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 1 82 0 2 7 90
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 0 0 1 55
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 1 59 0 1 2 53
A Monthly Indicator of the Euro Area GDP 0 0 2 218 0 0 4 466
A Monthly Indicator of the Euro Area GDP 0 0 5 91 0 2 15 313
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 1 3 76 0 1 4 121
A generalized exponential time series regression model for electricity prices 0 0 0 134 0 0 1 167
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 0 1 1 315
Band-Pass Filtering with High-Dimensional Time Series 0 0 1 5 2 2 8 21
Band-Pass Filtering with High-Dimensional Time Series 0 0 1 28 0 1 5 27
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 1 36 1 1 4 109
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 0 0 0 105
Characterising the Business Cycle for Accession Countries 0 0 0 312 0 0 2 700
Characterising the Business Cycle for Accession Countries 0 0 0 196 0 0 1 532
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 2 3 3 193
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 0 0 0 178
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 0 0 1 158
Characterizing the Business Cycle for Accession Countries 0 0 1 175 0 0 1 543
Dating the Euro Area Business Cycle 0 0 3 313 0 1 9 1,073
Dating the Euro Area Business Cycle 0 0 2 427 0 0 3 1,343
Dating the Euro Area Business Cycle 0 0 4 347 0 0 5 1,134
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 0 1 1 172
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 1 1 47 0 1 2 132
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 1 2 4 202
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 0 0 0 101
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 1 1 291 0 1 1 555
Efficient Nonparametric Estimation of Generalized Autocovariances 0 0 1 21 0 0 2 32
Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach 0 0 1 949 0 1 4 2,057
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 0 179 1 2 5 421
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 2 62 0 0 2 121
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 1 68 0 1 2 148
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 0 0 2 126
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 0 0 0 97
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 0 0 1 97
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 1 110 0 0 6 113
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 1 85 1 4 9 126
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 0 0 2 67
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 1 1 1 257
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 0 123 1 3 3 124
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 1 1 1 389
Generalised Linear Spectral Models 0 0 0 52 0 1 1 110
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 0 1 4 70
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 0 0 1 89
Growth accounting for the euro area: a structural approach 0 0 0 167 0 0 2 365
Has the Volatility of U.S. Inflation Changed and How? 0 0 1 166 0 0 1 336
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 0 0 2 240
Leave-k-out diagnostics in state space models 0 0 0 35 0 0 0 205
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 1 1 3 564
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 1 59 0 2 5 236
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 1 185 0 1 4 295
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 0 1 1 376
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 0 63 0 1 2 48
New proposals for the quantification of qualitative survey data 0 0 0 127 0 2 2 326
Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach 0 1 2 64 0 3 13 120
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 0 0 2 95 0 4 12 116
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 0 0 2 240
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 4 87 0 0 4 230
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 296 1 2 2 614
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 0 1 1 55
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 76 0 0 1 121
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 36 0 0 2 74
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 1 1 1 164
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 42 0 1 6 141
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 0 0 0 179
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 172 0 0 1 104
Outlier detection in structural time series models: The indicator saturation approach 1 1 1 57 2 2 5 119
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 0 0 0 99
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 0 0 3 19
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 1 59 0 0 2 65
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 1 3 4 92
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 0 93 0 3 6 319
Seasonal Changes in Central England Temperatures 0 0 0 31 0 0 1 95
Seasonal Changes in Central England Temperatures 0 0 0 31 0 0 2 52
Seasonal Specific Structural Time Series Models 0 0 0 257 0 0 0 433
Seasonality in High Frequency Time Series 0 0 4 74 0 0 7 92
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 3 5 10 401
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 1 1 2 570
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 2 2 4 333
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 0 0 0 42
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 42 0 1 6 64
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 0 1 2 173
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 0 0 1 67
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 0 0 2 36
Structural Time Series Models for Business Cycle Analysis 0 0 2 681 1 2 5 1,455
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 0 1 1 169
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 1 1 72 0 1 2 202
Survey Data as Coincident or Leading Indicators 0 1 2 38 0 1 3 166
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 1 2 3 504 1 3 9 1,166
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 1 109 0 1 7 332
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 1 42 0 1 2 65
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 0 0 0 109
The Generalised Autocovariance Function 0 0 0 70 0 0 1 135
The Generalised Autocovariance Function 0 0 0 28 0 0 1 99
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 0 1 3 70
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 0 1 4 581
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 0 0 0 183
The Variance Profile 0 0 0 58 0 0 2 201
The comovements of construction in Italy's regions, 1861-1913 0 0 0 62 0 0 1 185
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 0 1 1 165
Trend Estimation 0 0 0 160 1 1 2 358
Ups and (Draw)Downs 0 0 6 17 0 0 13 23
Total Working Papers 2 9 70 11,923 26 87 314 27,705
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 62
A Beveridge-Nelson smoother 0 0 0 122 0 0 0 242
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 0 0 1 32
A Systemic Approach to Estimating the Output Gap for the Italian Economy 0 0 4 27 0 1 14 76
A class of periodic trend models for seasonal time series 0 1 3 11 0 1 5 26
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 0 8 0 0 6 47
Band spectral estimation for signal extraction 0 0 0 44 0 0 0 160
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 1 3 5 217
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 0 0 0 79
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models 0 0 0 91 0 0 1 236
Comparing seasonal components for structural time series models 0 0 2 207 0 2 8 611
Component-wise Representations of Long-memory Models and Volatility Prediction 0 2 3 16 0 2 3 51
Convergence in Italian regional per-capita GDP 0 0 0 158 0 1 5 541
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 0 1 3 195 0 1 7 564
Direct and iterated multistep AR methods for difference stationary processes 0 0 1 14 0 0 1 84
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 0 0 1 33
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 0 0 1 20
Does the Box–Cox transformation help in forecasting macroeconomic time series? 1 3 6 53 1 5 13 250
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 1 1 88 1 2 3 263
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 1 2 17 225
Editorial 0 0 0 1 0 0 1 6
Efficient nonparametric estimation of generalised autocovariances 0 0 0 0 0 0 0 2
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 1 1 211 0 1 5 529
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 1 1 6 1 2 2 32
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries 0 0 0 11 0 0 1 67
Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 4 0 0 0 54
Extracting the Cyclical Component in Hours Worked 0 0 0 27 0 0 1 114
Forecasting and signal extraction with misspecified models 0 0 0 55 0 0 0 193
Forecasting the US unemployment rate 0 2 2 164 0 2 3 349
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 1 10 0 0 2 31
Growth accounting for the euro area 0 0 0 17 0 0 1 77
Has the Volatility of U.S. Inflation Changed and How? 0 0 0 77 0 1 3 214
Hyper‐spherical and elliptical stochastic cycles 0 0 0 14 0 0 0 60
Introduction 0 0 1 11 0 0 2 80
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 0 0 0 250
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches 0 0 1 45 0 0 1 103
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 0 7 9 0 0 14 19
Multivariate temporal disaggregation with cross-sectional constraints 0 0 1 21 0 0 2 99
New algorithms for dating the business cycle 0 0 0 66 0 0 2 129
New proposals for the quantification of qualitative survey data 0 0 0 34 0 0 2 89
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 0 1 5 19 0 3 12 53
Nowcasting monthly GDP with big data: A model averaging approach 0 0 2 24 0 2 6 72
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 2 2 3 51
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 1 55 0 0 2 146
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 0 52
Outlier detection in structural time series models: The indicator saturation approach 0 0 1 18 0 1 4 100
Patterns of industrial specialisation in post-Unification Italy 0 0 0 13 0 3 4 62
Peaks, gaps, and time‐reversibility of economic time series 0 0 1 5 0 0 5 19
Persistence of Shocks on Seasonal Processes 0 0 0 55 0 1 4 206
Predictability, real time estimation, and the formulation of unobserved components models 0 0 1 6 1 1 3 19
SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY 0 0 0 29 0 0 1 116
Seasonal Specific Structural Time Series 0 0 0 84 0 0 1 240
Seasonal changes in central England temperatures 0 0 1 11 0 0 2 53
Seasonality in High Frequency Time Series 2 5 12 15 3 7 25 35
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 0 1 3 404
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 0 0 1 129
Spurious periodic autoregressions 0 0 0 0 0 1 4 318
State space modeling of Gegenbauer processes with long memory 0 0 1 22 0 0 2 68
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 0 0 2 74
Survey data as coincident or leading indicators 0 0 0 58 0 0 3 176
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 2 3 6 533
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 0 0 2 40
The Variance Profile 0 1 1 19 0 1 3 102
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913 0 0 0 55 0 0 4 286
The generalised autocovariance function 0 0 0 22 0 0 2 107
Transformations and seasonal adjustment 0 1 1 33 0 1 1 101
Trend-Cycle Decompositions with Correlated Components 0 0 3 74 0 0 5 192
Trends in atmospheric ethane 0 0 3 9 0 0 4 22
Unobserved components models with correlated disturbances 0 0 0 3 0 0 0 10
Total Journal Articles 3 20 71 2,903 13 53 248 10,102

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Maximum likelihood estimation of time series models: the Kalman filter and beyond 1 1 1 52 1 1 5 168
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 0 0 3 40
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 0 0 1 3
Total Chapters 1 1 1 57 1 1 9 211

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