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
Title:Forecasting government bond yields with large Bayesian vector autoregressions Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2012Citation:
- Journal of Banking and Finance, 2012, Vol. 36, No. 7, pp. 2026-2047
Type:ArticleAbstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
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
Title:Forecast Pooling for European Macroeconomic Variables Author(s):MARCELLINO, MassimilianoDate:2004Citation:
- Oxford Bulletin of Economics and Statistics, 2004, 66, 1, 91-112
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