Massimo Franchi
Personal Details
First Name: | Massimo |
Middle Name: | |
Last Name: | Franchi |
Suffix: | |
RePEc Short-ID: | pfr177 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/a/uniroma1.it/massimofranchi_eng/home | |
Affiliation
Universita' di Roma La Sapienza, Dipartimento di Statistica, Probabilita' e Statistiche Applicate
http://www.dspsa.uniroma1.it/on-line/Home.htmlRome
Research output
Jump to: Working papers ArticlesWorking papers
- Brendan K. Beare & Massimo Franchi & Phil Howlett, 2024.
"The general solution to an autoregressive law of motion,"
Papers
2402.01966, arXiv.org, revised Sep 2024.
- Brendan K Beare & Massimo Franchi & Phil Howlett, 2024. "The general solution to an autoregressive law of motion," Working Papers 2024-01, University of Sydney, School of Economics.
- Massimo Franchi & Paolo Paruolo, 2019.
"Cointegration, root functions and minimal bases,"
DSS Empirical Economics and Econometrics Working Papers Series
2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2021. "Cointegration, Root Functions and Minimal Bases," Econometrics, MDPI, vol. 9(3), pages 1-27, August.
- Massimo Franchi & Paolo Paruolo, 2017.
"Cointegration in functional autoregressive processes,"
Papers
1712.07522, arXiv.org, revised Oct 2018.
- Franchi, Massimo & Paruolo, Paolo, 2020. "Cointegration In Functional Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 803-839, October.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," DSS Empirical Economics and Econometrics Working Papers Series 2017/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Søren Johansen, 2017.
"Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles,"
CREATES Research Papers
2017-17, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Paolo Paruolo, 2017.
"A general inversion theorem for cointegration,"
DSS Empirical Economics and Econometrics Working Papers Series
2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
- Massimo Franchi & Paolo Paruolo, 2014. "Inverting a matrix function around a singularity via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2014/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Anna Vidotto, 2012. "A simple check for VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2012.
"On ABCs (and Ds) of VAR representations of DSGE models,"
Working Paper series
56_12, Rimini Centre for Economic Analysis, revised Aug 2012.
- Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Franchi, Massimo & Jusélius, Katarina, 2007.
"Taking a DSGE Model to the Data Meaningfully,"
Economics Discussion Papers
2007-6, Kiel Institute for the World Economy (IfW Kiel).
- Franchi, Massimo & Jusélius, Katarina, 2007. "Taking a DSGE Model to the Data Meaningfully," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-38.
- Massimo Franchi, 2006. "A General Representation Theorem for Integrated Vector Autoregressive Processes," Discussion Papers 06-16, University of Copenhagen. Department of Economics.
- Massimo Franchi, 2004. "A Priori Inequality Restrictions and Bound Analysis in VAR Models," Discussion Papers 04-14, University of Copenhagen. Department of Economics.
- massimo franchi, 2002. "A Non-Causal Identification Scheme for Vector Autoregressions," Computing in Economics and Finance 2002 290, Society for Computational Economics.
- Massimo Franchi, "undated".
"The Integration Order of Vector Autoregressive Processes,"
Discussion Papers
06-05, University of Copenhagen. Department of Economics.
- Franchi, Massimo, 2007. "The Integration Order Of Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 23(3), pages 546-553, June.
Articles
- Massimo Franchi & Paolo Paruolo, 2021.
"Cointegration, Root Functions and Minimal Bases,"
Econometrics, MDPI, vol. 9(3), pages 1-27, August.
- Massimo Franchi & Paolo Paruolo, 2019. "Cointegration, root functions and minimal bases," DSS Empirical Economics and Econometrics Working Papers Series 2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Franchi, Massimo & Paruolo, Paolo, 2020.
"Cointegration In Functional Autoregressive Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 803-839, October.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," DSS Empirical Economics and Econometrics Working Papers Series 2017/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," Papers 1712.07522, arXiv.org, revised Oct 2018.
- Massimo Franchi & Paolo Paruolo, 2019.
"A general inversion theorem for cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
- Massimo Franchi & Paolo Paruolo, 2017. "A general inversion theorem for cointegration," DSS Empirical Economics and Econometrics Working Papers Series 2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Franchi, Massimo, 2018. "Testing for cointegration in I(1) state space systems via a finite order approximation," Economics Letters, Elsevier, vol. 165(C), pages 73-76.
- Massimo Franchi & Søren Johansen, 2017.
"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
- Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Franchi, Massimo & Ordóñez, Javier, 2011. "Multiple equilibria in Spanish unemployment," Structural Change and Economic Dynamics, Elsevier, vol. 22(1), pages 71-80, February.
- Franchi, Massimo, 2010. "A Representation Theory For Polynomial Cofractionality In Vector Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1201-1217, August.
- Franchi, Massimo & Ordóñez, Javier, 2008. "Common smooth transition trend-stationarity in European unemployment," Economics Letters, Elsevier, vol. 101(2), pages 106-109, November.
- Franchi, Massimo & Jusélius, Katarina, 2007.
"Taking a DSGE Model to the Data Meaningfully,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-38.
- Franchi, Massimo & Jusélius, Katarina, 2007. "Taking a DSGE Model to the Data Meaningfully," Economics Discussion Papers 2007-6, Kiel Institute for the World Economy (IfW Kiel).
- Franchi, Massimo, 2007.
"The Integration Order Of Vector Autoregressive Processes,"
Econometric Theory, Cambridge University Press, vol. 23(3), pages 546-553, June.
- Massimo Franchi, "undated". "The Integration Order of Vector Autoregressive Processes," Discussion Papers 06-05, University of Copenhagen. Department of Economics.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Massimo Franchi & Paolo Paruolo, 2019.
"Cointegration, root functions and minimal bases,"
DSS Empirical Economics and Econometrics Working Papers Series
2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2021. "Cointegration, Root Functions and Minimal Bases," Econometrics, MDPI, vol. 9(3), pages 1-27, August.
Cited by:
- Sergej Gričar & Štefan Bojnec, 2021. "Technical Analysis of Tourism Price Process in the Eurozone," JRFM, MDPI, vol. 14(11), pages 1-25, October.
- Brendan K Beare & Massimo Franchi & Phil Howlett, 2024.
"The general solution to an autoregressive law of motion,"
Working Papers
2024-01, University of Sydney, School of Economics.
- Brendan K. Beare & Massimo Franchi & Phil Howlett, 2024. "The general solution to an autoregressive law of motion," Papers 2402.01966, arXiv.org, revised Sep 2024.
- Massimo Franchi & Paolo Paruolo, 2017.
"Cointegration in functional autoregressive processes,"
Papers
1712.07522, arXiv.org, revised Oct 2018.
- Franchi, Massimo & Paruolo, Paolo, 2020. "Cointegration In Functional Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 803-839, October.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," DSS Empirical Economics and Econometrics Working Papers Series 2017/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
Cited by:
- Beare, Brendan K. & Seo, Won-Ki, 2020.
"Representation Of I(1) And I(2) Autoregressive Hilbertian Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
- Brendan K. Beare & Won-Ki Seo, 2017. "Representation of I(1) and I(2) autoregressive Hilbertian processes," Papers 1701.08149, arXiv.org, revised Sep 2019.
- Won-Ki Seo, 2020. "Functional Principal Component Analysis for Cointegrated Functional Time Series," Papers 2011.12781, arXiv.org, revised Apr 2023.
- Massimo Franchi & Paolo Paruolo, 2021.
"Cointegration, Root Functions and Minimal Bases,"
Econometrics, MDPI, vol. 9(3), pages 1-27, August.
- Massimo Franchi & Paolo Paruolo, 2019. "Cointegration, root functions and minimal bases," DSS Empirical Economics and Econometrics Working Papers Series 2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
- Mario Faliva & Maria Grazia Zoia, 2021. "Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem," Papers 2102.10626, arXiv.org.
- Morten {O}rregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2023. "Inference on common trends in functional time series," Papers 2312.00590, arXiv.org, revised May 2024.
- Brendan K Beare & Massimo Franchi & Phil Howlett, 2024.
"The general solution to an autoregressive law of motion,"
Working Papers
2024-01, University of Sydney, School of Economics.
- Brendan K. Beare & Massimo Franchi & Phil Howlett, 2024. "The general solution to an autoregressive law of motion," Papers 2402.01966, arXiv.org, revised Sep 2024.
- Massimo Franchi & Søren Johansen, 2017.
"Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles,"
CREATES Research Papers
2017-17, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
Cited by:
- James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
- Katarina Juselius, 2017.
"Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge,"
Econometrics, MDPI, vol. 5(3), pages 1-20, July.
- Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Discussion Papers 17-07, University of Copenhagen. Department of Economics.
- Adam McCloskey, 2012.
"Bonferroni-Based Size-Correction for Nonstandard Testing Problems,"
Working Papers
2012-16, Brown University, Department of Economics.
- McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
- Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
- Nevin Cavusoglu & Michael D. Goldberg & Joshua Stillwagon, 2019. "New Evidence on the Portfolio Balance Approach to Currency Returns," Working Papers Series 89, Institute for New Economic Thinking.
- Massimo Franchi & Paolo Paruolo, 2017.
"A general inversion theorem for cointegration,"
DSS Empirical Economics and Econometrics Working Papers Series
2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
Cited by:
- Beare, Brendan K. & Seo, Won-Ki, 2020.
"Representation Of I(1) And I(2) Autoregressive Hilbertian Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
- Brendan K. Beare & Won-Ki Seo, 2017. "Representation of I(1) and I(2) autoregressive Hilbertian processes," Papers 1701.08149, arXiv.org, revised Sep 2019.
- James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
- Massimo Franchi & Paolo Paruolo, 2021.
"Cointegration, Root Functions and Minimal Bases,"
Econometrics, MDPI, vol. 9(3), pages 1-27, August.
- Massimo Franchi & Paolo Paruolo, 2019. "Cointegration, root functions and minimal bases," DSS Empirical Economics and Econometrics Working Papers Series 2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Kheifets, Igor L. & Phillips, Peter C.B., 2023.
"Fully modified least squares cointegrating parameter estimation in multicointegrated systems,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
- Igor L. Kheifets & Peter C. B. Phillips, 2021. "Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems," Papers 2108.03486, arXiv.org.
- Berta, Paolo & Lovaglio, Pietro Giorgio & Paruolo, Paolo & Verzillo, Stefano, 2020.
"Real Time Forecasting of Covid-19 Intensive Care Units demand,"
Working Papers
2020-08, Joint Research Centre, European Commission.
- Berta, P. & Lovaglio, P.G. & Paruolo, P. & Verzillo, S., 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," Health, Econometrics and Data Group (HEDG) Working Papers 20/16, HEDG, c/o Department of Economics, University of York.
- Mario Faliva & Maria Grazia Zoia, 2021. "Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem," Papers 2102.10626, arXiv.org.
- Massimo Franchi & Paolo Paruolo, 2017.
"Cointegration in functional autoregressive processes,"
Papers
1712.07522, arXiv.org, revised Oct 2018.
- Franchi, Massimo & Paruolo, Paolo, 2020. "Cointegration In Functional Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 36(5), pages 803-839, October.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," DSS Empirical Economics and Econometrics Working Papers Series 2017/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.
- Massimo Franchi, 2013.
"Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064,"
DSS Empirical Economics and Econometrics Working Papers Series
2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
Cited by:
- Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
- Saccal, Alessandro, 2023. "A role for confidence: volition regimes and news," MPRA Paper 117484, University Library of Munich, Germany.
- Alessandro SACCAL, 2021.
"A Note On Gensys’ Minimality,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 12(1), pages 57-60.
- Saccal, Alessandro, 2020. "A note on gensys’ minimality," MPRA Paper 103818, University Library of Munich, Germany.
- Saccal, Alessandro, 2023. "A finite, empirically useless and almost sure VAR representation for all minimal transition equations," MPRA Paper 116435, University Library of Munich, Germany.
- Saccal, Alessandro, 2020. "A note on minimality in Dynare," MPRA Paper 103656, University Library of Munich, Germany.
- Massimo Franchi & Paolo Paruolo, 2012.
"On ABCs (and Ds) of VAR representations of DSGE models,"
Working Paper series
56_12, Rimini Centre for Economic Analysis, revised Aug 2012.
- Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
Cited by:
- Massimo Franchi & Anna Vidotto, 2012. "A simple check for VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
- Franchi, Massimo & Jusélius, Katarina, 2007.
"Taking a DSGE Model to the Data Meaningfully,"
Economics Discussion Papers
2007-6, Kiel Institute for the World Economy (IfW Kiel).
- Franchi, Massimo & Jusélius, Katarina, 2007. "Taking a DSGE Model to the Data Meaningfully," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-38.
Cited by:
- David Colander, 2010. "The Keynesian Method, Complexity, and the Training of Economists," Middlebury College Working Paper Series 1035, Middlebury College, Department of Economics.
- Katarina Juselius, 2021.
"Searching for a Theory That Fits the Data: A Personal Research Odyssey,"
Econometrics, MDPI, vol. 9(1), pages 1-27, February.
- Katarina Juselius, 2018. "Searching for a theory that fits the data: A personal research odyssey," Discussion Papers 18-07, University of Copenhagen. Department of Economics.
- Ivan Kitov & Oleg Kitov & Svetlana Dolinskaya, 2007.
"Modeling Real GDP Per Capita in the USA: Cointegration Test,"
Mechonomics
mechanomics1, Socionet.
- Kitov, Ivan & Kitov, Oleg & Dolinskaya, Svetlana, 2007. "Modelling real GDP per capita in the USA: cointegration test," MPRA Paper 2739, University Library of Munich, Germany.
- Ivan O. KITOV & Oleg I. KITOV & Svetlana A. DOLINSKAYA, 2009. "Modelling Real Gdp Per Capita In The Usa:Cointegration Tests," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(1(7)_ Spr).
- Ivan O. Kitov & Oleg I. Kitov & Svetlana A. Dolinskaya, 2008. "Modelling real GDP per capita in the USA: cointegration test," Papers 0811.0490, arXiv.org.
- Juselius, Katarina, 2014.
"Testing for near I(2) trends when the signal to noise ratio is small,"
Economics Discussion Papers
2014-8, Kiel Institute for the World Economy (IfW Kiel).
- Juselius, Katarina, 2014. "Testing for near I(2) trends when the signal-to-noise ratio is small," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-30.
- Katarina Juselius, 2013. "Testing for Near I (2) Trends When the Signal to Noise Ratio is Small," Discussion Papers 14-01, University of Copenhagen. Department of Economics.
- Giorgio Fagiolo & Andrea Roventini, 2012.
"Macroeconomic Policy in DSGE and Agent-Based Models,"
Working Papers
hal-04141079, HAL.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 67-116.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Post-Print hal-01385833, HAL.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers 07/2012, University of Verona, Department of Economics.
- Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris Nanterre, EconomiX.
- Jaakko Kuorikoski & Aki Lehtinen, 2018. "Model selection in macroeconomics: DSGE and ad hocness," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(3), pages 252-264, July.
- Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon, 2019.
"Time-varying cointegration and the UK great ratios,"
Bank of England working papers
789, Bank of England.
- Kapetanios, George & Millard, Stephen & Price, Simon & Petrova, Katerina, 2018. "Time varying cointegration and the UK Great Ratios," Essex Finance Centre Working Papers 23320, University of Essex, Essex Business School.
- George Kapetanios & Stephen Millard & Katerina Petrova & Simon Price, 2018. "Time varying cointegration and the UK great ratios," CAMA Working Papers 2018-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008.
"Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression,"
American Economic Review, American Economic Association, vol. 98(2), pages 251-255, May.
- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics.
- Juselius, Katarina, 2015.
"Haavelmo’S Probability Approach And The Cointegrated Var,"
Econometric Theory, Cambridge University Press, vol. 31(2), pages 213-232, April.
- Katarina Juselius, 2012. "Haavelmo's Probability Approach and the Cointegrated VAR," Discussion Papers 12-01, University of Copenhagen. Department of Economics.
- Juselius, Katarina & Dimelis, Sophia, 2019.
"The Greek crisis: A story of self-reinforcing feedback mechanisms,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-22.
- Juselius, Katarina & Dimelis, Sophia, 2018. "The Greek crisis: A story of self-reinforcing feedback mechanisms," Economics Discussion Papers 2018-65, Kiel Institute for the World Economy (IfW Kiel).
- Katarina Juselius & Sophia Dimelis, "undated". "The Greek crisis: A story of self-reinforcing feedback mechanisms," Discussion Papers 18-06, University of Copenhagen. Department of Economics.
- Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & D, 2013. "Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 15(1), pages 17-45.
- Gimet, Céline & Lagoarde-Segot, Thomas & Reyes-Ortiz, Luis, 2019. "Financialization and the macroeconomy. Theory and empirical evidence," Economic Modelling, Elsevier, vol. 81(C), pages 89-110.
- J. Barkley Rosser Jr & Richard P.F. Holt & David Colander, 2010. "European Economics at a Crossroads," Books, Edward Elgar Publishing, number 13585.
- Paul De Grauwe, 2012. "Lectures on Behavioral Macroeconomics," Economics Books, Princeton University Press, edition 1, volume 1, number 9891.
- Barbara Dluhosch, 2011. "European Economics at a Crossroads, by J. Barkley Rosser, Jr., Richard P. F. Holt, and David Colander," Journal of Regional Science, Wiley Blackwell, vol. 51(3), pages 629-631, August.
- Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon, 2020. "Time-varying cointegration with an application to the UK Great Ratios," Economics Letters, Elsevier, vol. 193(C).
- Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010. "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, vol. 158(1), pages 117-129, September.
- Dilip Nachane, 2017. "Dynamic Stochastic General Equilibrium (DSGE) Modelling :Theory And Practice," Working Papers id:11699, eSocialSciences.
- Massimo Franchi, 2006.
"A General Representation Theorem for Integrated Vector Autoregressive Processes,"
Discussion Papers
06-16, University of Copenhagen. Department of Economics.
Cited by:
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016.
"Automatic identification of general vector error correction models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics Discussion Papers 2016-33, Kiel Institute for the World Economy (IfW Kiel).
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016.
"Automatic identification of general vector error correction models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
- Massimo Franchi, "undated".
"The Integration Order of Vector Autoregressive Processes,"
Discussion Papers
06-05, University of Copenhagen. Department of Economics.
- Franchi, Massimo, 2007. "The Integration Order Of Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 23(3), pages 546-553, June.
Cited by:
- Beare, Brendan K. & Seo, Won-Ki, 2020.
"Representation Of I(1) And I(2) Autoregressive Hilbertian Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
- Brendan K. Beare & Won-Ki Seo, 2017. "Representation of I(1) and I(2) autoregressive Hilbertian processes," Papers 1701.08149, arXiv.org, revised Sep 2019.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016.
"Automatic identification of general vector error correction models,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
- Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics Discussion Papers 2016-33, Kiel Institute for the World Economy (IfW Kiel).
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
Articles
- Massimo Franchi & Paolo Paruolo, 2021.
"Cointegration, Root Functions and Minimal Bases,"
Econometrics, MDPI, vol. 9(3), pages 1-27, August.
See citations under working paper version above.
- Massimo Franchi & Paolo Paruolo, 2019. "Cointegration, root functions and minimal bases," DSS Empirical Economics and Econometrics Working Papers Series 2019/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Franchi, Massimo & Paruolo, Paolo, 2020.
"Cointegration In Functional Autoregressive Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 803-839, October.
See citations under working paper version above.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," DSS Empirical Economics and Econometrics Working Papers Series 2017/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2017. "Cointegration in functional autoregressive processes," Papers 1712.07522, arXiv.org, revised Oct 2018.
- Massimo Franchi & Paolo Paruolo, 2019.
"A general inversion theorem for cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
See citations under working paper version above.
- Massimo Franchi & Paolo Paruolo, 2017. "A general inversion theorem for cointegration," DSS Empirical Economics and Econometrics Working Papers Series 2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Søren Johansen, 2017.
"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
Econometrics, MDPI, vol. 5(2), pages 1-20, June.
See citations under working paper version above.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Paolo Paruolo, 2015.
"Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation,"
Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
Cited by:
- Giovanni Angelini & Luca Fanelli Fanelli, 2015.
"Misspecification and Expectations Correction in New Keynesian DSGE Models,"
Quaderni di Dipartimento
1, Department of Statistics, University of Bologna.
- Giovanni Angelini & Luca Fanelli, 2016. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 623-649, October.
- Soccorsi, Stefano, 2016.
"Measuring nonfundamentalness for structural VARs,"
Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
- Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
- Nikolay Iskrev, 2018.
"Are asset price data informative about news shocks? A DSGE perspective,"
Working Papers REM
2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers w201802, Banco de Portugal, Economics and Research Department.
- Iskrev, Nikolay, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Paper Series 2161, European Central Bank.
- Luca Sala & Luca Gambetti & Mario Forni, 2016.
"VAR Information and the Empirical Validation of DSGE Models,"
2016 Meeting Papers
260, Society for Economic Dynamics.
- Forni, Mario & Gambetti, Luca & Sala, Luca, 2016. "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers 11178, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Luca Sala, 2016. "VAR Information and the Empirical Validation of DSGE Models," Center for Economic Research (RECent) 119, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Giovanni Angelini & Marco M. Sorge, 2021.
"Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks,"
Working Papers
wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
- Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Angelini, Giovanni, 2020. "Bootstrap lag selection in DSGE models with expectations correction," Econometrics and Statistics, Elsevier, vol. 14(C), pages 38-48.
- Franchi, Massimo, 2018. "Testing for cointegration in I(1) state space systems via a finite order approximation," Economics Letters, Elsevier, vol. 165(C), pages 73-76.
- Enrique Martínez García, 2016. "Finite-Order VAR Representation of Linear Rational Expectations Models: With Some Lessons for Monetary Policy," Globalization Institute Working Papers 285, Federal Reserve Bank of Dallas.
- Alessandro SACCAL, 2021.
"A Note On Gensys’ Minimality,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 12(1), pages 57-60.
- Saccal, Alessandro, 2020. "A note on gensys’ minimality," MPRA Paper 103818, University Library of Munich, Germany.
- Enrique Martínez García, 2020. "A Matter of Perspective: Mapping Linear Rational Expectations Models into Finite-Order VAR Form," Globalization Institute Working Papers 389, Federal Reserve Bank of Dallas.
- Maddalena Cavicchioli, 2020. "Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 61-86, January.
- Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
- Saccal, Alessandro, 2020. "A note on minimality in Dynare," MPRA Paper 103656, University Library of Munich, Germany.
- Nikolay Iskrev, 2021. "Spectral decomposition of the information about latent variables in dynamic macroeconomic models," Working Papers w202105, Banco de Portugal, Economics and Research Department.
- Giovanni Angelini & Luca Fanelli Fanelli, 2015.
"Misspecification and Expectations Correction in New Keynesian DSGE Models,"
Quaderni di Dipartimento
1, Department of Statistics, University of Bologna.
- Franchi, Massimo & Vidotto, Anna, 2013.
"A check for finite order VAR representations of DSGE models,"
Economics Letters, Elsevier, vol. 120(1), pages 100-103.
Cited by:
- Giovanni Angelini & Luca Fanelli Fanelli, 2015.
"Misspecification and Expectations Correction in New Keynesian DSGE Models,"
Quaderni di Dipartimento
1, Department of Statistics, University of Bologna.
- Giovanni Angelini & Luca Fanelli, 2016. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 623-649, October.
- Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
- Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
- Soccorsi, Stefano, 2016.
"Measuring nonfundamentalness for structural VARs,"
Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
- Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
- Nikolay Iskrev, 2018.
"Are asset price data informative about news shocks? A DSGE perspective,"
Working Papers REM
2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers w201802, Banco de Portugal, Economics and Research Department.
- Iskrev, Nikolay, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Paper Series 2161, European Central Bank.
- Giovanni Angelini & Marco M. Sorge, 2021.
"Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks,"
Working Papers
wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
- Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Angelini, Giovanni, 2020. "Bootstrap lag selection in DSGE models with expectations correction," Econometrics and Statistics, Elsevier, vol. 14(C), pages 38-48.
- Adrian Pagan & Tim Robinson, 2016. "Investigating the Relationship Between DSGE and SVAR Models," NCER Working Paper Series 112, National Centre for Econometric Research.
- Franchi, Massimo, 2018. "Testing for cointegration in I(1) state space systems via a finite order approximation," Economics Letters, Elsevier, vol. 165(C), pages 73-76.
- Alessandro SACCAL, 2021.
"A Note On Gensys’ Minimality,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 12(1), pages 57-60.
- Saccal, Alessandro, 2020. "A note on gensys’ minimality," MPRA Paper 103818, University Library of Munich, Germany.
- Saccal, Alessandro, 2023. "A finite, empirically useless and almost sure VAR representation for all minimal transition equations," MPRA Paper 116435, University Library of Munich, Germany.
- Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Berg, Tim Oliver, 2015.
"Multivariate Forecasting with BVARs and DSGE Models,"
MPRA Paper
62405, University Library of Munich, Germany.
- Tim Oliver Berg, 2016. "Multivariate Forecasting with BVARs and DSGE Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(8), pages 718-740, December.
- Maddalena Cavicchioli, 2020. "Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 61-86, January.
- Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
- Saccal, Alessandro, 2020. "A note on minimality in Dynare," MPRA Paper 103656, University Library of Munich, Germany.
- Nikolay Iskrev, 2021. "Spectral decomposition of the information about latent variables in dynamic macroeconomic models," Working Papers w202105, Banco de Portugal, Economics and Research Department.
- Giovanni Angelini & Luca Fanelli Fanelli, 2015.
"Misspecification and Expectations Correction in New Keynesian DSGE Models,"
Quaderni di Dipartimento
1, Department of Statistics, University of Bologna.
- Franchi, Massimo & Paruolo, Paolo, 2011.
"A characterization of vector autoregressive processes with common cyclical features,"
Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
Cited by:
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
- Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
- Trenkler, Carsten & Weber, Enzo, 2012.
"Codependent VAR Models and the Pseudo-Structural Form,"
Working Papers
12-10, University of Mannheim, Department of Economics.
- Carsten Trenkler & Enzo Weber, 2013. "Codependent VAR models and the pseudo-structural form," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 287-295, July.
- Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," University of Regensburg Working Papers in Business, Economics and Management Information Systems 465, University of Regensburg, Department of Economics.
- S. Yaser Samadi & Wiranthe B. Herath, 2023. "Reduced-rank Envelope Vector Autoregressive Models," Papers 2309.12902, arXiv.org.
- Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
- Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
- Carsten Trenkler & Enzo Weber, 2013. "Testing for codependence of cointegrated variables," Applied Economics, Taylor & Francis Journals, vol. 45(15), pages 1953-1964, May.
- Franchi, Massimo & Ordóñez, Javier, 2011.
"Multiple equilibria in Spanish unemployment,"
Structural Change and Economic Dynamics, Elsevier, vol. 22(1), pages 71-80, February.
Cited by:
- Alain Maurin & Sébastien Mathouraparsad & Roland Craigwell, 2011.
"Unemployment hysteresis in the English-speaking Caribbean: evidence from non-linear models,"
Post-Print
hal-04014790, HAL.
- Craigwell, Roland & Mathouraparsad, Sebastien & Maurin, Alain, 2011. "Unemployment hysteresis in the English-speaking Caribbean: evidence from non-linear models," MPRA Paper 33440, University Library of Munich, Germany.
- Ana Karina Alfaro Moreno & José Javier Núñez Velázquez, 2019. "Utilization of Mixed Distributions in the Calculation of Polarization: The Case of Spain," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 142(3), pages 911-946, April.
- Zuzanna Brzozowska, 2013. "Was falling fertility in the communist Poland driven by changes in women’s education?," Working Papers 54, Institute of Statistics and Demography, Warsaw School of Economics.
- Anna Baranowska-Rataj & Iga Magda, 2013. "Decomposition of trends in youth unemployment – the role of job accessions and separations in countries with different employment protection regimes," Working Papers 53, Institute of Statistics and Demography, Warsaw School of Economics.
- Alain Maurin & Sébastien Mathouraparsad & Roland Craigwell, 2011.
"Unemployment hysteresis in the English-speaking Caribbean: evidence from non-linear models,"
Post-Print
hal-04014790, HAL.
- Franchi, Massimo, 2010.
"A Representation Theory For Polynomial Cofractionality In Vector Autoregressive Models,"
Econometric Theory, Cambridge University Press, vol. 26(4), pages 1201-1217, August.
Cited by:
- S{o}ren Johansen & Morten {O}rregaard Nielsen, 2022. "Weak convergence to derivatives of fractional Brownian motion," Papers 2208.02516, arXiv.org, revised Oct 2022.
- Federico Carlini & Paolo Santucci de Magistris, 2019.
"On the Identification of Fractionally Cointegrated VAR Models With the Condition,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 134-146, January.
- Paolo Santucci de Magistris & Federico Carlini, 2014. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2014-43, Department of Economics and Business Economics, Aarhus University.
- Federico Carlini & Paolo Santucci de Magistris, 2013. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2013-44, Department of Economics and Business Economics, Aarhus University.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Javier Haulde & Morten Ørregaard Nielsen, 2022.
"Fractional integration and cointegration,"
CREATES Research Papers
2022-02, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
- Massimo Franchi & Paolo Paruolo, 2017.
"A general inversion theorem for cointegration,"
DSS Empirical Economics and Econometrics Working Papers Series
2017/3, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
- Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Demetrescu, Matei & Kusin, Vladimir & Salish, Nazarii, 2022. "Testing for no cointegration in vector autoregressions with estimated degree of fractional integration," Economic Modelling, Elsevier, vol. 108(C).
- Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," Discussion Papers 19/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Franchi, Massimo & Ordóñez, Javier, 2008.
"Common smooth transition trend-stationarity in European unemployment,"
Economics Letters, Elsevier, vol. 101(2), pages 106-109, November.
Cited by:
- Petre CARAIANI, 2015. "Testing For Nonlinearity In Unemployment Rates Via Delay Vector Variance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 81-92, March.
- Matthew T. Holt & Timo Teräsvirta, 2012. "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers 2012-54, Department of Economics and Business Economics, Aarhus University.
- Aysegul Corakci & Tolga Omay & Mübariz Hasanov, 2022. "Hysteresis and stochastic convergence in Eurozone unemployment rates: evidence from panel unit roots with smooth breaks and asymmetric dynamics," Oeconomia Copernicana, Institute of Economic Research, vol. 13(1), pages 11-55, March.
- Juan Carlos Cuestas & Javier Ordóñez, 2009.
"Unemployment and common smooth transition trends in Central and Eastern European Countries,"
NBS Discussion Papers in Economics
2009/5, Economics, Nottingham Business School, Nottingham Trent University.
- Juan Carlos Cuestas & Javier Ordonez, 2011. "Unemployment and common smooth transition trends in Central and Eastern European Countries," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 39-52, September.
- Cevik, Emrah Ismail & Dibooglu, Sel, 2013. "Persistence and non-linearity in US unemployment: A regime-switching approach," Economic Systems, Elsevier, vol. 37(1), pages 61-68.
- Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2015.
"Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests,"
IZA Discussion Papers
9571, Institute of Labor Economics (IZA).
- Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2016. "Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests," Working Paper Series in Economics and Institutions of Innovation 435, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2020. "Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," Economics Discussion Paper Series 0915, Economics, The University of Manchester.
- Yaya, OlaOluwa S & Ogbonna, Ephraim A & Furuoka, Fumitaka & Gil-Alana, Luis A., 2019. "A new unit root analysis for testing hysteresis in unemployment," MPRA Paper 96621, University Library of Munich, Germany.
- Marianna Oliskevych & Iryna Lukianenko, 2020. "European unemployment nonlinear dynamics over the business cycles: Markov switching approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 22(4), pages 375-401.
- Franchi, Massimo & Jusélius, Katarina, 2007.
"Taking a DSGE Model to the Data Meaningfully,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-38.
See citations under working paper version above.
- Franchi, Massimo & Jusélius, Katarina, 2007. "Taking a DSGE Model to the Data Meaningfully," Economics Discussion Papers 2007-6, Kiel Institute for the World Economy (IfW Kiel).
- Franchi, Massimo, 2007.
"The Integration Order Of Vector Autoregressive Processes,"
Econometric Theory, Cambridge University Press, vol. 23(3), pages 546-553, June.
See citations under working paper version above.
- Massimo Franchi, "undated". "The Integration Order of Vector Autoregressive Processes," Discussion Papers 06-05, University of Copenhagen. Department of Economics.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (11) 2003-10-20 2004-08-31 2006-03-05 2006-09-16 2007-05-19 2012-07-23 2017-05-14 2017-06-18 2018-01-01 2019-12-16 2024-03-04. Author is listed
- NEP-ETS: Econometric Time Series (7) 2003-10-20 2006-03-05 2006-09-16 2017-06-18 2018-01-01 2018-01-08 2019-12-16. Author is listed
- NEP-DGE: Dynamic General Equilibrium (5) 2007-05-19 2012-07-23 2012-07-29 2012-11-03 2013-06-04. Author is listed
- NEP-MAC: Macroeconomics (2) 2007-05-19 2024-03-04
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2006-09-16
- NEP-ORE: Operations Research (1) 2019-12-16
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