Access Statistics for Tommaso Proietti

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models 0 0 0 82 2 9 16 104
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 1 5 7 62
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 59 1 6 9 61
A Monthly Indicator of the Euro Area GDP 0 0 0 91 7 22 30 340
A Monthly Indicator of the Euro Area GDP 0 0 0 218 1 6 9 474
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 1 76 1 5 7 127
A generalized exponential time series regression model for electricity prices 0 0 1 135 0 4 8 175
A seasonal integration analysis of the italian consumption quarterly time series 0 0 0 3 0 1 1 12
Band Spectral Estimation for Signal Extraction 0 0 0 137 0 11 15 329
Band-Pass Filtering with High-Dimensional Time Series 0 1 4 32 0 6 13 39
Band-Pass Filtering with High-Dimensional Time Series 0 0 0 5 2 7 13 32
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 0 4 6 111
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 1 37 0 4 8 116
Characterising the Business Cycle for Accession Countries 0 0 0 312 1 5 10 710
Characterising the Business Cycle for Accession Countries 0 0 0 196 2 8 9 541
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 1 4 8 198
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 1 5 7 165
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 0 5 9 187
Characterizing the Business Cycle for Accession Countries 0 0 0 175 1 6 9 552
Dating the Euro Area Business Cycle 0 0 0 313 3 6 9 1,081
Dating the Euro Area Business Cycle 0 0 0 347 1 5 9 1,143
Dating the Euro Area Business Cycle 0 0 0 427 2 9 15 1,358
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 0 2 4 175
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 1 47 1 4 14 145
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 2 3 7 108
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 4 10 209
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 0 1 291 1 11 16 570
Efficient Nonparametric Estimation of Generalized Autocovariances 0 0 1 22 0 5 9 41
Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach 0 0 1 950 0 5 9 2,065
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 1 180 3 8 13 432
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 0 4 6 127
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 1 10 17 164
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 0 5 7 132
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 1 3 5 102
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 2 9 14 111
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 1 6 9 76
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 85 3 7 12 134
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 110 0 10 11 123
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 0 7 9 265
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 1 124 0 2 11 132
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 2 3 5 393
Generalised Linear Spectral Models 0 0 0 52 10 15 18 127
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 1 7 7 96
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 0 5 9 76
Growth accounting for the euro area: a structural approach 0 0 0 167 0 2 6 371
Has the Volatility of U.S. Inflation Changed and How? 0 0 0 166 2 6 9 345
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 1 25 29 269
Leave-k-out diagnostics in state space models 0 0 0 35 0 3 4 209
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 1 4 10 573
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 185 0 7 9 303
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 1 59 0 4 10 243
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 1 3 5 380
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 1 64 0 3 6 53
New proposals for the quantification of qualitative survey data 0 0 0 127 1 3 6 330
Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach 0 0 1 64 1 6 18 134
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 0 0 2 97 0 8 25 133
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 4 9 11 251
On the Estimation of Climate Normals and Anomalies 0 0 12 12 0 11 23 23
On the Estimation of Nonlinearly Aggregated Mixed Models 0 0 0 148 0 3 3 434
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 87 1 4 7 237
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 296 0 4 9 621
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 76 0 0 1 122
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 1 9 11 65
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 36 1 4 7 80
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 1 9 13 176
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 173 0 2 5 109
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 43 3 27 32 171
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 0 2 5 184
Outlier detection in structural time series models: The indicator saturation approach 0 0 1 57 1 5 12 128
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 0 2 6 105
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 0 4 5 24
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 0 59 3 8 12 76
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 1 5 9 98
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 0 93 3 14 18 334
Seasonal Changes in Central England Temperatures 0 0 0 31 0 5 6 101
Seasonal Changes in Central England Temperatures 0 0 0 31 1 3 7 58
Seasonal Specific Structural Time Series Models 0 0 0 257 0 0 0 433
Seasonality in High Frequency Time Series 0 0 1 75 4 17 26 116
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 1 8 15 410
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 1 5 9 339
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 1 10 14 583
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices 0 0 0 42 0 15 19 82
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 2 5 7 49
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 1 5 8 75
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 0 4 8 180
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 0 3 4 39
Structural Time Series Models for Business Cycle Analysis 0 0 0 681 1 5 9 1,462
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 1 5 11 179
Structural properties of the new quarterly series on consumption 0 0 0 1 0 1 1 14
Survey Data as Coicident or Leading Indicators 0 0 1 72 4 8 12 213
Survey Data as Coincident or Leading Indicators 0 0 1 38 0 7 10 175
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 1 1 4 506 2 6 18 1,178
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 0 109 5 9 14 344
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 0 6 9 118
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 42 0 5 6 70
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 32 0 2 2 66
The Generalised Autocovariance Function 0 0 0 70 0 4 6 140
The Generalised Autocovariance Function 0 0 0 28 1 4 6 105
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 0 3 4 73
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 1 4 7 587
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 0 4 6 189
The Variance Profile 0 0 0 58 1 3 8 209
The comovements of construction in Italy's regions, 1861-1913 0 0 0 62 8 18 20 205
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 0 5 7 171
Trend Estimation 0 0 1 161 2 5 8 365
Ups and (Draw)Downs 0 1 2 19 2 11 16 38
Total Working Papers 1 3 43 11,956 121 669 1,078 28,667
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
2nd Special Issue on Statistical Signal Extraction and Filtering 0 0 0 23 0 0 0 62
A Beveridge-Nelson smoother 0 0 0 122 1 6 8 250
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 0 5 8 40
A Systemic Approach to Estimating the Output Gap for the Italian Economy 0 0 2 29 1 4 14 89
A class of periodic trend models for seasonal time series 0 0 3 12 0 2 7 31
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 1 1 9 3 11 12 59
Another Look at Dependence: The Most Predictable Aspects of Time Series 0 0 0 0 1 5 9 9
Band spectral estimation for signal extraction 0 0 0 44 1 8 14 174
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 1 5 14 228
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 1 2 4 83
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models 0 0 0 91 0 3 4 240
Comparing seasonal components for structural time series models 0 0 2 209 0 10 16 625
Component-wise Representations of Long-memory Models and Volatility Prediction 0 0 3 17 1 3 7 56
Convergence in Italian regional per-capita GDP 0 0 0 158 1 7 10 549
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 0 1 195 2 9 14 577
Direct and iterated multistep AR methods for difference stationary processes 0 0 2 15 3 5 9 92
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 0 2 3 36
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 0 1 2 22
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 3 53 3 8 18 263
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 0 1 88 1 7 14 274
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 0 2 15 237
Editorial 0 0 0 1 0 2 3 9
Efficient nonparametric estimation of generalised autocovariances 0 0 0 0 0 3 4 6
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 0 1 211 1 5 12 540
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 0 1 6 0 2 8 38
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 10 10 77
Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 4 1 7 10 64
Extracting the Cyclical Component in Hours Worked 0 0 0 27 0 3 4 118
Forecasting and signal extraction with misspecified models 0 0 0 55 1 5 6 199
Forecasting the US unemployment rate 0 2 6 168 1 4 12 359
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 0 10 0 9 11 41
Growth accounting for the euro area 0 0 1 18 1 5 10 87
Has the Volatility of U.S. Inflation Changed and How? 0 0 2 79 5 10 15 228
Hyper‐spherical and elliptical stochastic cycles 0 0 0 14 0 0 2 62
Introduction 0 0 1 11 0 4 5 84
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 1 4 6 256
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches 0 0 0 45 0 4 5 108
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 0 0 9 1 6 9 28
Multivariate temporal disaggregation with cross-sectional constraints 0 0 1 22 0 3 6 105
New algorithms for dating the business cycle 0 0 0 66 0 2 4 133
New proposals for the quantification of qualitative survey data 0 0 0 34 3 9 9 98
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 0 1 2 20 1 9 14 64
Nowcasting monthly GDP with big data: A model averaging approach 0 0 3 27 3 10 20 88
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 0 5 8 57
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 55 0 3 5 151
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing 0 0 0 10 0 4 8 60
Outlier detection in structural time series models: The indicator saturation approach 2 2 3 21 8 19 23 122
Patterns of industrial specialisation in post-Unification Italy 0 0 1 14 1 4 9 68
Peaks, gaps, and time‐reversibility of economic time series 0 0 0 5 0 5 5 24
Persistence of Shocks on Seasonal Processes 0 0 0 55 1 4 6 211
Predictability, real time estimation, and the formulation of unobserved components models 0 0 0 6 0 0 4 22
SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY 0 0 0 29 0 1 4 120
Seasonal Specific Structural Time Series 0 0 0 84 0 3 6 246
Seasonal changes in central England temperatures 0 0 0 11 1 2 6 59
Seasonality in High Frequency Time Series 1 2 9 18 4 11 23 50
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 0 6 11 414
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 2 6 8 137
Spurious periodic autoregressions 0 0 0 0 1 4 5 322
State space modeling of Gegenbauer processes with long memory 0 0 0 22 1 4 6 74
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 1 4 5 79
Survey data as coincident or leading indicators 0 0 0 58 2 8 13 189
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 2 8 17 547
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 0 2 5 44
The Variance Profile 0 0 1 19 0 2 4 104
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 0 0 0 55 0 5 8 293
The generalised autocovariance function 0 0 0 22 0 4 8 115
Transformations and seasonal adjustment 0 0 1 33 1 7 9 109
Trend-Cycle Decompositions with Correlated Components 0 0 3 76 0 3 10 200
Trends in atmospheric ethane 0 0 1 9 4 12 15 36
Unobserved components models with correlated disturbances 0 0 0 3 0 0 1 11
Total Journal Articles 3 8 55 2,932 68 357 619 10,652

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Estimation of Common Factors Under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and Its Main Components 0 0 0 0 0 9 9 9
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future 0 0 0 0 0 9 9 9
Generalized Linear Spectral Models for Locally Stationary Processes 0 0 0 0 0 0 0 0
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 4 55 0 6 16 183
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 4 16 17 57
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 1 4 6 9
Total Chapters 0 0 4 60 5 44 57 267

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