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 0 252 3 7 15 743
A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series 0 0 0 582 3 7 22 1,716
A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions 0 0 1 5 3 6 16 42
A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK 0 0 0 3 3 4 15 40
A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables 0 0 6 158 0 1 19 295
A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market 0 0 0 571 0 2 15 1,553
A Measure for Credibility: Tracking US Monetary Developments 0 0 1 57 0 4 11 181
A Measure for Credibility: Tracking US Monetary Developments 0 0 2 44 1 6 28 199
A Monthly Indicator of the Euro Area GDP 0 0 0 218 1 2 9 475
A Monthly Indicator of the Euro Area GDP 0 0 0 91 1 19 40 352
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions 0 0 0 188 0 1 5 623
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 0 3 1 3 12 29
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 1 8 1 5 16 55
A Similarity-based Approach for Macroeconomic Forecasting 0 1 2 63 6 8 18 119
A Simple Benchmark for Forecasts of Growth and Inflation 0 0 0 190 1 2 11 609
A survey of econometric methods for mixed-frequency data 1 2 6 285 5 13 38 632
A survey of econometric methods for mixed-frequency data 1 2 4 164 6 13 26 374
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 1 117 4 9 36 268
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 0 37 2 4 16 104
Addressing COVID-19 outliers in BVARs with stochastic volatility 0 0 1 45 2 6 30 128
An Overview of the Factor-augmented Error-Correction Model 0 0 4 206 0 2 20 241
An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis 0 0 2 120 2 4 17 288
An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis 0 0 2 155 3 4 23 260
Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth? 0 0 0 575 4 5 18 2,426
Are There Any Reliable Leading Indicators for US Inflation and GDP Growth? 0 1 1 305 0 3 7 1,004
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 0 67 0 3 16 136
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 1 51 4 4 10 83
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 0 0 1 16 1 1 14 54
Asymmetries in Financial Spillovers 0 7 18 29 2 11 44 63
Bayesian Neural Networks for Macroeconomic Analysis 0 0 1 2 4 10 31 41
Bayesian Neural Networks for Macroeconomic Analysis 0 0 0 133 5 7 18 69
Bayesian VARs: Specification Choices and Forecast Accuracy 1 1 3 187 4 6 17 449
Bayesian VARs: specification choices and forecast accuracy 0 1 5 434 3 8 34 701
Bayesian modelling of VAR precision matrices using stochastic block networks 0 0 0 14 2 4 15 27
Bayesian nonparametric methods for macroeconomic forecasting 2 3 10 34 7 12 32 86
Bayesian nonparametric methods for macroeconomic forecasting 0 0 0 0 0 5 13 14
Big Data Econometrics: Now Casting and Early Estimates 0 0 4 210 8 12 29 304
Blended Identification in Structural VARs 0 0 0 8 2 7 14 35
Blended Identification in Structural VARs 1 2 3 68 1 8 18 67
Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks 1 1 1 88 5 9 20 76
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 44 1 3 14 83
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 8 0 3 10 39
Can Machine Learning Catch the COVID-19 Recession? 0 0 0 25 0 2 8 111
Can Machine Learning Catch the COVID-19 Recession? 0 0 2 2 0 2 10 23
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 0 0 4 19 0 2 14 62
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions 0 0 0 213 3 4 19 343
Characterising the Business Cycle for Accession Countries 0 0 0 196 1 4 11 543
Characterising the Business Cycle for Accession Countries 0 0 0 312 5 8 17 717
Characterizing the Business Cycle for Accession Countries 0 0 0 175 3 5 13 556
Classical time-varying FAVAR models - Estimation, forecasting and structural analysis 0 0 1 115 1 5 10 363
Classical time-varying FAVAR models - estimation, forecasting and structural analysis 0 1 5 667 6 16 38 1,596
Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification 0 0 1 35 1 3 11 36
Coarsened Bayesian VARs. Correcting BVARs for Incorrect Specification 0 0 0 0 4 9 13 13
Common Drifting Volatility in Large Bayesian VARs 0 0 0 116 1 3 11 277
Common Drifting Volatility in Large Bayesian VARs 0 1 1 41 1 3 6 152
Common drifting volatility in large Bayesian VARs 0 0 1 98 2 5 17 295
Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments 0 0 0 6 2 5 12 38
Dating the Euro Area Business Cycle 0 0 0 347 9 11 19 1,153
Dating the Euro Area Business Cycle 0 0 0 427 11 14 27 1,370
Dating the Euro Area Business Cycle 0 0 0 313 9 14 19 1,092
Econometric analyses with backdated data: unified Germany and the euro area 0 0 0 63 1 6 12 284
Empirical Simultaneous Confidence Regions for Path-Forecasts 0 0 0 8 2 5 12 73
Empirical simultaneous confidence regions for path-forecasts 0 0 0 46 3 4 14 163
Empirical simultaneous prediction regions for path-forecasts 0 0 0 58 1 3 8 150
Endogenous Monetary Policy Regimes and the Great Moderation 0 0 0 35 1 6 66 259
Endogenous Monetary Policy Regimes and the Great Moderation 0 0 0 90 0 8 15 207
Endogenous Uncertainty 0 0 1 167 1 1 10 411
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 1 2 8 129
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 4 7 23 170
Ex Post and Ex Ante Analysis of Provisional Data 0 0 0 240 5 13 18 2,063
Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns 0 1 1 78 5 11 16 203
Factor Analysis in a Model with Rational Expectations 0 0 0 119 3 9 22 372
Factor Analysis in a New-Keynesian Model 0 0 0 116 2 6 11 488
Factor Based Index Tracking 0 0 0 538 3 4 12 1,329
Factor Based Index Trading 0 1 1 454 0 2 28 1,372
Factor Forecasts for the UK 0 0 0 191 3 3 7 537
Factor Forecasts for the UK 0 0 0 161 1 2 13 510
Factor analysis in a New-Keynesian model 0 0 0 198 4 7 14 571
Factor based identification-robust inference in IV regressions 0 0 2 49 0 2 9 101
Factor forecasts for the UK 0 1 2 178 4 7 18 604
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 23 0 7 14 122
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 2 5 1 3 14 36
Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP 0 0 0 144 3 13 38 456
Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1 0 0 0 93 2 4 17 414
Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP 0 0 2 220 1 2 13 726
Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP 0 0 3 202 3 6 19 721
Factor-augmented Error Correction Models 0 0 0 362 1 1 17 938
Factor-augmented Error Correction Models 0 0 0 175 1 1 7 360
Factor-augmented Error Correction Models 0 0 1 200 3 5 12 531
Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model 0 1 11 36 0 6 30 75
Fiscal Forecasting: the Track Record of the IMF, OECD and EC 0 0 0 1 0 1 9 444
Fiscal Forecasting: the Track Record of the IMF, OECD, and EC 0 0 1 172 3 7 20 608
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 1 4 8 17 364
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 200 2 2 14 660
Fiscal Solvency and Fiscal Forecasting in Europe 0 0 0 289 1 5 15 819
Forecast Pooling for Short Time Series of Macroeconomic Variables 0 0 0 274 0 3 10 888
Forecast pooling for short time series of macroeconomic variables 0 0 0 421 3 11 18 1,589
Forecasting EMU Macroeconomic Variables 0 0 0 302 1 2 11 1,858
Forecasting EMU macroeconomic variables 0 0 1 325 1 3 10 1,819
Forecasting Euro-Area Variables with German Pre-EMU Data 0 0 0 54 1 3 6 306
Forecasting Exchange Rates with a Large Bayesian VAR 1 1 1 76 5 8 23 290
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 174 5 5 14 431
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 0 11 1 1 8 46
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 2 38 3 6 16 154
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 2 11 2 5 15 57
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 1 63 3 5 15 227
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 144 5 8 20 328
Forecasting Large Datasets with Reduced Rank Multivariate Models 0 0 0 0 3 3 10 21
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 141 3 6 9 563
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 219 2 3 11 647
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 127 2 4 16 702
Forecasting Macroeconomic Variables for the Acceding Countries 0 1 1 121 3 8 14 592
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 0 122 4 7 14 123
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 1 31 2 3 10 99
Forecasting US Inflation Using Bayesian Nonparametric Models 0 0 3 33 0 1 14 70
Forecasting economic activity with higher frequency targeted predictors 0 0 2 153 3 4 16 268
Forecasting euro-area variables with German pre-EMU data 0 0 0 55 2 5 11 206
Forecasting macroeconomic variables for the new member states of the European Union 0 0 0 192 0 3 14 720
Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis 0 0 0 0 4 6 11 15
Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis 0 0 0 127 3 4 10 284
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis 0 0 0 24 3 4 12 74
Forecasting the Covid-19 recession and recovery: lessons from the financial crisis 0 0 0 30 0 6 17 71
Forecasting with Dynamic Models using Shrinkage-based Estimation 0 0 0 3 1 9 20 37
Forecasting with Factor-Augmented Error Correction Models 0 0 0 204 9 12 23 389
Forecasting with Factor-augmented Error Correction Models 0 0 2 62 3 4 14 242
Forecasting with Factor-augmented Error Correction Models 0 0 1 102 3 9 15 248
Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter 0 0 2 171 0 2 13 318
Forecasting with Shadow-Rate VARs 0 0 0 48 3 5 19 109
Further Results on MSFE Encompassing 0 0 0 62 1 5 14 488
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 0 0 3 1 3 9 16
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 0 2 154 5 9 19 116
Have Standard VARs Remained Stable Since the Crisis? 0 0 0 43 0 2 13 90
Have Standard VARs Remained Stable since the Crisis? 0 0 0 91 1 2 17 227
Have standard VARs remained stable since the crisis? 0 0 0 114 1 3 27 278
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation 0 0 0 144 2 4 10 539
Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation 0 0 0 348 4 6 20 1,071
Inflation, Attention and Expectations 0 1 10 15 6 10 38 49
Inflation, Attention and Expectations 0 1 2 17 5 12 45 65
Instability and Non-Linearity in the EMU 0 0 0 100 0 2 12 342
Instability and non-linearity in the EMU 0 0 0 122 5 5 11 547
Interpolation and Backdating with A Large Information Set 0 0 0 97 0 3 8 354
Interpolation and backdating with a large information set 0 0 1 130 2 4 16 442
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model 0 0 1 2 2 5 14 22
Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model 0 0 0 36 3 5 9 60
Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model 0 0 0 1 2 4 14 18
LSM: A DSGE Model for Luxembourg 0 0 0 0 6 6 10 23
LSM: A DSGE Model for Luxembourg 0 0 0 0 0 2 6 81
LSM: A DSGE Model for Luxembourg 0 0 0 0 2 2 6 23
Large Datasets, Small Models and Monetary Policy in Europe 0 0 0 112 2 6 10 645
Large Datasets, Small Models and Monetary Policy in Europe 0 0 1 153 5 6 16 1,007
Large Time-Varying Parameter VARs: A Non-Parametric Approach 0 0 1 87 0 3 18 142
Large Vector Autoregressions with Asymmetric Priors 1 1 1 7 4 7 10 48
Large Vector Autoregressions with Stochastic Volatility and Flexible Priors 0 0 0 206 5 11 20 396
Large time-varying parameter VARs: a non-parametric approach 0 0 2 123 1 3 13 195
Leading Indicators for Euro Area Inflation and GDP Growth 0 0 0 343 1 1 11 1,067
Leading Indicators for Euro-area Inflation and GDP Growth 0 0 2 670 4 6 23 1,868
Leading Indicators: What Have We Learned? 0 0 1 235 1 1 6 480
Leading Indicators: What Have We Learned? 0 0 0 385 2 3 9 637
Linear Aggregation with Common Trends and Cycles 0 0 0 63 0 2 14 234
MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area 1 1 5 457 7 9 38 1,158
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area 0 0 0 120 0 0 13 495
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area 0 0 2 135 1 1 12 426
Machine Learning the Macroeconomic Effects of Financial Shocks 0 1 3 30 5 8 26 47
Macro Uncertainty in the Long Run 1 2 3 7 4 7 15 26
Macroeconomic Forecasting in a Multi-country Context 0 0 1 68 0 2 16 75
Macroeconomic Forecasting in a Multi-country Context 0 1 2 8 2 6 12 33
Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information 0 0 1 683 3 6 15 1,850
Macroeconomic activity and risk indicators: an unstable relationship 0 0 0 55 1 6 21 73
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 178 0 6 29 485
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 58 1 3 6 151
Macroeconomic forecasting during the Great Recession: the return of non-linearity? 0 0 0 0 1 4 14 45
Markov-Switching Mixed-Frequency VAR Models 0 2 3 129 2 9 19 303
Markov-Switching Three-Pass Regression Filter 0 0 1 27 1 8 19 136
Markov-switching MIDAS models 1 1 5 120 3 15 31 497
Markov-switching three-pass regression filter 0 0 0 33 2 4 19 117
Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors 0 0 0 17 1 6 16 34
Measuring Uncertainty and Its Effects in the COVID-19 Era 0 0 1 12 7 11 19 50
Measuring Uncertainty and Its Effects in the COVID-19 Era 0 0 1 58 6 8 21 145
Measuring Uncertainty and Its Impact on the Economy 0 0 1 202 2 3 10 368
Measuring Uncertainty and Its Impact on the Economy 0 0 3 77 0 6 36 181
Mixed frequency models with MA components 0 1 1 35 3 7 19 127
Mixed frequency models with MA components 0 0 0 79 3 5 8 127
Mixed frequency structural VARs 1 1 3 199 1 2 14 351
Mixed frequency structural models: estimation, and policy analysis 0 0 0 124 1 5 15 212
Model Selection for Non-Linear Dynamic Models 0 0 0 236 1 4 7 673
Modelling and Forecasting Fiscal Variables for the Euro Area 0 0 0 305 2 5 18 660
Modelling and Forecasting Fiscal Variables for the euro Area 0 0 0 134 0 1 20 408
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland, and the UK 0 0 0 333 6 7 15 1,492
Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs 0 0 0 122 1 2 10 221
Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes 0 0 0 101 4 4 12 414
No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 0 0 0 72 3 6 12 153
No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates 0 0 0 44 2 13 21 63
Nonparametric Time Varying IV-SVARs: Estimation and Inference 1 3 7 24 2 10 31 45
Nowcasting Tail Risk to Economic Activity at a Weekly Frequency 0 0 0 39 0 1 12 109
Nowcasting Tail Risks to Economic Activity with Many Indicators 0 0 1 97 4 6 21 250
Nowcasting distributions: a functional MIDAS model 0 1 6 50 0 5 20 82
Nowcasting with Mixed Frequency Data Using Gaussian Processes 0 0 2 38 7 13 35 76
On the importance of sectoral and regional shocks for price setting 0 0 0 18 3 5 20 91
On the importance of sectoral and regional shocks for price-setting 0 0 0 71 1 2 15 242
On the importance of sectoral and regional shocks for price-setting 0 0 0 36 2 3 9 138
On the importance of sectoral shocks for price-setting 0 0 0 7 1 7 13 67
Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables 0 0 14 14 2 7 51 51
Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables 1 4 47 47 15 33 119 119
Path Forecast Evaluation 0 0 1 75 3 7 14 195
Path Forecast Evaluation 0 0 2 15 5 10 23 105
Path Forecast Evaluation 0 0 0 33 1 3 12 100
Point, interval and density forecasts of exchange rates with time-varying parameter models 0 1 3 41 0 2 12 77
Point, interval and density forecasts of exchange rates with time-varying parameter models 0 0 0 84 1 9 22 206
Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP 0 0 0 122 0 0 5 323
Pooling versus model selection for nowcasting with many predictors: An application to German GDP 0 0 0 83 2 3 8 293
Pooling versus model selection for nowcasting with many predictors: an application to German GDP 0 0 2 88 2 4 11 271
Pooling-based Data Interpolation and Backdating 0 0 0 80 2 2 12 313
Pooling-based data interpolation and backdating 0 0 0 64 1 2 8 333
Principal components at work: The empirical analysis of monetary policy with large datasets 0 2 2 794 3 6 18 2,369
Public Capital and Economic Performance: Evidence from Italy 0 0 1 460 2 4 19 1,246
Real time estimates of the euro area output gap: reliability and forecasting performance 0 0 0 153 4 6 20 482
Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility 0 0 0 74 5 5 17 262
Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility 1 1 2 233 4 9 25 487
Regime Switches in the Risk-Return Trade-Off 0 0 0 39 4 5 13 177
Regime Switches in the Risk-Return Trade-off 0 0 0 46 2 2 8 61
Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the US 0 0 0 6 2 4 13 71
Regional Inflation Dynamics within and across Euro Area and a Comparison with the US 0 0 3 128 2 3 17 349
Regional inflation dynamics within and across euro area countries and a comparison with the US 0 0 0 202 3 7 18 730
Regional inflation dynamics within and across euro area countries and a comparison with the US 0 0 0 13 0 1 11 94
Risky Oil: It's All in the Tails 0 0 1 13 0 4 13 42
Risky Oil: It's All in the Tails 1 1 4 5 4 9 34 37
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA 0 0 0 1 2 3 11 22
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA 0 0 0 102 2 3 8 547
Sectoral Survey-based Confidence Indicators for Europe 0 0 1 52 1 3 10 260
Selecting predictors by using Bayesian model averaging in bridge models 0 0 0 71 2 4 10 197
Shadow-rate VARs 0 0 2 36 2 8 22 92
Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility 0 1 3 410 5 8 23 898
Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility 0 0 0 172 5 7 18 438
Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 0 0 0 251 1 3 11 1,005
Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data 0 0 0 438 7 7 24 1,080
Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data 0 0 0 0 5 9 12 490
Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area 0 0 0 115 2 3 8 443
Some stylized facts on non-systematic fiscal policy in the Euro area 0 0 1 358 3 4 20 981
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 0 6 17 2 9 30 54
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 1 2 82 2 4 11 89
Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data 0 0 0 164 2 6 14 786
Structural Analysis with Multivariate Autoregressive Index Models 0 0 0 87 0 2 10 131
Structural FECM: Cointegration in large-scale structural FAVAR models 0 0 0 90 4 5 10 197
Survey Data as Coicident or Leading Indicators 0 0 1 72 3 8 16 217
Survey Data as Coincident or Leading Indicators 0 0 1 38 1 1 11 176
TFP, Costs, and Public Infrastructure: An Equivocal Relationship 0 0 1 397 2 4 17 1,049
Tail Forecasting with Multivariate Bayesian Additive Regression Trees 0 0 2 6 2 6 15 32
Tail Forecasting with Multivariate Bayesian Additive Regression Trees 0 0 0 78 5 8 21 111
Tax shocks with high and low uncertainty 0 0 1 123 1 1 11 143
Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures 0 0 0 0 0 1 5 324
Testing for PPP: Should We Use Panel Methods? 0 0 0 471 2 4 13 1,600
Testing for PPP: Should We Use Panel Methods? 0 0 0 309 3 3 9 624
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR 0 0 0 76 2 6 11 267
The Distributional Effects of Economic Uncertainty 0 0 6 11 2 10 38 50
The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap 0 0 0 17 0 2 11 96
The Global Component of Inflation Volatility 0 0 1 42 4 13 24 181
The Multiscale Causal Dynamics of Foreign Exchange Markets 0 0 1 66 2 4 12 177
The Reliability of Real Time Estimates of the Euro Area Output Gap 0 0 0 32 1 2 11 178
The Role of Search Frictions and Bargaining for Inflation Dynamics 0 0 0 41 0 1 7 182
The Transmission Mechanism in a Changing World 0 0 0 134 1 2 14 513
The banking and distribution sectors in a small open economy DSGE Model 0 0 1 179 1 2 18 368
The banking and distribution sectors in a small open economy DSGE Model 0 0 0 29 2 2 12 101
The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR 0 1 2 282 2 6 21 695
The demand and supply of information about inflation 0 1 3 23 4 10 24 54
The demand and supply of information about inflation 0 1 2 32 6 12 17 85
The economic drivers of volatility and uncertainty 0 1 1 69 4 9 21 137
The financial accelerator mechanism: does frequency matter? 0 0 0 25 3 3 12 74
The financial accelerator mechanism: does frequency matter? 0 0 0 12 0 1 7 20
The global component of inflation volatility 0 0 2 150 3 24 82 456
The transmission mechanism in a changing world 0 0 0 214 2 3 6 533
Time Variation in Macro-Financial Linkages 0 0 1 60 0 4 11 196
Time Varying Three Pass Regression Filter 0 0 10 16 1 4 24 40
Time variation in macro-financial linkages 0 1 3 175 2 5 21 452
Time-Scale Transformations of Discrete-Time Processes 0 0 0 2 0 6 14 32
Time-Varying Instrumental Variable Estimation 0 0 0 40 0 1 10 107
Time-Varying Instrumental Variable Estimation 0 0 0 50 5 8 23 93
U-MIDAS: MIDAS regressions with unrestricted lag polynomials 0 2 12 594 1 8 59 2,074
U-MIDAS: MIDAS regressions with unrestricted lag polynomials 0 0 2 101 6 15 43 369
Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model 0 0 2 55 5 8 22 129
Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty 0 1 2 24 2 9 20 74
Using low frequency information for predicting high frequency variables 0 0 1 142 4 5 11 241
Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994 0 0 0 702 1 1 13 2,905
interpolation with a large information set 0 0 0 55 2 3 5 258
the Reliability of Real Time Estimates of the EURO Area Output Gap 0 0 0 53 2 8 16 173
Total Working Papers 17 65 374 36,698 686 1,567 4,913 111,239
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 0 1 3 105 4 8 25 297
A Markov-switching vector equilibrium correction model of the UK labour market 0 0 0 309 1 2 13 928
A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS 0 0 0 1 1 2 8 56
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series 0 0 6 425 8 16 104 1,315
A comparison of methods for the construction of composite coincident and leading indexes for the UK 0 0 1 58 1 4 12 170
A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates 0 3 15 193 2 11 40 414
A daily indicator of economic growth for the euro area 0 0 3 47 2 3 20 131
A linear benchmark for forecasting GDP growth and inflation? 0 0 0 195 2 3 17 546
A macroeconometric model for the Euro economy 0 0 0 139 2 8 22 383
A parametric estimation method for dynamic factor models of large dimensions 0 0 0 64 2 4 12 164
A similarity‐based approach for macroeconomic forecasting 0 1 1 29 3 7 14 117
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility 0 0 13 16 3 7 58 105
An empirical investigation of the effects of monetary policy shocks on the Italian economy 0 0 1 1 1 3 6 6
Are there any reliable leading indicators for US inflation and GDP growth? 0 0 1 205 0 5 14 564
Assessing international commonality in macroeconomic uncertainty and its effects 0 0 2 30 2 4 16 97
Bayesian VARs: Specification Choices and Forecast Accuracy 0 0 3 126 2 6 22 352
Bayesian neural networks for macroeconomic analysis 0 1 3 3 4 15 85 85
Blended identification in structural VARs 1 1 5 12 17 23 44 71
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 1 2 14 229
CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION? 0 0 2 16 0 6 16 45
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions 0 3 11 18 1 9 44 68
Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis 0 1 3 79 0 3 12 175
Common Drifting Volatility in Large Bayesian VARs 0 1 2 58 1 10 36 194
Cross-sectional averaging and instrumental variable estimation with many weak instruments 0 0 1 34 6 10 31 128
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 1 1 2 196 3 7 19 582
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 4 5 19 242
Econometric analyses with backdated data: Unified Germany and the euro area 0 0 0 19 0 2 12 135
Empirical simultaneous prediction regions for path-forecasts 0 0 0 27 2 3 9 108
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 0 10 77
Explaining the time-varying effects of oil market shocks on US stock returns 0 0 0 42 4 5 10 141
Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP 0 1 10 217 2 10 47 553
Factor analysis in a model with rational expectations 0 0 0 79 2 2 7 434
Factor based index tracking 0 0 3 161 1 4 12 413
Factor-GMM estimation with large sets of possibly weak instruments 0 0 0 104 2 14 29 264
Factor‐Based Identification‐Robust Interference in IV Regressions 0 1 2 12 3 4 17 54
Fiscal forecasting: The track record of the IMF, OECD and EC 0 0 0 12 1 4 13 692
Forecast Bias and MSFE Encompassing 0 0 0 0 3 4 13 21
Forecast Pooling for European Macroeconomic Variables 0 0 1 33 0 1 9 179
Forecasting EMU macroeconomic variables 0 1 1 142 2 3 15 570
Forecasting economic activity by Bayesian bridge model averaging 0 1 2 41 2 7 17 124
Forecasting economic activity with targeted predictors 0 1 4 76 2 5 18 177
Forecasting euro area variables with German pre-EMU data 0 0 0 44 2 3 13 162
Forecasting exchange rates with a large Bayesian VAR 0 1 2 289 3 6 19 804
Forecasting government bond yields with large Bayesian vector autoregressions 0 1 2 141 0 3 24 373
Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter 0 3 3 50 1 6 15 120
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods 0 3 5 28 4 7 12 83
Forecasting large datasets with Bayesian reduced rank multivariate models 0 0 0 0 3 6 12 156
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis 0 0 0 10 4 6 13 41
Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union 0 0 0 33 0 0 6 116
Forecasting with factor-augmented error correction models 0 0 3 92 4 6 28 259
Forecasting with shadow rate VARs 0 0 0 0 1 4 32 32
Foreword 0 0 0 6 1 1 8 50
Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty 0 0 1 1 7 12 32 37
Guest Editors’ Introduction to Special Issue on Encompassing 0 0 0 14 1 2 11 72
Have Standard VARS Remained Stable Since the Crisis? 0 1 1 16 1 3 18 121
Interpolation and backdating with a large information set 0 0 0 77 4 5 18 240
Introduction to advances in business cycle analysis and forecasting 0 0 0 43 0 1 3 120
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model 0 0 0 0 2 6 22 24
LSM: A DSGE model for Luxembourg 0 0 1 50 2 4 19 212
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors 0 3 12 172 3 12 60 518
Large time‐varying parameter VARs: A nonparametric approach 0 0 0 17 2 5 19 102
Leading Indicators for Euro‐area Inflation and GDP Growth* 0 0 1 251 4 8 22 905
Linear aggregation with common trends and cycles 0 0 0 14 0 2 8 90
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area 1 1 6 195 5 9 44 747
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area 0 0 0 70 5 7 19 347
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS 0 0 1 27 1 5 12 84
MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS 0 0 0 19 0 2 6 81
Machine learning the macroeconomic effects of financial shocks 0 1 9 9 5 9 25 25
Macro uncertainty in the long run 0 0 2 3 1 1 13 16
Macroeconomic forecasting during the Great Recession: The return of non-linearity? 0 0 0 40 2 5 12 164
Macroeconomic forecasting in a multi‐country context 1 3 7 21 1 9 23 55
Macroeconomic forecasting in the Euro area: Country specific versus area-wide information 0 1 1 336 5 6 22 854
Markov-Switching MIDAS Models 0 0 6 215 2 5 27 744
Markov-Switching Three-Pass Regression Filter 0 1 4 39 1 3 12 120
Markov-switching mixed-frequency VAR models 0 2 4 90 8 27 48 363
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors 0 0 0 0 1 3 4 4
Measuring Uncertainty and Its Impact on the Economy 3 5 26 220 8 20 83 679
Mixed frequency structural vector auto-regressive models 0 0 0 47 4 6 8 117
Mixed‐frequency models with moving‐average components 0 1 2 15 1 5 14 70
Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models* 0 0 0 31 2 5 17 147
Modelling and Forecasting Fiscal Variables for the Euro Area* 0 0 0 86 1 2 12 290
Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK 0 0 0 60 3 6 23 226
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs 0 1 2 72 0 3 17 244
NOWCASTING GDP GROWTH IN A SMALL OPEN ECONOMY 0 0 2 27 1 3 18 92
Nonparametric mixed frequency monitoring macro-at-risk 0 0 1 1 1 5 13 13
Nowcasting tail risk to economic activity at a weekly frequency 0 0 4 34 1 3 21 96
No‐arbitrage priors, drifting volatilities, and the term structure of interest rates 0 0 0 7 3 7 18 47
On the Importance of Sectoral and Regional Shocks for Price‐Setting 0 0 0 20 0 3 12 130
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES 0 0 0 0 1 6 7 189
Path forecast evaluation 0 0 0 65 1 3 14 277
Point, interval and density forecasts of exchange rates with time varying parameter models 0 0 0 14 2 3 10 71
Pooling‐Based Data Interpolation and Backdating 0 0 0 12 2 4 14 101
Predicting Tail-Risks for the Italian Economy 0 0 2 2 2 4 21 21
Principal components at work: the empirical analysis of monetary policy with large data sets 0 1 1 457 2 8 14 1,357
Public Capital and Economic Performance: Evidence from Italy 0 0 0 0 2 4 16 321
ROBUST DECISION THEORY AND THE LUCAS CRITIQUE 0 0 0 11 1 3 10 79
Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility 1 1 2 50 2 4 14 226
Regime switches in the risk–return trade-off 1 1 1 34 6 6 14 131
Regional inflation dynamics within and across euro area countries and a comparison with the United States 0 0 0 3 1 6 12 20
Sectoral Survey‐based Confidence Indicators for Europe 0 0 0 0 1 7 18 99
Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility 0 0 0 47 0 2 27 178
Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 0 0 0 165 1 3 12 860
Some Consequences of Temporal Aggregation in Empirical Analysis 0 0 0 0 2 5 32 572
Some cautions on the use of panel methods for integrated series of macroeconomic data 0 0 0 285 8 10 23 816
Some stylized facts on non-systematic fiscal policy in the Euro area 0 0 1 104 0 2 15 274
Specification Choices in Quantile Regression for Empirical Macroeconomics 0 1 7 7 3 7 27 32
Structural FECM: Cointegration in large‐scale structural FAVAR models 0 0 1 26 0 3 15 98
Structural analysis with Multivariate Autoregressive Index models 0 0 2 46 2 4 15 216
Survey data as coincident or leading indicators 0 0 0 58 1 3 14 190
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES 0 0 0 8 6 10 18 43
Tax shocks with high and low uncertainty 0 0 5 23 1 4 27 103
Testing for PPP: Should we use panel methods? 0 0 0 364 2 6 20 1,075
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR 0 0 0 72 7 10 33 245
The effects of the monetary policy stance on the transmission mechanism 0 0 3 124 0 3 18 273
The global component of inflation volatility 0 1 3 13 1 2 12 43
The multiscale causal dynamics of foreign exchange markets 0 0 2 53 4 10 21 201
The reliability of real-time estimates of the euro area output gap 0 0 1 90 2 4 18 363
The transmission mechanism in a changing world 0 0 0 175 1 3 9 543
Time Variation in Macro‐Financial Linkages 0 0 1 29 2 12 25 140
Time-varying instrumental variable estimation 1 3 5 23 1 6 19 76
Time‐scale transformations of discrete time processes 0 0 0 32 1 2 7 265
Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials 0 2 4 160 4 16 33 434
Using low frequency information for predicting high frequency variables 0 0 6 110 4 12 39 438
Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty 0 1 2 31 4 8 27 100
Total Journal Articles 10 57 258 9,140 290 723 2,568 32,268
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 10 11 19 87
Bayesian nonparametric methods for macroeconomic forecasting 0 0 1 2 0 3 12 19
Chapter 4 Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change 0 0 0 0 2 4 9 14
Leading Indicators 1 2 6 324 10 18 34 789
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 1 2 6 9 2 4 17 32
Non-linearity and Instability in the Euro Area 0 0 0 0 0 0 3 7
TEMPORAL DISAGGREGATION, MISSING OBSERVATIONS, OUTLIERS, AND FORECASTING 0 0 0 0 1 2 5 7
Total Chapters 2 4 13 352 25 42 99 955
5 registered items for which data could not be found
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