9 22 26 443
Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1 0 0 0 93 2 6 13 410
Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP 0 1 2 220 5 8 11 724
Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP 0 1 3 202 4 9 13 715
Factor-augmented Error Correction Models 0 0 0 362 6 9 17 937
Factor-augmented Error Correction Models 0 0 0 175 2 6 6 359
Factor-augmented Error Correction Models 0 0 1 200 3 6 7 526
Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model 1 4 13 35 1 10 31 69
Fiscal Forecasting: the Track Record of the IMF, OECD and EC 0 0 0 1 1 5 8 443
Fiscal Forecasting: the Track Record of the IMF, OECD, and EC 0 0 1 172 3 10 14 601
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 289 4 9 11 814
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 1 5 7 11 356
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 200 5 9 12 658
Forecast Pooling for Short Time Series of Macroeconomic Variables 0 0 0 274 5 6 9 885
Forecast pooling for short time series of macroeconomic variables 0 0 0 421 3 5 11 1,578
Forecasting EMU Macroeconomic Variables 0 0 0 302 3 8 9 1,856
Forecasting EMU macroeconomic variables 0 0 1 325 5 6 7 1,816
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 2 2 3 303
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 11 2 4 9 45
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 174 3 5 12 426
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 75 10 15 16 282
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 2 38 5 6 10 148
Forecasting Government Bond Yields with Large Bayesian VARs 0 1 2 11 2 5 10 52
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 144 2 8 12 320
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 1 63 4 6 13 222
Forecasting Large Datasets with Reduced Rank Multivariate Models 0 0 0 0 3 5 8 18
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 219 3 5 8 644
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 141 2 2 5 557
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 1 127 2 4 15 698
Forecasting Macroeconomic Variables for the Acceding Countries 0 0 0 120 2 6 7 584
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 0 122 2 4 7 116
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 4 33 4 5 14 69
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 1 31 0 3 10 96
Forecasting economic activity with higher frequency targeted predictors 0 0 2 153 5 8 13 264
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 4 5 6 201
Forecasting macroeconomic variables for the new member states of the European Union 0 0 0 192 8 10 13 717
Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis 0 0 0 0 2 3 5 9
Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis 0 0 0 127 3 6 6 280
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis 0 0 0 24 4 7 10 70
Forecasting the Covid-19 recession and recovery: lessons from the financial crisis 0 0 0 30 3 6 11 65
Forecasting with Dynamic Models using Shrinkage-based Estimation 0 0 0 3 4 11 11 28
Forecasting with Factor-Augmented Error Correction Models 0 0 0 204 5 9 14 377
Forecasting with Factor-augmented Error Correction Models 0 0 1 102 3 5 6 239
Forecasting with Factor-augmented Error Correction Models 0 0 2 62 4 6 10 238
Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter 0 1 3 171 5 7 13 316
Forecasting with Shadow-Rate VARs 0 0 0 48 6 12 16 104
Further Results on MSFE Encompassing 0 0 0 62 4 5 9 483
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 0 1 3 3 6 8 13
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 1 1 2 154 4 5 12 107
Have Standard VARs Remained Stable Since the Crisis? 0 0 0 43 4 7 11 88
Have Standard VARs Remained Stable since the Crisis? 0 0 0 91 5 11 15 225
Have standard VARs remained stable since the crisis? 0 0 0 114 5 20 25 275
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation 0 0 0 144 4 6 7 535
Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation 0 0 0 348 7 12 15 1,065
Inflation, Attention and Expectations 0 0 3 16 10 20 38 53
Inflation, Attention and Expectations 0 1 12 14 7 15 35 39
Instability and Non-Linearity in the EMU 0 0 0 100 3 7 10 340
Instability and non-linearity in the EMU 0 0 0 122 3 4 6 542
Interpolation and Backdating with A Large Information Set 0 0 1 97 4 4 7 351
Interpolation and backdating with a large information set 0 1 1 130 3 11 14 438
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model 0 0 1 36 0 3 6 55
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model 0 0 1 2 5 7 10 17
Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model 0 0 1 1 5 9 13 14
LSM: A DSGE Model for Luxembourg 0 0 0 0 2 4 4 21
LSM: A DSGE Model for Luxembourg 0 0 0 0 4 4 4 17
LSM: A DSGE Model for Luxembourg 0 0 0 0 3 4 4 79
Large Datasets, Small Models and Monetary Policy in Europe 0 0 1 153 5 6 11 1,001
Large Datasets, Small Models and Monetary Policy in Europe 0 0 0 112 0 4 4 639
Large Time-Varying Parameter VARs: A Non-Parametric Approach 0 0 2 87 4 11 17 139
Large Vector Autoregressions with Asymmetric Priors 0 0 0 6 2 2 4 41
Large Vector Autoregressions with Stochastic Volatility and Flexible Priors 0 0 0 206 3 8 11 385
Large time-varying parameter VARs: a non-parametric approach 0 0 2 123 5 7 11 192
Leading Indicators for Euro Area Inflation and GDP Growth 0 0 0 343 3 8 12 1,066
Leading Indicators for Euro-area Inflation and GDP Growth 0 0 2 670 7 13 18 1,862
Leading Indicators: What Have We Learned? 0 1 1 235 1 4 5 479
Leading Indicators: What Have We Learned? 0 0 0 385 2 5 7 634
Linear Aggregation with Common Trends and Cycles 0 0 0 63 6 10 13 232
MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area 0 0 7 456 11 18 34 1,149
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area 0 1 2 135 3 8 11 425
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area 0 0 0 120 7 9 14 495
Machine Learning the Macroeconomic Effects of Financial Shocks 0 1 14 29 4 10 26 39
Macro Uncertainty in the Long Run 0 0 1 5 1 5 8 19
Macroeconomic Forecasting in a Multi-country Context 0 0 1 68 1 12 16 73
Macroeconomic Forecasting in a Multi-country Context 0 1 1 7 1 4 9 27
Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information 0 0 3 683 2 7 11 1,844
Macroeconomic activity and risk indicators: an unstable relationship 0 0 0 55 5 14 15 67
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 58 2 3 3 148
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 178 13 21 24 479
Macroeconomic forecasting during the Great Recession: the return of non-linearity? 0 0 0 0 5 7 11 41
Markov-Switching Mixed-Frequency VAR Models 0 0 2 127 4 7 13 294
Markov-Switching Three-Pass Regression Filter 0 1 1 27 5 9 11 128
Markov-switching MIDAS models 1 1 4 119 6 10 18 482
Markov-switching three-pass regression filter 0 0 0 33 1 9 16 113
Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors 0 0 0 17 0 9 11 28
Measuring Uncertainty and Its Effects in the COVID-19 Era 0 0 1 12 5 7 8 39
Measuring Uncertainty and Its Effects in the COVID-19 Era 0 0 1 58 4 6 14 137
Measuring Uncertainty and Its Impact on the Economy 0 0 3 77 12 18 34 175
Measuring Uncertainty and Its Impact on the Economy 0 0 2 202 1 1 10 365
Mixed frequency models with MA components 0 0 1 34 8 12 18 120
Mixed frequency models with MA components 0 0 0 79 0 2 5 122
Mixed frequency structural VARs 1 2 2 198 8 10 12 349
Mixed frequency structural models: estimation, and policy analysis 0 0 0 124 4 6 11 207
Model Selection for Non-Linear Dynamic Models 0 0 1 236 1 3 4 669
Modelling and Forecasting Fiscal Variables for the Euro Area 0 0 0 305 1 13 14 655
Modelling and Forecasting Fiscal Variables for the euro Area 0 0 0 134 9 14 21 407
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK 0 0 0 333 3 5 9 1,485
Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs 0 0 0 122 4 6 10 219
Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes 0 0 0 101 4 7 8 410
No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 0 0 0 72 2 3 6 147
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 0 0 0 44 2 6 10 50
Nonparametric Time Varying IV-SVARs: Estimation and Inference 0 0 13 21 3 9 29 35
Nowcasting Tail Risk to Economic Activity at a Weekly Frequency 0 0 2 39 3 8 15 108
Nowcasting Tail Risks to Economic Activity with Many Indicators 0 0 1 97 7 9 17 244
Nowcasting distributions: a functional MIDAS model 0 0 5 49 2 6 21 77
Nowcasting with Mixed Frequency Data Using Gaussian Processes 0 0 3 38 1 9 27 63
On the importance of sectoral and regional shocks for price setting 0 0 0 18 5 12 15 86
On the importance of sectoral and regional shocks for price-setting 0 0 0 71 8 10 13 240
On the importance of sectoral and regional shocks for price-setting 0 0 0 36 4 5 7 135
On the importance of sectoral shocks for price-setting 0 0 0 7 0 5 6 60
Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables 1 1 14 14 3 5 44 44
Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables 3 5 43 43 9 24 86 86
Path Forecast Evaluation 0 0 1 75 6 6 7 188
Path Forecast Evaluation 0 1 2 15 6 10 14 95
Path Forecast Evaluation 0 0 0 33 3 8 10 97
Point, interval and density forecasts of exchange rates with time-varying parameter models 0 0 1 84 4 9 16 197
Point, interval and density forecasts of exchange rates with time-varying parameter models 0 0 2 40 5 8 10 75
Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP 0 0 0 122 3 5 6 323
Pooling versus model selection for nowcasting with many predictors: An application to German GDP 0 0 1 83 1 3 6 290
Pooling versus model selection for nowcasting with many predictors: an application to German GDP 0 0 2 88 3 5 8 267
Pooling-based Data Interpolation and Backdating 0 0 0 80 3 7 11 311
Pooling-based data interpolation and backdating 0 0 0 64 4 5 6 331
Principal components at work: The empirical analysis of monetary policy with large datasets 0 0 1 792 7 12 14 2,363
Public Capital and Economic Performance: Evidence from Italy 0 0 2 460 3 9 17 1,242
Real time estimates of the euro area output gap: reliability and forecasting performance 0 0 2 153 5 9 16 476
Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility 0 0 0 74 5 10 12 257
Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility 0 0 2 232 3 10 18 478
Regime Switches in the Risk-Return Trade-Off 0 0 0 39 4 6 9 172
Regime Switches in the Risk-Return Trade-off 0 0 0 46 1 4 8 59
Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the US 0 0 1 6 4 6 10 67
Regional Inflation Dynamics within and across Euro Area and a Comparison with the US 0 2 3 128 4 11 15 346
Regional inflation dynamics within and across euro area countries and a comparison with the US 0 0 1 13 2 8 11 93
Regional inflation dynamics within and across euro area countries and a comparison with the US 0 0 0 202 4 6 11 723
Risky Oil: It's All in the Tails 0 1 3 4 6 9 25 28
Risky Oil: It's All in the Tails 0 0 2 13 3 6 11 38
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA 0 0 0 102 2 3 5 544
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA 0 0 0 1 5 7 8 19
Sectoral Survey-based Confidence Indicators for Europe 0 0 1 52 3 6 9 257
Selecting predictors by using Bayesian model averaging in bridge models 0 0 0 71 2 4 6 193
Shadow-rate VARs 0 0 5 36 4 7 24 84
Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility 0 0 0 172 4 6 12 431
Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility 0 0 2 409 3 6 18 890
Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 0 0 0 251 1 6 8 1,002
Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data 0 0 0 438 4 9 17 1,073
Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data 0 0 0 0 1 3 5 481
Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area 0 0 0 115 2 4 6 440
Some stylized facts on non-systematic fiscal policy in the Euro area 0 0 2 358 7 12 17 977
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 1 3 81 1 3 9 85
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 1 8 17 3 9 29 45
Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data 0 0 0 164 4 5 8 780
Structural Analysis with Multivariate Autoregressive Index Models 0 0 0 87 5 7 9 129
Structural FECM: Cointegration in large-scale structural FAVAR models 0 0 0 90 3 5 6 192
Survey Data as Coicident or Leading Indicators 0 0 1 72 4 7 8 209
Survey Data as Coincident or Leading Indicators 0 0 1 38 7 9 10 175
TFP, Costs, and Public Infrastructure: An Equivocal Relationship 0 0 2 397 5 8 14 1,045
Tail Forecasting with Multivariate Bayesian Additive Regression Trees 0 0 0 78 7 11 15 103
Tail Forecasting with Multivariate Bayesian Additive Regression Trees 0 0 2 6 4 6 12 26
Tax shocks with high and low uncertainty 0 0 1 123 6 7 10 142
Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures 0 0 0 0 1 2 5 323
Testing for PPP: Should We Use Panel Methods? 0 0 0 309 2 4 6 621
Testing for PPP: Should We Use Panel Methods? 0 0 0 471 0 6 10 1,596
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR 0 0 0 76 2 4 7 261
The Distributional Effects of Economic Uncertainty 0 0 8 11 12 19 32 40
The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap 0 0 0 17 5 8 10 94
The Global Component of Inflation Volatility 0 0 1 42 5 6 14 168
The Multiscale Causal Dynamics of Foreign Exchange Markets 0 1 2 66 3 5 10 173
The Reliability of Real Time Estimates of the Euro Area Output Gap 0 0 0 32 4 8 9 176
The Role of Search Frictions and Bargaining for Inflation Dynamics 0 0 0 41 3 6 6 181
The Transmission Mechanism in a Changing World 0 0 0 134 7 12 12 511
The banking and distribution sectors in a small open economy DSGE Model 0 0 0 29 5 7 11 99
The banking and distribution sectors in a small open economy DSGE Model 0 0 1 179 2 7 17 366
The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR 0 0 1 281 4 8 15 689
The demand and supply of information about inflation 1 1 3 22 6 10 16 44
The demand and supply of information about inflation 0 0 2 31 2 3 10 73
The economic drivers of volatility and uncertainty 0 0 0 68 6 9 12 128
The financial accelerator mechanism: does frequency matter? 0 0 0 12 2 3 7 19
The financial accelerator mechanism: does frequency matter? 0 0 0 25 4 7 9 71
The global component of inflation volatility 0 0 3 150 46 54 59 432
The transmission mechanism in a changing world 0 0 0 214 3 3 4 530
Time Variation in Macro-Financial Linkages 0 0 1 60 3 5 9 192
Time Varying Three Pass Regression Filter 1 3 12 16 4 9 30 36
Time variation in macro-financial linkages 0 0 2 174 9 11 18 447
Time-Scale Transformations of Discrete-Time Processes 0 0 0 2 6 8 8 26
Time-Varying Instrumental Variable Estimation 0 0 0 50 6 11 16 85
Time-Varying Instrumental Variable Estimation 0 0 0 40 2 5 9 106
U-MIDAS: MIDAS regressions with unrestricted lag polynomials 0 1 2 101 17 23 29 354
U-MIDAS: MIDAS regressions with unrestricted lag polynomials 2 5 12 592 13 28 59 2,066
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 0 1 2 55 3 7 14 121
Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty 0 0 1 23 7 9 11 65
Using low frequency information for predicting high frequency variables 0 1 1 142 1 4 8 236
Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994 0 0 0 702 9 9 12 2,904
interpolation with a large information set 0 0 0 55 1 1 3 255
the Reliability of Real Time Estimates of the EURO Area Output Gap 0 0 0 53 3 3 8 165
Total Working Papers 25 68 427 36,633 1,242 2,309 3,770 109,672
11 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
A Credibility Proxy: Tracking US Monetary Developments 1 1 2 104 7 10 19 289
A Markov-switching vector equilibrium correction model of the UK labour market 0 0 0 309 5 8 11 926
A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS 0 0 0 1 4 5 7 54
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series 0 1 9 425 14 40 101 1,299
A comparison of methods for the construction of composite coincident and leading indexes for the UK 0 1 1 58 3 6 8 166
A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates 0 4 14 190 3 13 33 403
A daily indicator of economic growth for the euro area 0 1 3 47 7 12 20 128
A linear benchmark for forecasting GDP growth and inflation? 0 0 1 195 5 10 17 543
A macroeconometric model for the Euro economy 0 0 0 139 10 13 15 375
A parametric estimation method for dynamic factor models of large dimensions 0 0 0 64 4 7 9 160
A similarity‐based approach for macroeconomic forecasting 0 0 0 28 1 3 9 110
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 3 7 14 16 11 22 63 98
An empirical investigation of the effects of monetary policy shocks on the Italian economy 1 1 1 1 3 3 3 3
Are there any reliable leading indicators for US inflation and GDP growth? 0 1 1 205 2 7 10 559
Assessing international commonality in macroeconomic uncertainty and its effects 0 0 4 30 5 8 14 93
Bayesian VARs: Specification Choices and Forecast Accuracy 0 2 6 126 2 8 21 346
Bayesian neural networks for macroeconomic analysis 0 1 2 2 6 57 70 70
Blended identification in structural VARs 0 1 5 11 2 7 28 48
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 3 7 14 227
CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION? 0 0 2 16 1 5 11 39
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions 3 4 11 15 9 21 44 59
Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis 0 2 4 78 4 7 11 172
Common Drifting Volatility in Large Bayesian VARs 0 1 1 57 3 14 28 184
Cross-sectional averaging and instrumental variable estimation with many weak instruments 0 0 1 34 15 16 21 118
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 0 1 195 5 9 13 575
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 2 5 15 237
Econometric analyses with backdated data: Unified Germany and the euro area 0 0 0 19 7 8 11 133
Empirical simultaneous prediction regions for path-forecasts 0 0 0 27 4 5 6 105
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 8 10 10 77
Explaining the time-varying effects of oil market shocks on US stock returns 0 0 0 42 3 3 5 136
Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP 0 3 13 216 9 19 48 543
Factor analysis in a model with rational expectations 0 0 0 79 1 2 6 432
Factor based index tracking 0 0 4 161 1 4 9 409
Factor-GMM estimation with large sets of possibly weak instruments 0 0 1 104 6 12 18 250
Factor‐Based Identification‐Robust Interference in IV Regressions 0 0 1 11 4 10 13 50
Fiscal forecasting: The track record of the IMF, OECD and EC 0 0 0 12 4 5 9 688
Forecast Bias and MSFE Encompassing 0 0 0 0 3 6 9 17
Forecast Pooling for European Macroeconomic Variables 0 0 1 33 2 4 9 178
Forecasting EMU macroeconomic variables 0 0 0 141 7 11 13 567
Forecasting economic activity by Bayesian bridge model averaging 0 0 1 40 4 7 11 117
Forecasting economic activity with targeted predictors 1 1 4 75 6 7 14 172
Forecasting euro area variables with German pre-EMU data 0 0 0 44 5 7 10 159
Forecasting exchange rates with a large Bayesian VAR 1 1 2 288 6 7 16 798
Forecasting government bond yields with large Bayesian vector autoregressions 0 0 2 140 9 13 22 370
Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter 0 0 1 47 6 9 12 114
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods 0 0 2 25 0 1 5 76
Forecasting large datasets with Bayesian reduced rank multivariate models 0 0 0 0 4 6 6 150
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis 0 0 0 10 2 6 7 35
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union 0 0 0 33 5 5 8 116
Forecasting with factor-augmented error correction models 0 1 3 92 10 12 23 253
Forecasting with shadow rate VARs 0 0 0 0 6 20 28 28
Foreword 0 0 0 6 1 5 7 49
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 1 1 1 8 12 23 25
Guest Editors’ Introduction to Special Issue on Encompassing 0 0 0 14 3 4 9 70
Have Standard VARS Remained Stable Since the Crisis? 0 0 0 15 8 12 16 118
Interpolation and backdating with a large information set 0 0 1 77 6 10 14 235
Introduction to advances in business cycle analysis and forecasting 0 0 0 43 1 2 2 119
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model 0 0 0 0 9 13 17 18
LSM: A DSGE model for Luxembourg 0 0 1 50 8 10 17 208
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors 0 1 13 169 7 24 55 506
Large time‐varying parameter VARs: A nonparametric approach 0 0 1 17 7 11 18 97
Leading Indicators for Euro‐area Inflation and GDP Growth* 0 0 1 251 5 7 15 897
Linear aggregation with common trends and cycles 0 0 0 14 3 5 7 88
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area 1 2 7 194 13 20 43 738
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area 0 0 2 70 1 7 15 340
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS 0 1 1 27 3 5 7 79
MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS 0 0 0 19 3 3 4 79
Machine learning the macroeconomic effects of financial shocks 1 3 8 8 7 10 16 16
Macro uncertainty in the long run 0 0 2 3 4 9 12 15
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 1 40 3 4 10 159
Macroeconomic forecasting in a multi‐country context 0 2 4 18 4 7 14 46
Macroeconomic forecasting in the Euro area: Country specific versus area-wide information 0 0 1 335 3 9 18 848
Markov-Switching MIDAS Models 0 2 7 215 6 13 25 739
Markov-Switching Three-Pass Regression Filter 0 2 3 38 2 5 11 117
Markov-switching mixed-frequency VAR models 0 0 2 88 11 15 24 336
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors 0 0 0 0 1 1 1 1
Measuring Uncertainty and Its Impact on the Economy 5 11 28 215 13 31 78 659
Mixed frequency structural vector auto-regressive models 0 0 0 47 1 2 2 111
Mixed‐frequency models with moving‐average components 0 0 1 14 5 6 11 65
Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models* 0 0 0 31 9 10 14 142
Modelling and Forecasting Fiscal Variables for the Euro Area* 0 0 0 86 2 8 10 288
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK 0 0 0 60 7 11 17 220
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs 1 1 1 71 7 8 15 241
NOWCASTING GDP GROWTH IN A SMALL OPEN ECONOMY 0 0 2 27 4 8 16 89
Nonparametric mixed frequency monitoring macro-at-risk 0 1 1 1 4 7 8 8
Nowcasting tail risk to economic activity at a weekly frequency 1 1 8 34 5 10 27 93
No‐arbitrage priors, drifting volatilities, and the term structure of interest rates 0 0 0 7 3 7 11 40
On the Importance of Sectoral and Regional Shocks for Price‐Setting 0 0 0 20 6 8 9 127
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES 0 0 0 0 0 0 4 183
Path forecast evaluation 0 0 1 65 5 8 13 274
Point, interval and density forecasts of exchange rates with time varying parameter models 0 0 0 14 3 5 8 68
Pooling‐Based Data Interpolation and Backdating 0 0 0 12 3 8 10 97
Predicting Tail-Risks for the Italian Economy 1 1 2 2 4 10 17 17
Principal components at work: the empirical analysis of monetary policy with large data sets 0 0 0 456 1 4 13 1,349
Public Capital and Economic Performance: Evidence from Italy 0 0 0 0 5 10 18 317
ROBUST DECISION THEORY AND THE LUCAS CRITIQUE 0 0 0 11 5 6 7 76
Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility 0 0 1 49 7 9 13 222
Regime switches in the risk–return trade-off 0 0 1 33 5 7 11 125
Regional inflation dynamics within and across euro area countries and a comparison with the United States 0 0 0 3 2 2 6 14
Sectoral Survey‐based Confidence Indicators for Europe 0 0 0 0 6 8 12 92
Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility 0 0 1 47 10 19 28 176
Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 0 0 1 165 4 9 10 857
Some Consequences of Temporal Aggregation in Empirical Analysis 0 0 0 0 2 17 32 567
Some cautions on the use of panel methods for integrated series of macroeconomic data 0 0 0 285 4 9 13 806
Some stylized facts on non-systematic fiscal policy in the Euro area 0 1 1 104 8 12 13 272
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 3 6 6 3 11 25 25
Structural FECM: Cointegration in large‐scale structural FAVAR models 0 0 1 26 4 7 12 95
Structural analysis with Multivariate Autoregressive Index models 1 1 3 46 2 6 15 212
Survey data as coincident or leading indicators 0 0 0 58 6 9 11 187
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES 0 0 1 8 5 6 10 33
Tax shocks with high and low uncertainty 2 2 5 23 5 14 23 99
Testing for PPP: Should we use panel methods? 0 0 0 364 5 10 14 1,069
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR 0 0 1 72 9 20 26 235
The effects of the monetary policy stance on the transmission mechanism 0 0 6 124 4 6 18 270
The global component of inflation volatility 1 1 3 12 3 5 11 41
The multiscale causal dynamics of foreign exchange markets 0 0 2 53 5 5 11 191
The reliability of real-time estimates of the euro area output gap 0 0 1 90 4 6 15 359
The transmission mechanism in a changing world 0 0 1 175 4 5 9 540
Time Variation in Macro‐Financial Linkages 0 0 1 29 4 7 13 128
Time-varying instrumental variable estimation 0 1 2 20 5 9 14 70
Time‐scale transformations of discrete time processes 0 0 2 32 2 5 17 263
Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials 0 1 4 158 4 8 20 418
Using low frequency information for predicting high frequency variables 0 2 9 110 6 14 30 426
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty 0 0 2 30 8 11 22 92
Total Journal Articles 24 75 273 9,083 613 1,168 2,105 31,545
2 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Overview of the Factor-augmented Error-Correction Model 0 0 0 17 2 6 9 76
Bayesian nonparametric methods for macroeconomic forecasting 0 0 1 2 0 7 10 16
Chapter 4 Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 0 1 1 7 10
Leading Indicators 1 3 4 322 5 12 18 771
Mixed-Frequency Vector Autoregressive Models☆This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply 0 3 4 7 5 9 14 28
Non-linearity and Instability in the Euro Area 0 0 0 0 2 2 5 7
TEMPORAL DISAGGREGATION, MISSING OBSERVATIONS, OUTLIERS, AND FORECASTING 0 0 0 0 2 2 3 5
Total Chapters 1 6 9 348 17 39 66 913
5 registered items for which data could not be found
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