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 0 5 19 109
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 59 0 3 11 64
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 0 1 8 63
A Monthly Indicator of the Euro Area GDP 0 0 0 91 1 13 40 353
A Monthly Indicator of the Euro Area GDP 0 0 0 218 0 1 9 475
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 0 76 0 4 10 131
A generalized exponential time series regression model for electricity prices 0 0 1 135 0 3 11 178
A seasonal integration analysis of the italian consumption quarterly time series 0 0 0 3 0 2 3 14
Band Spectral Estimation for Signal Extraction 0 0 0 137 0 3 17 332
Band-Pass Filtering with High-Dimensional Time Series 0 0 0 5 0 1 14 33
Band-Pass Filtering with High-Dimensional Time Series 0 0 4 32 0 3 15 42
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 1 37 1 5 13 121
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 0 1 7 112
Characterising the Business Cycle for Accession Countries 0 0 0 312 0 7 17 717
Characterising the Business Cycle for Accession Countries 0 0 0 196 0 2 11 543
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 0 0 7 198
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 0 2 9 167
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 0 2 11 189
Characterizing the Business Cycle for Accession Countries 0 0 0 175 1 5 14 557
Dating the Euro Area Business Cycle 0 0 0 347 0 10 19 1,153
Dating the Euro Area Business Cycle 0 0 0 313 0 11 19 1,092
Dating the Euro Area Business Cycle 0 0 0 427 0 12 27 1,370
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 1 4 7 179
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 1 3 16 148
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 5 13 214
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 5 12 113
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 0 0 291 0 4 19 574
Efficient Nonparametric Estimation of Generalized Autocovariances 0 0 1 22 0 1 10 42
Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach 0 0 1 950 1 4 12 2,069
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 1 180 3 6 18 438
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 0 2 8 129
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 0 6 22 170
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 0 5 10 107
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 0 4 10 136
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 0 3 17 114
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 110 0 7 17 130
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 1 2 11 78
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 85 2 4 13 138
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 2 4 13 269
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 1 124 2 5 14 137
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 2 4 9 397
Generalised Linear Spectral Models 0 0 0 52 0 6 23 133
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 1 4 11 100
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 0 4 10 80
Growth accounting for the euro area: a structural approach 0 0 0 167 2 4 10 375
Has the Volatility of U.S. Inflation Changed and How? 0 0 0 166 1 1 10 346
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 0 7 36 276
Leave-k-out diagnostics in state space models 0 0 0 35 0 3 7 212
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 0 5 15 578
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 185 0 4 12 307
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 59 0 4 11 247
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 0 4 8 384
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 1 64 1 5 10 58
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 1 1 65 0 3 17 137
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 0 0 2 97 2 6 23 139
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 0 4 15 255
On the Estimation of Climate Normals and Anomalies 0 0 12 12 0 4 27 27
On the Estimation of Nonlinearly Aggregated Mixed Models 0 0 0 148 1 2 5 436
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 87 0 5 12 242
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 1 1 297 0 3 11 624
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 3 4 125
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 0 2 12 67
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 0 6 19 182
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 173 2 3 8 112
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 1 6 11 190
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 43 0 2 32 173
Outlier detection in structural time series models: The indicator saturation approach 0 0 1 57 2 7 18 135
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 1 2 8 107
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 1 2 7 26
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 0 59 0 1 12 77
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 1 4 11 102
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 0 93 0 4 19 338
Seasonal Changes in Central England Temperatures 0 0 0 31 0 2 8 103
Seasonal Changes in Central England Temperatures 0 0 0 31 0 2 8 60
Seasonal Specific Structural Time Series Models 0 0 0 257 0 2 2 435
Seasonality in High Frequency Time Series 0 0 1 75 0 7 31 123
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 0 8 20 418
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 1 5 13 344
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 0 3 17 586
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices 0 0 0 42 0 3 21 85
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 0 4 11 53
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 0 2 10 77
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 0 1 8 181
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 0 3 6 42
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 0 5 15 184
Structural Time Series Models for Business Cycle Analysis 0 0 0 681 1 4 12 1,466
Structural properties of the new quarterly series on consumption 0 0 0 1 0 1 2 15
Survey Data as Coicident or Leading Indicators 0 0 0 72 1 5 16 218
Survey Data as Coincident or Leading Indicators 0 0 0 38 0 1 10 176
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 0 0 3 506 1 13 26 1,191
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 0 109 0 7 19 351
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 32 1 3 5 69
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 42 0 4 9 74
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 0 2 11 120
The Generalised Autocovariance Function 0 0 0 70 1 5 10 145
The Generalised Autocovariance Function 0 0 0 28 2 4 10 109
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 0 3 9 590
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 0 4 10 193
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 2 5 8 78
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 4 24 209
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 1 3 9 174
Trend Estimation 0 0 1 161 0 1 9 366
Ups and (Draw)Downs 1 2 4 21 1 8 23 46
Total Working Papers 1 4 39 11,960 47 418 1,406 29,085
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 1 1 63
A Beveridge-Nelson smoother 0 0 0 122 0 2 10 252
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 0 4 12 44
A Systemic Approach to Estimating the Output Gap for the Italian Economy 0 0 2 29 1 4 17 93
A class of periodic trend models for seasonal time series 0 0 1 12 0 3 8 34
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 1 9 1 3 15 62
Another Look at Dependence: The Most Predictable Aspects of Time Series 0 0 0 0 1 4 13 13
Band spectral estimation for signal extraction 0 0 0 44 0 2 16 176
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 0 1 13 229
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 0 4 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 3 210 1 3 17 628
Component-wise Representations of Long-memory Models and Volatility Prediction 0 0 1 17 1 3 8 59
Convergence in Italian regional per-capita GDP 0 0 0 158 0 2 10 551
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 1 1 196 0 5 18 582
Direct and iterated multistep AR methods for difference stationary processes 0 0 1 15 0 6 14 98
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 1 1 4 37
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 0 2 4 24
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 1 53 2 5 19 268
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 0 0 88 2 6 18 280
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 0 5 18 242
Editorial 0 0 0 1 1 2 5 11
Efficient nonparametric estimation of generalised autocovariances 1 1 1 1 1 3 7 9
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 0 0 211 0 3 14 543
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 0 0 6 0 2 9 40
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 0 10 77
Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 4 1 4 14 68
Extracting the Cyclical Component in Hours Worked 0 0 0 27 0 3 7 121
Forecasting and signal extraction with misspecified models 0 0 0 55 3 5 11 204
Forecasting the US unemployment rate 0 0 4 168 1 4 14 363
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 0 10 0 4 14 45
Growth accounting for the euro area 0 0 1 18 0 2 12 89
Has the Volatility of U.S. Inflation Changed and How? 0 0 2 79 0 1 15 229
Hyper‐spherical and elliptical stochastic cycles 0 0 0 14 0 2 4 64
Introduction 0 0 0 11 0 2 6 86
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 1 3 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 4 9 112
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 0 0 9 1 5 14 33
Multivariate temporal disaggregation with cross-sectional constraints 0 0 1 22 1 5 11 110
New algorithms for dating the business cycle 0 0 0 66 0 2 6 135
New proposals for the quantification of qualitative survey data 0 0 0 34 0 2 11 100
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 0 0 1 20 0 3 14 67
Nowcasting monthly GDP with big data: A model averaging approach 0 0 3 27 1 5 21 93
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 0 3 11 60
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 55 0 9 14 160
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing 0 0 0 10 0 6 14 66
Outlier detection in structural time series models: The indicator saturation approach 0 0 3 21 3 10 32 132
Patterns of industrial specialisation in post-Unification Italy 0 0 1 14 1 2 8 70
Peaks, gaps, and time‐reversibility of economic time series 0 0 0 5 0 3 8 27
Persistence of Shocks on Seasonal Processes 0 0 0 55 0 4 9 215
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 4 8 124
Seasonal Specific Structural Time Series 0 0 0 84 0 4 10 250
Seasonal changes in central England temperatures 0 0 0 11 0 3 9 62
Seasonality in High Frequency Time Series 1 2 7 20 2 8 26 58
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 0 2 12 416
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 1 5 13 142
Spurious periodic autoregressions 0 0 0 0 0 2 6 324
State space modeling of Gegenbauer processes with long memory 0 0 0 22 1 1 7 75
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 1 2 7 81
Survey data as coincident or leading indicators 0 0 0 58 0 1 14 190
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 0 3 19 550
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 1 3 7 47
The Variance Profile 0 0 0 19 0 0 2 104
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 0 0 0 55 1 2 9 295
The generalised autocovariance function 0 0 0 22 2 5 13 120
Transformations and seasonal adjustment 0 0 0 33 0 2 10 111
Trend-Cycle Decompositions with Correlated Components 0 0 2 76 0 3 11 203
Trends in atmospheric ethane 0 0 0 9 0 1 15 37
Unobserved components models with correlated disturbances 0 0 0 3 0 3 4 14
Total Journal Articles 2 5 37 2,937 35 223 786 10,875

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 1 10 10
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future 0 0 0 0 1 2 11 11
Generalized Linear Spectral Models for Locally Stationary Processes 0 0 0 0 1 2 2 2
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 4 55 1 6 22 189
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 1 10 27 67
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 1 6 12 15
Total Chapters 0 0 4 60 5 27 84 294

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