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 1 1 20 110
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 0 0 8 63
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 59 0 0 11 64
A Monthly Indicator of the Euro Area GDP 0 0 0 91 0 1 40 353
A Monthly Indicator of the Euro Area GDP 0 0 0 218 0 0 9 475
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 0 76 0 1 11 132
A generalized exponential time series regression model for electricity prices 0 0 1 135 0 0 11 178
A seasonal integration analysis of the italian consumption quarterly time series 0 0 0 3 0 0 3 14
Band Spectral Estimation for Signal Extraction 0 0 0 137 0 0 17 332
Band-Pass Filtering with High-Dimensional Time Series 0 0 0 5 1 2 14 35
Band-Pass Filtering with High-Dimensional Time Series 0 1 4 33 0 1 14 43
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 0 1 8 113
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 1 37 0 2 13 122
Characterising the Business Cycle for Accession Countries 0 0 0 312 0 2 19 719
Characterising the Business Cycle for Accession Countries 0 0 0 196 0 2 13 545
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 1 3 8 201
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 0 0 9 167
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 0 0 11 189
Characterizing the Business Cycle for Accession Countries 0 0 0 175 0 1 14 557
Dating the Euro Area Business Cycle 0 0 0 427 2 2 29 1,372
Dating the Euro Area Business Cycle 0 0 0 347 0 0 19 1,153
Dating the Euro Area Business Cycle 0 0 0 313 0 1 20 1,093
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 0 1 7 179
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 0 1 15 148
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 0 12 113
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 2 3 14 216
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 0 0 291 0 1 18 575
Efficient Nonparametric Estimation of Generalized Autocovariances 0 0 1 22 0 0 10 42
Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach 0 1 2 951 1 3 14 2,071
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 0 180 0 5 17 440
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 1 2 9 131
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 0 0 22 170
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 0 0 10 136
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 0 1 11 108
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 0 0 16 114
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 85 1 3 13 139
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 0 1 11 78
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 110 0 0 17 130
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 0 2 12 269
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 0 124 1 5 15 140
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 0 2 8 397
Generalised Linear Spectral Models 0 0 0 52 0 1 23 134
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 0 0 10 80
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 0 1 11 100
Growth accounting for the euro area: a structural approach 0 0 0 167 0 2 10 375
Has the Volatility of U.S. Inflation Changed and How? 0 0 0 166 0 1 10 346
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 1 1 36 277
Leave-k-out diagnostics in state space models 0 0 0 35 1 1 8 213
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 0 1 15 579
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 1 1 60 0 2 12 249
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 185 0 2 14 309
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 0 0 8 384
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 1 64 1 3 12 60
New proposals for the quantification of qualitative survey data 0 0 0 127 0 0 4 330
Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach 0 0 1 65 0 2 18 139
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 0 1 3 98 0 4 25 141
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 0 1 15 256
On the Estimation of Climate Normals and Anomalies 0 0 2 12 0 0 21 27
On the Estimation of Nonlinearly Aggregated Mixed Models 0 0 0 148 0 3 7 438
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 87 0 1 13 243
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 1 297 0 1 11 625
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 36 0 0 6 80
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 76 0 0 4 125
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 0 0 12 67
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 0 0 17 182
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 0 2 12 191
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 173 0 2 7 112
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 43 0 0 32 173
Outlier detection in structural time series models: The indicator saturation approach 0 0 0 57 0 2 15 135
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 0 1 8 107
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 0 1 7 26
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 0 59 3 3 15 80
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 1 2 11 103
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 0 93 0 0 19 338
Seasonal Changes in Central England Temperatures 0 0 0 31 0 0 8 60
Seasonal Changes in Central England Temperatures 0 0 0 31 0 0 8 103
Seasonal Specific Structural Time Series Models 0 0 0 257 0 0 2 435
Seasonality in High Frequency Time Series 0 0 1 75 0 1 31 124
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 0 3 20 421
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 0 1 17 587
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 0 1 11 344
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices 0 0 0 42 0 1 22 86
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 0 0 11 53
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 0 0 10 77
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 0 2 10 183
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 0 1 7 43
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 1 3 17 187
Structural Time Series Models for Business Cycle Analysis 0 0 0 681 0 1 10 1,466
Structural properties of the new quarterly series on consumption 0 0 0 1 0 0 2 15
Survey Data as Coicident or Leading Indicators 0 0 0 72 0 2 17 219
Survey Data as Coincident or Leading Indicators 0 0 0 38 0 0 10 176
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 0 0 2 506 1 3 27 1,193
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 0 109 1 1 20 352
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 32 0 1 5 69
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 42 0 0 9 74
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 0 0 11 120
The Generalised Autocovariance Function 0 0 0 70 0 1 10 145
The Generalised Autocovariance Function 0 0 0 28 0 2 10 109
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 0 0 10 193
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 0 3 9 79
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 0 1 10 591
The Variance Profile 0 0 0 58 0 0 8 209
The comovements of construction in Italy's regions, 1861-1913 0 0 0 62 0 0 24 209
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 0 1 9 174
Trend Estimation 0 0 1 161 0 0 7 366
Ups and (Draw)Downs 0 1 4 21 0 1 23 46
Total Working Papers 0 5 27 11,964 21 120 1,425 29,158
2 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
2nd Special Issue on Statistical Signal Extraction and Filtering 0 0 0 23 0 0 1 63
A Beveridge-Nelson smoother 0 0 0 122 0 0 9 252
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 0 0 12 44
A Systemic Approach to Estimating the Output Gap for the Italian Economy 0 0 2 29 0 2 16 94
A class of periodic trend models for seasonal time series 0 0 1 12 0 0 8 34
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 1 9 0 1 14 62
Another Look at Dependence: The Most Predictable Aspects of Time Series 0 0 0 0 1 2 14 14
Band spectral estimation for signal extraction 0 0 0 44 0 0 15 176
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 0 0 12 229
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 0 0 8 87
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models 0 0 0 91 0 0 4 240
Comparing seasonal components for structural time series models 0 1 4 211 1 3 18 630
Component-wise Representations of Long-memory Models and Volatility Prediction 0 0 0 17 0 1 7 59
Convergence in Italian regional per-capita GDP 0 0 0 158 0 1 11 552
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 0 1 196 2 2 20 584
Direct and iterated multistep AR methods for difference stationary processes 0 0 1 15 0 0 13 98
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 0 1 4 37
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 0 0 4 24
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 0 53 1 4 19 270
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 0 0 88 0 2 17 280
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 0 0 15 242
Editorial 0 0 0 1 0 1 5 11
Efficient nonparametric estimation of generalised autocovariances 0 1 1 1 1 2 8 10
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 0 0 211 1 2 15 545
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 0 0 6 1 1 8 41
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 1 1 11 78
Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 4 0 1 13 68
Extracting the Cyclical Component in Hours Worked 0 0 0 27 0 0 7 121
Forecasting and signal extraction with misspecified models 0 0 0 55 1 4 12 205
Forecasting the US unemployment rate 0 0 4 168 0 1 14 363
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 0 10 2 3 17 48
Growth accounting for the euro area 0 0 1 18 0 0 12 89
Has the Volatility of U.S. Inflation Changed and How? 0 0 2 79 0 0 15 229
Hyper‐spherical and elliptical stochastic cycles 0 0 0 14 1 2 6 66
Introduction 0 0 0 11 1 1 7 87
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 0 1 9 259
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches 0 0 0 45 1 2 10 113
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 0 0 9 1 2 15 34
Multivariate temporal disaggregation with cross-sectional constraints 0 0 1 22 0 1 11 110
New algorithms for dating the business cycle 0 0 0 66 1 1 7 136
New proposals for the quantification of qualitative survey data 0 0 0 34 2 2 13 102
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 0 0 1 20 1 2 15 69
Nowcasting monthly GDP with big data: A model averaging approach 0 0 3 27 0 2 22 94
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 0 0 8 60
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 55 1 1 13 161
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing 0 0 0 10 0 0 13 66
Outlier detection in structural time series models: The indicator saturation approach 0 0 3 21 0 3 32 132
Patterns of industrial specialisation in post-Unification Italy 0 0 1 14 0 1 8 70
Peaks, gaps, and time‐reversibility of economic time series 0 0 0 5 0 0 8 27
Persistence of Shocks on Seasonal Processes 0 0 0 55 0 0 9 215
Predictability, real time estimation, and the formulation of unobserved components models 0 0 0 6 1 1 4 23
SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY 0 0 0 29 0 1 9 125
Seasonal Specific Structural Time Series 0 0 0 84 0 0 10 250
Seasonal changes in central England temperatures 0 0 0 11 1 2 10 64
Seasonality in High Frequency Time Series 0 1 5 20 3 5 26 61
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 0 0 12 416
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 0 1 13 142
Spurious periodic autoregressions 0 0 0 0 0 0 6 324
State space modeling of Gegenbauer processes with long memory 0 0 0 22 1 2 8 76
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 1 2 7 82
Survey data as coincident or leading indicators 0 0 0 58 0 1 15 191
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 0 0 17 550
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 1 2 7 48
The Variance Profile 0 0 0 19 0 1 3 105
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 0 0 0 55 0 1 8 295
The generalised autocovariance function 0 0 0 22 0 2 12 120
Transformations and seasonal adjustment 0 0 0 33 0 0 9 111
Trend-Cycle Decompositions with Correlated Components 0 0 1 76 1 1 11 204
Trends in atmospheric ethane 0 0 0 9 0 0 14 37
Unobserved components models with correlated disturbances 0 0 0 3 1 1 5 15
Total Journal Articles 0 3 33 2,938 31 79 790 10,919

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 0 10 10
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future 0 0 0 0 0 1 11 11
Generalized Linear Spectral Models for Locally Stationary Processes 0 0 0 0 0 1 2 2
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 3 55 0 1 20 189
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 0 1 27 67
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 0 1 11 15
Total Chapters 0 0 3 60 0 5 81 294

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