Access Statistics for Tommaso Proietti

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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 Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models 0 0 0 82 3 5 9 95
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 59 2 2 3 55
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 1 2 3 57
A Monthly Indicator of the Euro Area GDP 0 0 1 91 1 3 12 318
A Monthly Indicator of the Euro Area GDP 0 0 1 218 2 2 4 468
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 3 76 1 1 4 122
A generalized exponential time series regression model for electricity prices 0 0 1 135 3 3 4 171
A seasonal integration analysis of the italian consumption quarterly time series 0 0 1 3 0 0 1 11
Band Spectral Estimation for Signal Extraction 0 0 0 137 2 3 4 318
Band-Pass Filtering with High-Dimensional Time Series 0 2 3 31 1 4 9 33
Band-Pass Filtering with High-Dimensional Time Series 0 0 0 5 2 3 10 25
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 1 2 2 107
Bayesian stochastic model specification search for seasonal and calendar effects 0 1 2 37 1 3 6 112
Characterising the Business Cycle for Accession Countries 0 0 0 312 3 4 6 705
Characterising the Business Cycle for Accession Countries 0 0 0 196 1 1 2 533
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 0 0 4 194
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 2 2 3 160
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 3 4 4 182
Characterizing the Business Cycle for Accession Countries 0 0 0 175 1 3 3 546
Dating the Euro Area Business Cycle 0 0 1 313 0 2 6 1,075
Dating the Euro Area Business Cycle 0 0 2 347 3 3 7 1,138
Dating the Euro Area Business Cycle 0 0 1 427 4 6 8 1,349
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 0 0 2 173
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 1 47 5 6 10 141
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 1 3 4 105
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 2 7 205
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 0 1 291 1 1 5 559
Efficient Nonparametric Estimation of Generalized Autocovariances 0 0 2 22 0 2 6 36
Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach 0 1 2 950 1 2 5 2,060
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 1 180 1 1 6 424
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 1 62 1 1 3 123
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 4 5 7 154
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 1 1 2 99
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 0 0 3 127
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 2 4 6 102
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 1 110 0 0 4 113
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 1 2 4 70
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 85 1 1 5 127
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 0 1 2 258
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 1 124 5 5 9 130
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 0 1 2 390
Generalised Linear Spectral Models 0 0 0 52 0 1 3 112
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 0 0 1 89
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 1 1 4 71
Growth accounting for the euro area: a structural approach 0 0 0 167 3 4 6 369
Has the Volatility of U.S. Inflation Changed and How? 0 0 1 166 1 2 4 339
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 2 3 6 244
Leave-k-out diagnostics in state space models 0 0 0 35 0 1 1 206
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 2 5 7 569
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 1 185 1 1 4 296
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 1 59 2 2 8 239
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 0 1 2 377
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 1 64 1 1 3 50
New proposals for the quantification of qualitative survey data 0 0 0 127 0 1 3 327
Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach 0 0 2 64 2 3 16 128
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 0 1 3 97 3 8 19 125
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 1 1 3 242
On the Estimation of Climate Normals and Anomalies 0 1 12 12 2 5 12 12
On the Estimation of Nonlinearly Aggregated Mixed Models 0 0 0 148 0 0 0 431
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 87 1 2 3 233
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 296 2 3 5 617
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 76 0 0 2 122
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 1 1 2 56
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 36 1 2 4 76
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 0 2 4 167
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 173 2 2 4 107
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 43 1 1 6 144
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 0 3 3 182
Outlier detection in structural time series models: The indicator saturation approach 0 0 1 57 0 3 8 123
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 3 3 4 103
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 0 0 4 20
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 0 59 3 3 4 68
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 0 1 4 93
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 0 93 0 1 6 320
Seasonal Changes in Central England Temperatures 0 0 0 31 3 3 5 55
Seasonal Changes in Central England Temperatures 0 0 0 31 1 1 2 96
Seasonal Specific Structural Time Series Models 0 0 0 257 0 0 0 433
Seasonality in High Frequency Time Series 0 1 2 75 1 5 11 99
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 1 1 8 402
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 0 0 5 334
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 3 3 4 573
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices 0 0 0 42 2 3 7 67
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 0 2 2 44
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 0 1 4 70
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 3 3 5 176
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 0 0 1 36
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 1 4 6 174
Structural Time Series Models for Business Cycle Analysis 0 0 0 681 0 1 5 1,457
Structural properties of the new quarterly series on consumption 0 0 1 1 0 0 1 13
Survey Data as Coicident or Leading Indicators 0 0 1 72 3 3 4 205
Survey Data as Coincident or Leading Indicators 0 0 1 38 2 2 3 168
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 0 0 3 505 1 5 12 1,172
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 0 109 1 3 5 335
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 1 42 0 0 2 65
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 32 0 0 0 64
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 2 3 3 112
The Generalised Autocovariance Function 0 0 0 28 1 1 2 101
The Generalised Autocovariance Function 0 0 0 70 0 1 2 136
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 0 1 4 583
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 0 0 1 70
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 1 2 2 185
The Variance Profile 0 0 0 58 3 4 6 206
The comovements of construction in Italy's regions, 1861-1913 0 0 0 62 1 2 3 187
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 0 1 2 166
Trend Estimation 1 1 1 161 1 1 4 360
Ups and (Draw)Downs 0 1 3 18 3 4 11 27
Total Working Papers 1 9 63 11,953 131 223 503 27,998
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 1 2 244
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 1 2 4 35
A Systemic Approach to Estimating the Output Gap for the Italian Economy 1 2 5 29 4 6 18 85
A class of periodic trend models for seasonal time series 0 1 4 12 1 3 7 29
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 0 8 0 0 3 48
Another Look at Dependence: The Most Predictable Aspects of Time Series 0 0 0 0 1 4 4 4
Band spectral estimation for signal extraction 0 0 0 44 2 4 6 166
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 3 4 10 223
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 1 2 2 81
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models 0 0 0 91 0 1 2 237
Comparing seasonal components for structural time series models 1 2 3 209 1 2 9 615
Component-wise Representations of Long-memory Models and Volatility Prediction 0 0 3 17 1 1 4 53
Convergence in Italian regional per-capita GDP 0 0 0 158 1 1 4 542
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 0 1 195 2 4 6 568
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 0 1 1 34
Direct and iterated multistep AR methods for difference stationary processes 0 1 2 15 0 1 4 87
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 0 0 1 21
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 5 53 2 3 16 255
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 0 1 88 0 3 7 267
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 3 6 19 235
Editorial 0 0 0 1 0 1 2 7
Efficient nonparametric estimation of generalised autocovariances 0 0 0 0 0 0 1 3
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 0 1 211 3 5 8 535
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 0 1 6 0 3 6 36
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 0 0 67
Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 4 2 2 3 57
Extracting the Cyclical Component in Hours Worked 0 0 0 27 1 1 1 115
Forecasting and signal extraction with misspecified models 0 0 0 55 1 1 1 194
Forecasting the US unemployment rate 1 2 4 166 1 5 8 355
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 0 10 0 1 2 32
Growth accounting for the euro area 0 0 1 18 1 4 5 82
Has the Volatility of U.S. Inflation Changed and How? 2 2 2 79 2 4 6 218
Hyper‐spherical and elliptical stochastic cycles 0 0 0 14 0 2 2 62
Introduction 0 0 1 11 0 0 2 80
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 0 2 2 252
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches 0 0 0 45 1 1 1 104
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 0 1 9 3 3 7 22
Multivariate temporal disaggregation with cross-sectional constraints 1 1 1 22 2 3 4 102
New algorithms for dating the business cycle 0 0 0 66 1 2 2 131
New proposals for the quantification of qualitative survey data 0 0 0 34 0 0 1 89
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 0 0 5 19 0 0 10 55
Nowcasting monthly GDP with big data: A model averaging approach 1 1 3 27 2 3 10 78
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 0 0 4 52
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 55 0 0 3 148
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing 0 0 0 10 2 3 4 56
Outlier detection in structural time series models: The indicator saturation approach 0 1 1 19 1 3 5 103
Patterns of industrial specialisation in post-Unification Italy 0 1 1 14 0 2 6 64
Peaks, gaps, and time‐reversibility of economic time series 0 0 0 5 0 0 2 19
Persistence of Shocks on Seasonal Processes 0 0 0 55 1 1 5 207
Predictability, real time estimation, and the formulation of unobserved components models 0 0 0 6 1 3 4 22
SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY 0 0 0 29 1 3 4 119
Seasonal Specific Structural Time Series 0 0 0 84 2 3 4 243
Seasonal changes in central England temperatures 0 0 0 11 2 3 5 57
Seasonality in High Frequency Time Series 1 1 10 16 1 4 19 39
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 1 3 5 408
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 1 2 2 131
Spurious periodic autoregressions 0 0 0 0 0 0 3 318
State space modeling of Gegenbauer processes with long memory 0 0 1 22 1 2 4 70
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 0 0 1 75
Survey data as coincident or leading indicators 0 0 0 58 3 5 6 181
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 3 5 10 539
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 1 1 4 42
The Variance Profile 0 0 1 19 0 0 3 102
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 0 0 0 55 0 1 3 288
The generalised autocovariance function 0 0 0 22 2 3 4 111
Transformations and seasonal adjustment 0 0 1 33 0 0 2 102
Trend-Cycle Decompositions with Correlated Components 0 1 5 76 1 4 10 197
Trends in atmospheric ethane 0 0 2 9 1 1 5 24
Unobserved components models with correlated disturbances 0 0 0 3 1 1 1 11
Total Journal Articles 8 16 66 2,924 70 145 341 10,295

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 0 0
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future 0 0 0 0 0 0 0 0
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 1 3 4 55 2 7 11 177
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 1 1 3 41
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 1 1 2 5
Total Chapters 1 3 4 60 4 9 16 223

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Statistics updated 2025-12-06