Title:EUROMIND: A monthly indicator of the euro area economic conditions Author(s):FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gianluigi; PROIETTI, TommasoDate:2011Citation:
- Journal of the Royal Statistical Society, Series A, 2011, 74, 2, 439-470
Type:ArticleAbstract:Continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. The paper proposes EUROMIND, which is a new monthly indicator of the euro area economic conditions, ...
Title:The Reliability of Real Time Estimates of the Euro Area Output Gap Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2011Citation:
- Economic Modelling, 2011, 28, 4, 1842–1856
Type:ArticleAbstract:This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates ...
Title:LSM: A DSGE model for Luxembourg Author(s):DEÁK, Szabolcs; FONTAGNÉ, Lionel; MAFFEZZOLI, Marco; MARCELLINO, MassimilianoDate:2011Citation:
- Economic modelling, 2011, 28, 6, 2862–2872
Type:ArticleAbstract:Luxembourg is a small open economy with a set of particular features, including rather limited competition in the domestic goods market, strong union power, and a segmented labor market for resident and non-resident workers. ...
Title:Econometric Analyses with Backdated Data: Unified Germany and the Euro Area Author(s):ANGELINI, Elena; MARCELLINO, MassimilianoDate:2011Citation:
- Economic Modelling, 2011, 28, 3, 1405–1414
Type:ArticleAbstract:In this paper we compare alternative approaches for the construction of time series of macroeconomic variables for unified Germany prior to 1991, and then use them for the construction of corresponding time series for the ...
Title:Markov switching MIDAS models Author(s):GUERIN, Pierre; MARCELLINO, MassimilianoDate:2013Citation:
- Journal of Business and Economic Statistics, 2013, Vol. 31, No. 1, pp. 45-56
Type:ArticleAbstract:This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
Title:The multiscale causal dynamics of foreign exchange markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2013Citation:
- Journal of International Money and Finance, 2013, Vol. 33, pp. 282-305
Type:ArticleAbstract:This paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different timescales. It explores the nature and direction of causality among the ...
Title:Forecasting Euro Area Variables with German Pre-EMU Data Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, MassimilianoDate:2008Citation:
- Journal of Forecasting, 2008, 27, 6, 465-481.
Title:Model Selection for Nested and Overlapping Nonlinear Dynamic and Possibly Mis-specified Models Author(s):MARCELLINO, Massimiliano; ROSSI, BarbaraDate:2008Citation:
- Oxford Bulletin of Economics and Statistics, 2008, 70, s1, 867-893.
Title:Factor Analysis in a Model with Rational Expectations Author(s):BEYER, Andreas; FARMER, Roger E. A.; HENRY, Jérôme; MARCELLINO, MassimilianoDate:2008-01-01Citation:
- Econometrics Journal, 2008, 11, 2, 271-286
Type:ArticleAbstract:DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation ...
Title:Guest editors' introduction to special issue on encompassing Author(s):HENDRY, David F.; MARCELLINO, Massimiliano; MIZON, Grayham E.Date:2008Citation:
- Oxford bulletin of economics and statistics, 2008, 70, Supp., 715-720