Title:Unrestricted mixed data sampling (MIDAS) : MIDAS regressions with unrestricted lag polynomials Author(s):FORONI, Claudia; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2015Citation:
- Journal of the Royal Statistical Society : series A, statistics in society, 2015, Vol. 178, No. 1, pp. 57-82
Type:ArticleAbstract:Mixed data sampling (MIDAS) regressions allow us to estimate dynamic equations that explain a low frequency variable by high frequency variables and their lags. When the difference in sampling frequencies between the ...
Title:Forecasting economic activity with targeted predictors Author(s):BULLIGAN, Guido; MARCELLINO, Massimiliano; VENDITTI, FabrizioDate:2015Citation:
- International journal of forecasting, 2015, Vol. 31, No. 1, pp. 188-206
Type:ArticleAbstract:In this paper we explore the forecasting performances of methods based on a pre-selection of monthly indicators from large panels of time series. After a preliminary data reduction step based on different shrinkage techniques, ...
Title:Bayesian VARs : specification choices and forecast accuracy Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, MassimilianoDate:2015Citation:
- Journal of applied econometrics, 2015, Vol. 30, No. 1, pp. 46-73
Type:ArticleAbstract:In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt as a benchmark a common specification in the ...
Title:A credibility proxy : tracking US monetary developments Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, NicolaDate:2012Citation:
- B.E. Journal of Macroeconomics, 2012, Vol. 12, No. 1, pp. 1-34
Type:ArticleAbstract:The purpose of this paper is two-fold: first, we propose a method for checking empirically whether inflation expectations are anchored in the long run, and at what level. The extent of anchoring then serves as a proxy for ...
Title:Principal Components at Work: the Empirical Analysis of Monetary Policy with Large Data Sets Author(s):MARCELLINO, MassimilianoDate:2005Citation:
- Journal of Applied Econometrics, 2005, 20, 5, 603-620
Title:Dating Business Cycles: a Methodological Contribution with an Application to the Euro Area Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2004Citation:
- Oxford Bulletin of Economics and Statistics, 2004, 66, 4, 537-565
Title:Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data Author(s):MARCELLINO, MassimilianoDate:2004Citation:
- The Econometrics Journal, 2004, 7, 2, 322-340