Access Statistics for Massimiliano Marcellino

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Working Paper File Downloads Abstract Views
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A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series 0 0 0 582 1 11 19 1,713
A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series 0 0 0 252 3 10 12 740
A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions 0 0 1 5 0 6 13 39
A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK 0 0 0 3 0 8 12 37
A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables 0 3 10 158 0 5 25 295
A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market 0 0 0 571 0 6 15 1,553
A Measure for Credibility: Tracking US Monetary Developments 0 0 2 44 0 20 27 198
A Measure for Credibility: Tracking US Monetary Developments 0 0 1 57 2 8 11 181
A Monthly Indicator of the Euro Area GDP 0 0 0 91 11 29 40 351
A Monthly Indicator of the Euro Area GDP 0 0 0 218 0 5 8 474
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions 0 0 0 188 0 3 5 623
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 0 3 0 6 11 28
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 1 8 1 11 15 54
A Similarity-based Approach for Macroeconomic Forecasting 0 1 2 63 0 6 12 113
A Simple Benchmark for Forecasts of Growth and Inflation 0 0 0 190 1 5 10 608
A survey of econometric methods for mixed-frequency data 0 1 5 163 4 9 22 368
A survey of econometric methods for mixed-frequency data 1 2 6 284 4 15 34 627
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 0 37 1 5 15 102
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 1 117 0 16 32 264
Addressing COVID-19 outliers in BVARs with stochastic volatility 0 0 2 45 1 9 30 126
An Overview of the Factor-augmented Error-Correction Model 0 0 4 206 2 3 20 241
An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis 0 0 4 155 0 5 22 257
An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis 0 1 2 120 1 6 15 286
Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth? 0 0 0 575 1 6 14 2,422
Are There Any Reliable Leading Indicators for US Inflation and GDP Growth? 0 1 1 305 1 4 7 1,004
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 0 67 0 5 16 136
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 1 51 0 1 6 79
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 1 1 16 0 7 13 53
Asymmetries in Financial Spillovers 0 7 19 29 0 15 45 61
Bayesian Neural Networks for Macroeconomic Analysis 0 0 2 133 1 5 16 64
Bayesian Neural Networks for Macroeconomic Analysis 0 0 1 2 3 15 27 37
Bayesian VARs: Specification Choices and Forecast Accuracy 0 0 3 186 1 5 14 445
Bayesian VARs: specification choices and forecast accuracy 0 1 5 434 3 9 31 698
Bayesian modelling of VAR precision matrices using stochastic block networks 0 0 1 14 0 5 14 25
Bayesian nonparametric methods for macroeconomic forecasting 1 2 9 32 2 11 28 79
Bayesian nonparametric methods for macroeconomic forecasting 0 0 0 0 2 9 13 14
Big Data Econometrics: Now Casting and Early Estimates 0 0 6 210 1 8 24 296
Blended Identification in Structural VARs 1 1 3 67 2 10 18 66
Blended Identification in Structural VARs 0 0 0 8 2 5 13 33
Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks 0 0 1 87 0 8 16 71
Can Machine Learning Catch the COVID-19 Recession? 0 0 2 2 0 5 10 23
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 44 0 3 13 82
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 25 0 3 8 111
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 8 0 6 10 39
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 0 2 5 19 2 8 16 62
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 0 0 1 213 0 6 18 340
Characterising the Business Cycle for Accession Countries 0 0 0 196 1 7 10 542
Characterising the Business Cycle for Accession Countries 0 0 0 312 2 7 12 712
Characterizing the Business Cycle for Accession Countries 0 0 0 175 1 6 10 553
Classical time-varying FAVAR models - Estimation, forecasting and structural analysis 0 0 1 115 3 7 10 362
Classical time-varying FAVAR models - estimation, forecasting and structural analysis 0 2 5 667 3 17 33 1,590
Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification 0 0 1 35 1 6 10 35
Coarsened Bayesian VARs. Correcting BVARs for Incorrect Specification 0 0 0 0 1 8 9 9
Common Drifting Volatility in Large Bayesian VARs 0 1 1 41 1 5 6 151
Common Drifting Volatility in Large Bayesian VARs 0 0 0 116 2 2 11 276
Common drifting volatility in large Bayesian VARs 0 0 1 98 2 9 17 293
Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments 0 0 0 6 1 6 10 36
Dating the Euro Area Business Cycle 0 0 0 347 1 2 10 1,144
Dating the Euro Area Business Cycle 0 0 0 427 1 7 16 1,359
Dating the Euro Area Business Cycle 0 0 0 313 2 7 11 1,083
Econometric analyses with backdated data: unified Germany and the euro area 0 0 0 63 1 9 11 283
Empirical Simultaneous Confidence Regions for Path-Forecasts 0 0 0 8 1 8 10 71
Empirical simultaneous confidence regions for path-forecasts 0 0 0 46 1 3 11 160
Empirical simultaneous prediction regions for path-forecasts 0 0 0 58 0 5 7 149
Endogenous Monetary Policy Regimes and the Great Moderation 0 0 0 35 1 46 65 258
Endogenous Monetary Policy Regimes and the Great Moderation 0 0 0 90 1 12 15 207
Endogenous Uncertainty 0 0 1 167 0 2 9 410
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 1 4 7 128
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 2 7 19 166
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 6 9 13 2,058
Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns 0 1 1 78 0 8 11 198
Factor Analysis in a Model with Rational Expectations 0 0 0 119 2 13 19 369
Factor Analysis in a New-Keynesian Model 0 0 0 116 1 6 9 486
Factor Based Index Tracking 0 0 0 538 0 4 9 1,326
Factor Based Index Trading 0 1 1 454 1 22 28 1,372
Factor Forecasts for the UK 0 0 0 191 0 2 4 534
Factor Forecasts for the UK 0 0 0 161 1 7 12 509
Factor analysis in a New-Keynesian model 0 0 0 198 0 4 10 567
Factor based identification-robust inference in IV regressions 0 1 2 49 0 6 9 101
Factor forecasts for the UK 0 2 2 178 1 5 14 600
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 23 2 11 14 122
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 1 2 5 2 7 13 35
Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP 0 0 0 144 5 19 35 453
Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1 0 0 0 93 1 4 15 412
Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP 0 0 2 220 0 6 12 725
Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP 0 0 3 202 0 7 16 718
Factor-augmented Error Correction Models 0 0 0 362 0 6 16 937
Factor-augmented Error Correction Models 0 0 1 200 0 5 9 528
Factor-augmented Error Correction Models 0 0 0 175 0 2 6 359
Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model 0 2 13 36 2 7 33 75
Fiscal Forecasting: the Track Record of the IMF, OECD and EC 0 0 0 1 1 2 9 444
Fiscal Forecasting: the Track Record of the IMF, OECD, and EC 0 0 1 172 2 7 17 605
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 289 1 8 15 818
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 200 0 5 12 658
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 1 3 9 13 360
Forecast Pooling for Short Time Series of Macroeconomic Variables 0 0 0 274 3 8 10 888
Forecast pooling for short time series of macroeconomic variables 0 0 0 421 5 11 15 1,586
Forecasting EMU Macroeconomic Variables 0 0 0 302 1 4 10 1,857
Forecasting EMU macroeconomic variables 0 0 1 325 2 7 9 1,818
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 0 4 5 305
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 75 0 13 19 285
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 174 0 3 9 426
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 11 0 2 8 45
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 2 11 1 5 13 55
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 2 38 1 8 13 151
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 1 63 0 6 13 224
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 144 2 5 15 323
Forecasting Large Datasets with Reduced Rank Multivariate Models 0 0 0 0 0 3 7 18
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 127 1 4 15 700
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 219 0 4 9 645
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 141 1 5 6 560
Forecasting Macroeconomic Variables for the Acceding Countries 1 1 1 121 4 7 11 589
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 4 33 0 5 15 70
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 1 31 1 1 11 97
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 0 122 1 5 10 119
Forecasting economic activity with higher frequency targeted predictors 0 0 2 153 0 6 13 265
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 0 7 9 204
Forecasting macroeconomic variables for the new member states of the European Union 0 0 0 192 0 11 15 720
Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis 0 0 0 0 0 4 7 11
Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis 0 0 0 127 0 4 7 281
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis 0 0 0 24 0 5 10 71
Forecasting the Covid-19 recession and recovery: lessons from the financial crisis 0 0 0 30 5 9 17 71
Forecasting with Dynamic Models using Shrinkage-based Estimation 0 0 0 3 3 12 19 36
Forecasting with Factor-Augmented Error Correction Models 0 0 0 204 2 8 14 380
Forecasting with Factor-augmented Error Correction Models 0 0 1 102 1 9 12 245
Forecasting with Factor-augmented Error Correction Models 0 0 2 62 0 5 11 239
Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter 0 0 2 171 2 7 13 318
Forecasting with Shadow-Rate VARs 0 0 0 48 2 8 16 106
Further Results on MSFE Encompassing 0 0 0 62 1 8 13 487
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 0 0 3 2 5 8 15
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 1 2 154 3 8 14 111
Have Standard VARs Remained Stable Since the Crisis? 0 0 0 43 0 6 13 90
Have Standard VARs Remained Stable since the Crisis? 0 0 0 91 1 6 16 226
Have standard VARs remained stable since the crisis? 0 0 0 114 1 7 26 277
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation 0 0 0 144 2 6 8 537
Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation 0 0 0 348 1 9 16 1,067
Inflation, Attention and Expectations 1 1 3 17 3 17 43 60
Inflation, Attention and Expectations 1 1 10 15 2 11 33 43
Instability and Non-Linearity in the EMU 0 0 0 100 0 5 12 342
Instability and non-linearity in the EMU 0 0 0 122 0 3 6 542
Interpolation and Backdating with A Large Information Set 0 0 0 97 1 7 8 354
Interpolation and backdating with a large information set 0 0 1 130 1 5 14 440
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model 0 0 1 2 2 8 12 20
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model 0 0 0 36 2 2 6 57
Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model 0 0 0 1 1 7 12 16
LSM: A DSGE Model for Luxembourg 0 0 0 0 0 4 4 17
LSM: A DSGE Model for Luxembourg 0 0 0 0 2 5 6 81
LSM: A DSGE Model for Luxembourg 0 0 0 0 0 2 4 21
Large Datasets, Small Models and Monetary Policy in Europe 0 0 1 153 0 6 11 1,002
Large Datasets, Small Models and Monetary Policy in Europe 0 0 0 112 1 4 8 643
Large Time-Varying Parameter VARs: A Non-Parametric Approach 0 0 2 87 1 7 19 142
Large Vector Autoregressions with Asymmetric Priors 0 0 0 6 2 5 7 44
Large Vector Autoregressions with Stochastic Volatility and Flexible Priors 0 0 0 206 3 9 16 391
Large time-varying parameter VARs: a non-parametric approach 0 0 2 123 2 7 12 194
Leading Indicators for Euro Area Inflation and GDP Growth 0 0 0 343 0 3 10 1,066
Leading Indicators for Euro-area Inflation and GDP Growth 0 0 2 670 1 9 19 1,864
Leading Indicators: What Have We Learned? 0 0 0 385 1 3 7 635
Leading Indicators: What Have We Learned? 0 0 1 235 0 1 5 479
Linear Aggregation with Common Trends and Cycles 0 0 0 63 1 8 14 234
MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area 0 0 4 456 2 13 31 1,151
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area 0 0 0 120 0 7 13 495
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area 0 0 2 135 0 3 11 425
Machine Learning the Macroeconomic Effects of Financial Shocks 0 1 6 30 1 7 24 42
Macro Uncertainty in the Long Run 1 1 2 6 2 4 11 22
Macroeconomic Forecasting in a Multi-country Context 0 0 1 68 0 3 16 75
Macroeconomic Forecasting in a Multi-country Context 1 1 2 8 2 5 10 31
Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information 0 0 1 683 1 5 12 1,847
Macroeconomic activity and risk indicators: an unstable relationship 0 0 0 55 0 10 20 72
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 178 0 19 29 485
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 58 2 4 5 150
Macroeconomic forecasting during the Great Recession: the return of non-linearity? 0 0 0 0 2 8 13 44
Markov-Switching Mixed-Frequency VAR Models 1 2 4 129 1 11 20 301
Markov-Switching Three-Pass Regression Filter 0 0 1 27 5 12 18 135
Markov-switching MIDAS models 0 1 4 119 3 18 28 494
Markov-switching three-pass regression filter 0 0 0 33 2 3 17 115
Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors 0 0 0 17 0 5 15 33
Measuring Uncertainty and Its Effects in the COVID-19 Era 0 0 1 12 0 9 12 43
Measuring Uncertainty and Its Effects in the COVID-19 Era 0 0 1 58 1 6 16 139
Measuring Uncertainty and Its Impact on the Economy 0 0 3 77 3 18 38 181
Measuring Uncertainty and Its Impact on the Economy 0 0 1 202 0 2 8 366
Mixed frequency models with MA components 0 1 2 35 0 12 19 124
Mixed frequency models with MA components 0 0 0 79 0 2 5 124
Mixed frequency structural VARs 0 1 2 198 1 9 13 350
Mixed frequency structural models: estimation, and policy analysis 0 0 0 124 2 8 14 211
Model Selection for Non-Linear Dynamic Models 0 0 0 236 2 4 6 672
Modelling and Forecasting Fiscal Variables for the Euro Area 0 0 0 305 1 4 16 658
Modelling and Forecasting Fiscal Variables for the euro Area 0 0 0 134 0 10 20 408
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK 0 0 0 333 0 4 9 1,486
Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs 0 0 0 122 1 5 9 220
Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes 0 0 0 101 0 4 8 410
No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 0 0 0 72 2 5 9 150
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 0 0 0 44 6 13 19 61
Nonparametric Time Varying IV-SVARs: Estimation and Inference 0 2 7 23 1 11 31 43
Nowcasting Tail Risk to Economic Activity at a Weekly Frequency 0 0 1 39 1 4 13 109
Nowcasting Tail Risks to Economic Activity with Many Indicators 0 0 1 97 1 9 18 246
Nowcasting distributions: a functional MIDAS model 0 1 6 50 0 7 22 82
Nowcasting with Mixed Frequency Data Using Gaussian Processes 0 0 3 38 3 7 31 69
On the importance of sectoral and regional shocks for price setting 0 0 0 18 0 7 17 88
On the importance of sectoral and regional shocks for price-setting 0 0 0 71 1 9 14 241
On the importance of sectoral and regional shocks for price-setting 0 0 0 36 0 5 7 136
On the importance of sectoral shocks for price-setting 0 0 0 7 0 6 12 66
Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables 0 1 14 14 2 8 49 49
Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables 2 6 46 46 7 27 104 104
Path Forecast Evaluation 0 0 2 15 2 11 19 100
Path Forecast Evaluation 0 0 1 75 1 10 11 192
Path Forecast Evaluation 0 0 0 33 2 5 11 99
Point, interval and density forecasts of exchange rates with time-varying parameter models 0 0 1 84 3 12 22 205
Point, interval and density forecasts of exchange rates with time-varying parameter models 0 1 3 41 0 7 12 77
Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP 0 0 0 122 0 3 5 323
Pooling versus model selection for nowcasting with many predictors: An application to German GDP 0 0 1 83 0 2 7 291
Pooling versus model selection for nowcasting with many predictors: an application to German GDP 0 0 2 88 2 5 9 269
Pooling-based Data Interpolation and Backdating 0 0 0 80 0 3 10 311
Pooling-based data interpolation and backdating 0 0 0 64 1 5 7 332
Principal components at work: The empirical analysis of monetary policy with large datasets 2 2 2 794 3 10 16 2,366
Public Capital and Economic Performance: Evidence from Italy 0 0 1 460 1 5 17 1,244
Real time estimates of the euro area output gap: reliability and forecasting performance 0 0 0 153 1 7 16 478
Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility 0 0 0 74 0 5 12 257
Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility 0 0 2 232 4 8 22 483
Regime Switches in the Risk-Return Trade-Off 0 0 0 39 1 5 9 173
Regime Switches in the Risk-Return Trade-off 0 0 0 46 0 1 6 59
Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the US 0 0 0 6 1 6 11 69
Regional Inflation Dynamics within and across Euro Area and a Comparison with the US 0 0 3 128 0 5 15 347
Regional inflation dynamics within and across euro area countries and a comparison with the US 0 0 1 13 1 3 12 94
Regional inflation dynamics within and across euro area countries and a comparison with the US 0 0 0 202 2 8 15 727
Risky Oil: It's All in the Tails 0 0 3 4 3 11 30 33
Risky Oil: It's All in the Tails 0 0 2 13 0 7 14 42
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA 0 0 0 102 1 3 6 545
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA 0 0 0 1 1 6 9 20
Sectoral Survey-based Confidence Indicators for Europe 0 0 1 52 0 5 10 259
Selecting predictors by using Bayesian model averaging in bridge models 0 0 0 71 0 4 8 195
Shadow-rate VARs 0 0 5 36 2 10 26 90
Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility 0 1 3 410 1 6 19 893
Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility 0 0 0 172 0 6 13 433
Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 0 0 0 251 2 3 10 1,004
Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data 0 0 0 438 0 4 17 1,073
Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data 0 0 0 0 1 5 7 485
Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area 0 0 0 115 0 3 7 441
Some stylized facts on non-systematic fiscal policy in the Euro area 0 0 2 358 1 8 18 978
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 1 2 82 1 3 9 87
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 0 7 17 2 10 30 52
Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data 0 0 0 164 4 8 12 784
Structural Analysis with Multivariate Autoregressive Index Models 0 0 0 87 0 7 11 131
Structural FECM: Cointegration in large-scale structural FAVAR models 0 0 0 90 1 4 6 193
Survey Data as Coicident or Leading Indicators 0 0 1 72 1 9 13 214
Survey Data as Coincident or Leading Indicators 0 0 1 38 0 7 10 175
TFP, Costs, and Public Infrastructure: An Equivocal Relationship 0 0 1 397 2 7 15 1,047
Tail Forecasting with Multivariate Bayesian Additive Regression Trees 0 0 2 6 0 8 13 30
Tail Forecasting with Multivariate Bayesian Additive Regression Trees 0 0 0 78 1 10 17 106
Tax shocks with high and low uncertainty 0 0 1 123 0 6 10 142
Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures 0 0 0 0 0 2 5 324
Testing for PPP: Should We Use Panel Methods? 0 0 0 471 2 2 11 1,598
Testing for PPP: Should We Use Panel Methods? 0 0 0 309 0 2 6 621
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR 0 0 0 76 1 6 10 265
The Distributional Effects of Economic Uncertainty 0 0 6 11 4 20 36 48
The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap 0 0 0 17 2 7 12 96
The Global Component of Inflation Volatility 0 0 1 42 1 14 20 177
The Multiscale Causal Dynamics of Foreign Exchange Markets 0 0 2 66 0 5 11 175
The Reliability of Real Time Estimates of the Euro Area Output Gap 0 0 0 32 0 5 10 177
The Role of Search Frictions and Bargaining for Inflation Dynamics 0 0 0 41 1 4 7 182
The Transmission Mechanism in a Changing World 0 0 0 134 0 8 13 512
The banking and distribution sectors in a small open economy DSGE Model 0 0 1 179 1 3 17 367
The banking and distribution sectors in a small open economy DSGE Model 0 0 0 29 0 5 10 99
The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR 1 1 2 282 3 8 19 693
The demand and supply of information about inflation 1 1 2 32 2 8 12 79
The demand and supply of information about inflation 1 2 3 23 5 12 20 50
The economic drivers of volatility and uncertainty 1 1 1 69 3 11 17 133
The financial accelerator mechanism: does frequency matter? 0 0 0 12 1 3 8 20
The financial accelerator mechanism: does frequency matter? 0 0 0 25 0 4 9 71
The global component of inflation volatility 0 0 2 150 8 67 79 453
The transmission mechanism in a changing world 0 0 0 214 0 4 4 531
Time Variation in Macro-Financial Linkages 0 0 1 60 0 7 12 196
Time Varying Three Pass Regression Filter 0 1 10 16 1 7 27 39
Time variation in macro-financial linkages 0 1 3 175 1 12 19 450
Time-Scale Transformations of Discrete-Time Processes 0 0 0 2 1 12 14 32
Time-Varying Instrumental Variable Estimation 0 0 0 40 0 3 10 107
Time-Varying Instrumental Variable Estimation 0 0 0 50 1 9 18 88
U-MIDAS: MIDAS regressions with unrestricted lag polynomials 0 0 2 101 3 26 37 363
U-MIDAS: MIDAS regressions with unrestricted lag polynomials 1 4 14 594 2 20 62 2,073
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 0 0 2 55 2 6 17 124
Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty 1 1 2 24 1 14 18 72
Using low frequency information for predicting high frequency variables 0 0 1 142 0 2 7 237
Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994 0 0 0 702 0 9 12 2,904
interpolation with a large information set 0 0 0 55 0 2 3 256
the Reliability of Real Time Estimates of the EURO Area Output Gap 0 0 0 53 0 9 14 171
Total Working Papers 19 73 407 36,681 342 2,123 4,347 110,553
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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 2 3 105 3 11 23 293
A Markov-switching vector equilibrium correction model of the UK labour market 0 0 0 309 0 6 12 927
A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS 0 0 0 1 1 5 8 55
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series 0 0 7 425 6 22 99 1,307
A comparison of methods for the construction of composite coincident and leading indexes for the UK 0 0 1 58 1 6 11 169
A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates 1 3 16 193 5 12 39 412
A daily indicator of economic growth for the euro area 0 0 3 47 0 8 18 129
A linear benchmark for forecasting GDP growth and inflation? 0 0 1 195 0 6 18 544
A macroeconometric model for the Euro economy 0 0 0 139 1 16 21 381
A parametric estimation method for dynamic factor models of large dimensions 0 0 0 64 1 6 10 162
A similarity‐based approach for macroeconomic forecasting 1 1 1 29 1 5 11 114
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 3 13 16 1 15 58 102
An empirical investigation of the effects of monetary policy shocks on the Italian economy 0 1 1 1 0 5 5 5
Are there any reliable leading indicators for US inflation and GDP growth? 0 0 1 205 4 7 14 564
Assessing international commonality in macroeconomic uncertainty and its effects 0 0 3 30 0 7 15 95
Bayesian VARs: Specification Choices and Forecast Accuracy 0 0 6 126 2 6 23 350
Bayesian neural networks for macroeconomic analysis 1 1 3 3 6 17 81 81
Blended identification in structural VARs 0 0 4 11 3 8 28 54
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 0 4 14 228
CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION? 0 0 2 16 1 7 16 45
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions 0 6 13 18 4 17 47 67
Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis 0 1 4 79 2 7 13 175
Common Drifting Volatility in Large Bayesian VARs 1 1 2 58 4 12 35 193
Cross-sectional averaging and instrumental variable estimation with many weak instruments 0 0 1 34 0 19 25 122
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 0 1 195 2 9 16 579
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 1 3 15 238
Econometric analyses with backdated data: Unified Germany and the euro area 0 0 0 19 1 9 12 135
Empirical simultaneous prediction regions for path-forecasts 0 0 0 27 1 5 7 106
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 8 10 77
Explaining the time-varying effects of oil market shocks on US stock returns 0 0 0 42 1 4 6 137
Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP 0 1 11 217 4 17 51 551
Factor analysis in a model with rational expectations 0 0 0 79 0 1 5 432
Factor based index tracking 0 0 3 161 2 4 11 412
Factor-GMM estimation with large sets of possibly weak instruments 0 0 0 104 4 18 28 262
Factor‐Based Identification‐Robust Interference in IV Regressions 0 1 2 12 0 5 14 51
Fiscal forecasting: The track record of the IMF, OECD and EC 0 0 0 12 2 7 12 691
Forecast Bias and MSFE Encompassing 0 0 0 0 0 4 10 18
Forecast Pooling for European Macroeconomic Variables 0 0 1 33 1 3 9 179
Forecasting EMU macroeconomic variables 0 1 1 142 0 8 13 568
Forecasting economic activity by Bayesian bridge model averaging 0 1 2 41 2 9 16 122
Forecasting economic activity with targeted predictors 0 2 4 76 0 9 16 175
Forecasting euro area variables with German pre-EMU data 0 0 0 44 0 6 11 160
Forecasting exchange rates with a large Bayesian VAR 1 2 3 289 3 9 17 801
Forecasting government bond yields with large Bayesian vector autoregressions 0 1 3 141 2 12 25 373
Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter 0 3 4 50 0 11 15 119
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods 1 3 5 28 1 3 8 79
Forecasting large datasets with Bayesian reduced rank multivariate models 0 0 0 0 1 7 9 153
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis 0 0 0 10 2 4 9 37
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union 0 0 0 33 0 5 7 116
Forecasting with factor-augmented error correction models 0 0 3 92 1 12 25 255
Forecasting with shadow rate VARs 0 0 0 0 3 9 31 31
Foreword 0 0 0 6 0 1 7 49
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 0 1 1 2 13 26 30
Guest Editors’ Introduction to Special Issue on Encompassing 0 0 0 14 0 4 10 71
Have Standard VARS Remained Stable Since the Crisis? 0 1 1 16 0 10 17 120
Interpolation and backdating with a large information set 0 0 0 77 0 7 14 236
Introduction to advances in business cycle analysis and forecasting 0 0 0 43 0 2 3 120
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model 0 0 0 0 2 13 20 22
LSM: A DSGE model for Luxembourg 0 0 1 50 0 10 18 210
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors 1 3 12 172 5 16 59 515
Large time‐varying parameter VARs: A nonparametric approach 0 0 0 17 2 10 19 100
Leading Indicators for Euro‐area Inflation and GDP Growth* 0 0 1 251 2 9 19 901
Linear aggregation with common trends and cycles 0 0 0 14 0 5 8 90
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area 0 1 6 194 2 17 43 742
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area 0 0 1 70 2 3 15 342
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS 0 0 1 27 0 7 11 83
MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS 0 0 0 19 1 5 6 81
Machine learning the macroeconomic effects of financial shocks 0 2 9 9 1 11 20 20
Macro uncertainty in the long run 0 0 2 3 0 4 12 15
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 40 3 6 10 162
Macroeconomic forecasting in a multi‐country context 2 2 6 20 4 12 22 54
Macroeconomic forecasting in the Euro area: Country specific versus area-wide information 0 1 1 336 0 4 17 849
Markov-Switching MIDAS Models 0 0 6 215 3 9 25 742
Markov-Switching Three-Pass Regression Filter 0 1 4 39 0 4 12 119
Markov-switching mixed-frequency VAR models 0 2 4 90 1 30 40 355
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors 0 0 0 0 1 3 3 3
Measuring Uncertainty and Its Impact on the Economy 0 7 26 217 3 25 80 671
Mixed frequency structural vector auto-regressive models 0 0 0 47 0 3 4 113
Mixed‐frequency models with moving‐average components 0 1 2 15 1 9 13 69
Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models* 0 0 0 31 1 12 15 145
Modelling and Forecasting Fiscal Variables for the Euro Area* 0 0 0 86 0 3 11 289
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK 0 0 0 60 1 10 20 223
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs 0 2 2 72 0 10 17 244
NOWCASTING GDP GROWTH IN A SMALL OPEN ECONOMY 0 0 2 27 0 6 17 91
Nonparametric mixed frequency monitoring macro-at-risk 0 0 1 1 3 8 12 12
Nowcasting tail risk to economic activity at a weekly frequency 0 1 4 34 0 7 21 95
No‐arbitrage priors, drifting volatilities, and the term structure of interest rates 0 0 0 7 2 7 15 44
On the Importance of Sectoral and Regional Shocks for Price‐Setting 0 0 0 20 1 9 12 130
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES 0 0 0 0 3 5 6 188
Path forecast evaluation 0 0 1 65 1 7 14 276
Point, interval and density forecasts of exchange rates with time varying parameter models 0 0 0 14 0 4 9 69
Pooling‐Based Data Interpolation and Backdating 0 0 0 12 1 5 12 99
Predicting Tail-Risks for the Italian Economy 0 1 2 2 2 6 19 19
Principal components at work: the empirical analysis of monetary policy with large data sets 1 1 1 457 3 7 13 1,355
Public Capital and Economic Performance: Evidence from Italy 0 0 0 0 1 7 17 319
ROBUST DECISION THEORY AND THE LUCAS CRITIQUE 0 0 0 11 2 7 9 78
Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility 0 0 1 49 1 9 14 224
Regime switches in the risk–return trade-off 0 0 1 33 0 5 10 125
Regional inflation dynamics within and across euro area countries and a comparison with the United States 0 0 0 3 3 7 11 19
Sectoral Survey‐based Confidence Indicators for Europe 0 0 0 0 0 12 18 98
Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility 0 0 0 47 0 12 28 178
Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 0 0 1 165 1 6 12 859
Some Consequences of Temporal Aggregation in Empirical Analysis 0 0 0 0 1 5 32 570
Some cautions on the use of panel methods for integrated series of macroeconomic data 0 0 0 285 1 6 15 808
Some stylized facts on non-systematic fiscal policy in the Euro area 0 0 1 104 0 10 15 274
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 1 7 7 1 7 24 29
Structural FECM: Cointegration in large‐scale structural FAVAR models 0 0 1 26 2 7 15 98
Structural analysis with Multivariate Autoregressive Index models 0 1 3 46 1 4 15 214
Survey data as coincident or leading indicators 0 0 0 58 0 8 13 189
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES 0 0 0 8 1 9 12 37
Tax shocks with high and low uncertainty 0 2 5 23 1 8 26 102
Testing for PPP: Should we use panel methods? 0 0 0 364 2 9 18 1,073
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR 0 0 1 72 2 12 29 238
The effects of the monetary policy stance on the transmission mechanism 0 0 3 124 1 7 18 273
The global component of inflation volatility 1 2 4 13 1 4 12 42
The multiscale causal dynamics of foreign exchange markets 0 0 2 53 2 11 17 197
The reliability of real-time estimates of the euro area output gap 0 0 1 90 1 6 16 361
The transmission mechanism in a changing world 0 0 0 175 2 6 8 542
Time Variation in Macro‐Financial Linkages 0 0 1 29 2 14 23 138
Time-varying instrumental variable estimation 0 2 4 22 0 10 18 75
Time‐scale transformations of discrete time processes 0 0 1 32 1 3 7 264
Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials 2 2 5 160 5 16 30 430
Using low frequency information for predicting high frequency variables 0 0 7 110 4 14 36 434
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty 1 1 2 31 3 12 24 96
Total Journal Articles 15 71 276 9,130 175 1,046 2,360 31,978
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 1 3 9 77
Bayesian nonparametric methods for macroeconomic forecasting 0 0 1 2 0 3 13 19
Chapter 4 Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 0 1 3 8 12
Leading Indicators 1 2 5 323 3 13 25 779
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 1 5 8 1 7 15 30
Non-linearity and Instability in the Euro Area 0 0 0 0 0 2 3 7
TEMPORAL DISAGGREGATION, MISSING OBSERVATIONS, OUTLIERS, AND FORECASTING 0 0 0 0 1 3 4 6
Total Chapters 1 3 11 350 7 34 77 930
5 registered items for which data could not be found
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