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 4 7 20 109
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 59 1 4 11 64
A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 0 0 0 16 0 2 8 63
A Monthly Indicator of the Euro Area GDP 0 0 0 91 1 19 40 352
A Monthly Indicator of the Euro Area GDP 0 0 0 218 1 2 9 475
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 0 76 1 5 10 131
A generalized exponential time series regression model for electricity prices 0 0 1 135 3 3 11 178
A seasonal integration analysis of the italian consumption quarterly time series 0 0 0 3 2 2 3 14
Band Spectral Estimation for Signal Extraction 0 0 0 137 3 3 17 332
Band-Pass Filtering with High-Dimensional Time Series 0 0 4 32 1 3 16 42
Band-Pass Filtering with High-Dimensional Time Series 0 0 0 5 1 3 14 33
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 0 45 1 1 7 112
Bayesian stochastic model specification search for seasonal and calendar effects 0 0 1 37 3 4 12 120
Characterising the Business Cycle for Accession Countries 0 0 0 312 5 8 17 717
Characterising the Business Cycle for Accession Countries 0 0 0 196 1 4 11 543
Characterizing economic trends by Bayesian stochastic model specifi cation search 0 0 0 81 0 1 7 198
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 60 2 2 11 189
Characterizing economic trends by Bayesian stochastic model specification search 0 0 0 55 0 3 9 167
Characterizing the Business Cycle for Accession Countries 0 0 0 175 3 5 13 556
Dating the Euro Area Business Cycle 0 0 0 313 9 14 19 1,092
Dating the Euro Area Business Cycle 0 0 0 427 11 14 27 1,370
Dating the Euro Area Business Cycle 0 0 0 347 9 11 19 1,153
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 72 2 3 6 178
Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? 0 0 0 47 2 3 15 147
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 128 4 5 12 213
Does the Box-Cox transformation help in forecasting macroeconomic time series? 0 0 0 19 5 7 12 113
Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints 0 0 1 291 3 5 20 574
Efficient Nonparametric Estimation of Generalized Autocovariances 0 0 1 22 1 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 3 11 2,068
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components 0 0 1 180 2 6 16 435
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro 0 0 0 62 1 2 8 129
EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries 0 0 0 68 4 7 23 170
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 32 2 4 10 136
EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area 0 0 0 64 4 6 10 107
EuroMInd-D: A density estimate of monthly gross domestic product for the euro area 0 0 0 20 3 5 17 114
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 38 0 2 10 77
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 110 6 7 17 130
Exponential Smoothing, Long Memory and Volatility Prediction 0 0 0 85 0 5 12 136
Extracting the Cyclical Component in Hours Worked: a Bayesian Approach 0 0 0 83 0 2 11 267
Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects 0 0 1 124 1 3 12 135
Forecasting and Signal Extraction with Misspecified Models 0 0 0 181 2 4 7 395
Generalised Linear Spectral Models 0 0 0 52 5 16 23 133
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 54 2 4 10 99
Generalised partial autocorrelations and the mutual information between past and future 0 0 0 39 3 4 10 80
Growth accounting for the euro area: a structural approach 0 0 0 167 2 2 8 373
Has the Volatility of U.S. Inflation Changed and How? 0 0 0 166 0 2 9 345
Hyper-spherical and Elliptical Stochastic Cycles 0 0 0 56 6 8 36 276
Leave-k-out diagnostics in state space models 0 0 0 35 2 3 7 212
Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences 0 0 0 94 3 6 15 578
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 59 4 4 12 247
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 0 185 3 4 13 307
Measuring Core Inflation by Multivariate Structural Time Series Models 0 0 0 206 4 5 8 384
Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process 0 0 1 64 2 4 10 57
New proposals for the quantification of qualitative survey data 0 0 0 127 0 1 5 330
Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach 1 1 1 65 3 4 17 137
Nowcasting Monthly GDP with Big Data: a Model Averaging Approach 0 0 2 97 4 4 22 137
On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing 0 0 0 71 1 8 15 255
On the Estimation of Climate Normals and Anomalies 0 0 12 12 2 4 27 27
On the Estimation of Nonlinearly Aggregated Mixed Models 0 0 0 148 1 1 4 435
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 87 5 6 12 242
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 1 1 1 297 2 3 12 624
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 36 0 1 6 80
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 76 3 3 4 125
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 39 2 3 12 67
On the Spectral Properties of Matrices Associated with Trend Filters 0 0 0 32 5 7 19 182
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 0 39 4 5 10 189
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 43 2 5 33 173
Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach 0 0 1 173 1 1 6 110
Outlier detection in structural time series models: The indicator saturation approach 0 0 1 57 4 6 16 133
Patterns of industrial specialisation in post-Unification Italy 0 0 0 67 0 1 7 106
Patterns of industrial specialisation in post-unification Italy 0 0 0 2 1 1 6 25
Peaks, Gaps, and Time Reversibility of Economic Time Series 0 0 0 59 0 4 12 77
Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models 0 0 0 78 2 4 11 101
Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis 0 0 0 93 3 7 20 338
Seasonal Changes in Central England Temperatures 0 0 0 31 2 3 8 60
Seasonal Changes in Central England Temperatures 0 0 0 31 2 2 8 103
Seasonal Specific Structural Time Series Models 0 0 0 257 2 2 2 435
Seasonality in High Frequency Time Series 0 0 1 75 5 11 31 123
Seasonality, Forecast Extensions and Business Cycle Uncertainty 0 0 0 160 7 9 21 418
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 309 1 4 17 586
Some Reflections on Trend-Cycle Decompositions with Correlated Components 0 0 0 162 2 5 12 343
Spikes and Memory in (Nord Pool) Electricity Price Spot Prices 0 0 0 42 2 3 21 85
Spikes and memory in (Nord Pool) electricity price spot prices 0 0 0 4 3 6 11 53
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 13 1 3 10 77
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 89 1 1 8 181
Structural Time Series Modelling of Capacity Utilisation 0 0 0 8 2 3 6 42
Structural Time Series Models for Business Cycle Analysis 0 0 0 681 1 4 12 1,465
Structural Time Series Models for Business Cycle Analysis 0 0 0 66 3 6 15 184
Structural properties of the new quarterly series on consumption 0 0 0 1 1 1 2 15
Survey Data as Coicident or Leading Indicators 0 0 1 72 3 8 16 217
Survey Data as Coincident or Leading Indicators 0 0 1 38 1 1 11 176
Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited 0 1 4 506 5 14 27 1,190
The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913 0 0 0 109 2 12 19 351
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 97 2 2 11 120
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 42 4 4 9 74
The Exponential Model for the Spectrum of a Time Series: Extensions and Applications 0 0 0 32 2 2 4 68
The Generalised Autocovariance Function 0 0 0 28 1 3 8 107
The Generalised Autocovariance Function 0 0 0 70 1 4 9 144
The Multistep Beveridge-Nelson Decomposition 0 0 0 75 3 4 10 193
The Multistep Beveridge-Nelson Decomposition 0 0 0 244 3 4 9 590
The Multistep Beveridge-Nelson Decomposition 0 0 0 14 3 3 6 76
The Variance Profile 0 0 0 58 0 1 8 209
The comovements of construction in Italy's regions, 1861-1913 0 0 0 62 2 12 24 209
Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies 0 0 0 49 2 2 9 173
Trend Estimation 0 0 1 161 1 3 9 366
Ups and (Draw)Downs 1 1 3 20 4 9 22 45
Total Working Papers 3 4 42 11,959 260 492 1,382 29,038
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 1 1 1 63
A Beveridge-Nelson smoother 0 0 0 122 2 3 10 252
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices 0 0 0 11 4 4 12 44
A Systemic Approach to Estimating the Output Gap for the Italian Economy 0 0 2 29 2 4 16 92
A class of periodic trend models for seasonal time series 0 0 2 12 3 3 9 34
A data-cleaning augmented Kalman filter for robust estimation of state space models 0 0 1 9 2 5 14 61
Another Look at Dependence: The Most Predictable Aspects of Time Series 0 0 0 0 2 4 12 12
Band spectral estimation for signal extraction 0 0 0 44 2 3 16 176
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area 0 0 0 80 1 2 14 229
Characterising economic trends by Bayesian stochastic model specification search 0 0 0 9 4 5 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 2 17 627
Component-wise Representations of Long-memory Models and Volatility Prediction 0 0 2 17 2 3 8 58
Convergence in Italian regional per-capita GDP 0 0 0 158 2 3 11 551
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area 1 1 2 196 3 7 19 582
Direct and iterated multistep AR methods for difference stationary processes 0 0 1 15 6 9 14 98
Direct and iterated multistep AR methods for difference stationary processes 0 0 0 5 0 0 3 36
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence 0 0 0 7 2 2 4 24
Does the Box–Cox transformation help in forecasting macroeconomic time series? 0 0 3 53 3 6 19 266
Dynamic factor analysis with non‐linear temporal aggregation constraints 0 0 0 88 1 5 16 278
EUROMIND: a monthly indicator of the euro area economic conditions 0 0 0 0 4 5 19 242
Editorial 0 0 0 1 1 1 4 10
Efficient nonparametric estimation of generalised autocovariances 0 0 0 0 0 2 6 8
Estimating potential output and the output gap for the euro area: a model-based production function approach 0 0 0 211 3 4 14 543
Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints 0 0 0 6 1 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 3 4 13 67
Extracting the Cyclical Component in Hours Worked 0 0 0 27 3 3 7 121
Forecasting and signal extraction with misspecified models 0 0 0 55 1 3 8 201
Forecasting the US unemployment rate 0 0 6 168 2 4 15 362
Forecasting volatility with time-varying leverage and volatility of volatility effects 0 0 0 10 4 4 14 45
Growth accounting for the euro area 0 0 1 18 2 3 12 89
Has the Volatility of U.S. Inflation Changed and How? 0 0 2 79 1 6 16 229
Hyper‐spherical and elliptical stochastic cycles 0 0 0 14 2 2 4 64
Introduction 0 0 0 11 1 2 6 86
LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS 0 0 0 74 1 3 8 258
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches 0 0 0 45 3 3 8 111
Modelling cycles in climate series: The fractional sinusoidal waveform process 0 0 0 9 3 5 13 32
Multivariate temporal disaggregation with cross-sectional constraints 0 0 1 22 3 4 10 109
New algorithms for dating the business cycle 0 0 0 66 2 2 6 135
New proposals for the quantification of qualitative survey data 0 0 0 34 1 5 11 100
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach 0 0 1 20 2 4 15 67
Nowcasting monthly GDP with big data: A model averaging approach 0 0 3 27 4 7 21 92
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS 0 0 0 11 2 3 11 60
On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates 0 0 0 55 7 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 5 6 14 66
Outlier detection in structural time series models: The indicator saturation approach 0 2 3 21 5 15 29 129
Patterns of industrial specialisation in post-Unification Italy 0 0 1 14 1 2 8 69
Peaks, gaps, and time‐reversibility of economic time series 0 0 0 5 3 3 8 27
Persistence of Shocks on Seasonal Processes 0 0 0 55 4 5 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 4 4 8 124
Seasonal Specific Structural Time Series 0 0 0 84 3 4 10 250
Seasonal changes in central England temperatures 0 0 0 11 3 4 9 62
Seasonality in High Frequency Time Series 1 2 7 19 4 10 26 56
Short-Run Dynamics in Cointegrated Systems 0 0 0 0 2 2 13 416
Signal extraction and filtering by linear semiparametric methods 0 0 0 46 3 6 12 141
Spurious periodic autoregressions 0 0 0 0 2 3 7 324
State space modeling of Gegenbauer processes with long memory 0 0 0 22 0 1 6 74
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search 0 0 0 12 0 2 6 80
Survey data as coincident or leading indicators 0 0 0 58 1 3 14 190
Temporal disaggregation by state space methods: Dynamic regression methods revisited 0 0 0 160 2 5 19 550
The Multistep Beveridge--Nelson Decomposition 0 0 0 9 1 2 6 46
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 1 8 294
The generalised autocovariance function 0 0 0 22 2 3 11 118
Transformations and seasonal adjustment 0 0 1 33 0 3 11 111
Trend-Cycle Decompositions with Correlated Components 0 0 2 76 3 3 11 203
Trends in atmospheric ethane 0 0 0 9 1 5 15 37
Unobserved components models with correlated disturbances 0 0 0 3 3 3 4 14
Total Journal Articles 2 6 44 2,935 152 256 771 10,840

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 1 1 10 10
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future 0 0 0 0 1 1 10 10
Generalized Linear Spectral Models for Locally Stationary Processes 0 0 0 0 1 1 1 1
Maximum likelihood estimation of time series models: the Kalman filter and beyond 0 0 4 55 5 5 21 188
On the Selection of Common Factors for Macroeconomic Forecasting 0 0 0 5 3 13 26 66
Structural Time Series Models for Business Cycle Analysis 0 0 0 0 4 6 11 14
Total Chapters 0 0 4 60 15 27 79 289

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