Tommaso Proietti
Personal Details
First Name: | Tommaso |
Middle Name: | |
Last Name: | Proietti |
Suffix: | |
RePEc Short-ID: | ppr15 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 1998 Faculty of Economics; University of Cambridge (from RePEc Genealogy) |
Affiliation
Dipartimento di Economia e Finanza
Facoltà di Economia
Università degli Studi di Roma "Tor Vergata"
Roma, Italyhttp://www.economia.uniroma2.it/def/
RePEc:edi:dsrotit (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters Books EditorshipWorking papers
- Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023.
"Band-Pass Filtering with High-Dimensional Time Series,"
Papers
2305.06618, arXiv.org.
- Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
- Alessandra Luati & Francesca Papagni & Tommaso Proietti, 2021. "Efficient Nonparametric Estimation of Generalized Autocovariances," CEIS Research Paper 515, Tor Vergata University, CEIS, revised 14 Oct 2021.
- Tommaso Proietti & Diego J. Pedregal, 2021.
"Seasonality in High Frequency Time Series,"
CEIS Research Paper
508, Tor Vergata University, CEIS, revised 11 Mar 2021.
- Proietti, Tommaso & Pedregal, Diego J., 2023. "Seasonality in High Frequency Time Series," Econometrics and Statistics, Elsevier, vol. 27(C), pages 62-82.
- Tommaso Proietti & Federico Maddanu, 2021.
"Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process,"
CEIS Research Paper
518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- Proietti, Tommaso & Maddanu, Federico, 2024. "Modelling cycles in climate series: The fractional sinusoidal waveform process," Journal of Econometrics, Elsevier, vol. 239(1).
- Tommaso Proietti, 2020.
"Peaks, Gaps, and Time Reversibility of Economic Time Series,"
CEIS Research Paper
492, Tor Vergata University, CEIS, revised 17 Jun 2020.
- Tommaso Proietti, 2023. "Peaks, gaps, and time‐reversibility of economic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
- Tommaso Proietti & Alessandro Giovannelli, 2020.
"Nowcasting Monthly GDP with Big Data: a Model Averaging Approach,"
CEIS Research Paper
482, Tor Vergata University, CEIS, revised 12 May 2020.
- Tommaso Proietti & Alessandro Giovannelli, 2021. "Nowcasting monthly GDP with big data: A model averaging approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 683-706, April.
- Alessandro Giovannelli & Tommaso Proietti & Ambra Citton & Ottavio Ricchi & Cristian Tegami & Cristina Tinti, 2020.
"Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach,"
CEIS Research Paper
489, Tor Vergata University, CEIS, revised 30 May 2020.
- Proietti, Tommaso & Giovannelli, Alessandro & Ricchi, Ottavio & Citton, Ambra & Tegami, Christían & Tinti, Cristina, 2021. "Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1376-1398.
- Leopoldo Catania & Tommaso Proietti, 2019.
"Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects,"
CEIS Research Paper
450, Tor Vergata University, CEIS, revised 06 Feb 2019.
- Catania, Leopoldo & Proietti, Tommaso, 2020. "Forecasting volatility with time-varying leverage and volatility of volatility effects," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
- Tommaso Proietti, 2019.
"Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models,"
CEIS Research Paper
455, Tor Vergata University, CEIS, revised 22 Mar 2019.
- Tommaso Proietti, 2021. "Predictability, real time estimation, and the formulation of unobserved components models," Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
- Tommaso Proietti & Alessandro Giovannelli, 2017.
"A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices,"
CREATES Research Papers
2017-20, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Alessandro Giovannelli, 2018. "A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices," Biometrika, Biometrika Trust, vol. 105(4), pages 783-795.
- Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CEIS Research Paper 410, Tor Vergata University, CEIS, revised 19 Jul 2017.
- Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017.
"Spikes and memory in (Nord Pool) electricity price spot prices,"
CREATES Research Papers
2017-39, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017. "Spikes and memory in (Nord Pool) electricity price spot prices," CEIS Research Paper 422, Tor Vergata University, CEIS, revised 18 Dec 2017.
- Martyna Marczak & Tommaso Proietti & Stefano Grassi, 2016.
"A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models,"
CEIS Research Paper
374, Tor Vergata University, CEIS, revised 31 Mar 2016.
- Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2018. "A data-cleaning augmented Kalman filter for robust estimation of state space models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 107-123.
- Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2015. "A data-cleaning augmented Kalman filter for robust estimation of state space models," Hohenheim Discussion Papers in Business, Economics and Social Sciences 13-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti, 2015.
"Exponential Smoothing, Long Memory and Volatility Prediction,"
CREATES Research Papers
2015-51, Department of Economics and Business Economics, Aarhus University.
- Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
- Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
- Tommaso Proietti & Eric Hillebrand, 2015.
"Seasonal Changes in Central England Temperatures,"
CREATES Research Papers
2015-28, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Eric Hillebrand, 2017. "Seasonal changes in central England temperatures," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(3), pages 769-791, June.
- Tommaso Proietti & Eric Hillebrand, 2015. "Seasonal Changes in Central England Temperatures," CEIS Research Paper 347, Tor Vergata University, CEIS, revised 15 Jun 2015.
- Tommaso Proietti & Alessandra Luati, 2015.
"Generalised partial autocorrelations and the mutual information between past and future,"
CREATES Research Papers
2015-24, Department of Economics and Business Economics, Aarhus University.
- Alessandra Luati & Tommaso Proietti, 2015. "Generalised partial autocorrelations and the mutual information between past and future," CEIS Research Paper 344, Tor Vergata University, CEIS, revised 05 Jun 2015.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015.
"EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area,"
CREATES Research Papers
2015-12, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2017. "Euromind‐ D : A Density Estimate of Monthly Gross Domestic Product for the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 683-703, April.
- Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi, 2015. "EuroMInd-D: A density estimate of monthly gross domestic product for the euro area," Hohenheim Discussion Papers in Business, Economics and Social Sciences 03-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CEIS Research Paper 340, Tor Vergata University, CEIS, revised 10 Apr 2015.
- Stefano Grassi & Tommaso Proietti & Cecilia Frale & Massimiliano Marcellino & Gianluigi Mazzi, 2014. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro," Studies in Economics 1406, School of Economics, University of Kent.
- Alessandro Giovannelli & Tommaso Proietti, 2014.
"On the Selection of Common Factors for Macroeconomic Forecasting,"
CREATES Research Papers
2014-46, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 593-628, Emerald Group Publishing Limited.
- Alessandro Giovannelli & Tommaso Proietti, 2015. "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper 332, Tor Vergata University, CEIS, revised 12 Mar 2015.
- Giovannelli, Alessandro & Proietti, Tommaso, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper 60673, University Library of Munich, Germany.
- Martyna Marczak & Tommaso Proietti, 2014.
"Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach,"
CREATES Research Papers
2014-20, Department of Economics and Business Economics, Aarhus University.
- Marczak, Martyna & Proietti, Tommaso, 2016. "Outlier detection in structural time series models: The indicator saturation approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
- Marczak, Martyna & Proietti, Tommaso, 2014. "Outlier detection in structural time series models: The indicator saturation approach," FZID Discussion Papers 90-2014, University of Hohenheim, Center for Research on Innovation and Services (FZID).
- Martyna Marczak & Tommaso Proietti, 2014. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," CEIS Research Paper 325, Tor Vergata University, CEIS, revised 08 Aug 2014.
- Marczak, Martyna & Proietti, Tommaso, 2015. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113137, Verein für Socialpolitik / German Economic Association.
- Tommaso Proietti & Alessandra Luati, 2013.
"The Exponential Model for the Spectrum of a Time Series: Extensions and Applications,"
CREATES Research Papers
2013-34, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Alessandra Luati, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CEIS Research Paper 272, Tor Vergata University, CEIS, revised 19 Apr 2013.
- Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013. "Generalised Linear Spectral Models," CEIS Research Paper 290, Tor Vergata University, CEIS, revised 03 Oct 2013.
- Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013.
"EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries,"
CEIS Research Paper
287, Tor Vergata University, CEIS, revised 01 Oct 2013.
- Grassi, Stefano & Proietti, Tommaso & Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gianluigi, 2015. "EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries," International Journal of Forecasting, Elsevier, vol. 31(3), pages 712-738.
- Tommaso, Proietti & Alessandra, Luati, 2012.
"The Generalised Autocovariance Function,"
MPRA Paper
43711, University Library of Munich, Germany.
- Proietti, Tommaso & Luati, Alessandra, 2015. "The generalised autocovariance function," Journal of Econometrics, Elsevier, vol. 186(1), pages 245-257.
- Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
- Tommaso, Proietti & Alessandra, Luati, 2012.
"Maximum likelihood estimation of time series models: the Kalman filter and beyond,"
MPRA Paper
39600, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362, Edward Elgar Publishing.
- Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 2012_02, University of Sydney Business School, Discipline of Business Analytics.
- Stefano Grassi & Tommaso Proietti, 2011.
"Bayesian stochastic model specification search for seasonal and calendar effects,"
CREATES Research Papers
2011-08, Department of Economics and Business Economics, Aarhus University.
- Tommaso, Proietti & Stefano, Grassi, 2010. "Bayesian stochastic model specification search for seasonal and calendar effects," MPRA Paper 27305, University Library of Munich, Germany.
- Carlo Ciccarelli & Tommaso Proietti, 2011.
"Patterns of industrial specialisation in post-unification Italy,"
Working Papers
11010, Economic History Society.
- Carlo Ciccarelli & Tommaso Proietti, 2013. "Patterns of industrial specialisation in post-Unification Italy," Scandinavian Economic History Review, Taylor & Francis Journals, vol. 61(3), pages 259-286, November.
- Ciccarelli, Carlo & Proietti, Tommaso, 2011. "Patterns of industrial specialisation in post-Unification Italy," MPRA Paper 30431, University Library of Munich, Germany.
- Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011.
"The Variance Profile,"
MPRA Paper
30378, University Library of Munich, Germany.
- Alessandra Luati & Tommaso Proietti & Marco Reale, 2012. "The Variance Profile," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 607-621, June.
- Stefano Grassi & Tommaso Proietti, 2011.
"Characterizing economic trends by Bayesian stochastic model specification search,"
CREATES Research Papers
2011-16, Department of Economics and Business Economics, Aarhus University.
- Grassi, S. & Proietti, T., 2014. "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
- Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
- Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
- Tommaso Proietti & Helmut Luetkepohl, 2011.
"Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?,"
Economics Working Papers
ECO2011/29, European University Institute.
- Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
- Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
- Lütkepohl, Helmut & Proietti, Tommaso, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers 08/2011, University of Sydney Business School, Discipline of Business Analytics.
- Stefano Grassi & Tommaso Proietti, 2011.
"Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search,"
CREATES Research Papers
2011-30, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Stefano Grassi, 2015. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Empirical Economics, Springer, vol. 48(3), pages 983-1011, May.
- Grassi, Stefano & Proietti, Tommaso, 2011. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Working Papers 07/2011, University of Sydney Business School, Discipline of Business Analytics.
- Proietti, Tommaso, 2010.
"Seasonality, Forecast Extensions and Business Cycle Uncertainty,"
MPRA Paper
20868, University Library of Munich, Germany.
- Tommaso Proietti, 2012. "Seasonality, Forecast Extensions And Business Cycle Uncertainty," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, September.
- Proietti, Tommaso, 2010. "Trend Estimation," MPRA Paper 21607, University Library of Munich, Germany.
- Tommaso Proietti, 2009.
"The Multistep Beveridge-Nelson Decomposition,"
EERI Research Paper Series
EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
- Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
- Proietti, Tommaso, 2011. "The Multistep Beveridge-Nelson Decomposition," Working Papers 09/2011, University of Sydney Business School, Discipline of Business Analytics.
- Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
- Proietti, Tommaso & Luati, Alessandra, 2009. "Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences," MPRA Paper 15510, University Library of Munich, Germany.
- Luati, Alessandra & Proietti, Tommaso, 2009.
"Hyper-spherical and Elliptical Stochastic Cycles,"
MPRA Paper
15169, University Library of Munich, Germany.
- Alessandra Luati & Tommaso Proietti, 2010. "Hyper‐spherical and elliptical stochastic cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 169-181, May.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009.
"Survey Data as Coicident or Leading Indicators,"
Economics Working Papers
ECO2009/19, European University Institute.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010. "Survey data as coincident or leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, "undated". "Survey Data as Coincident or Leading Indicators," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.
- Proietti, Tommaso, 2008.
"Structural Time Series Models for Business Cycle Analysis,"
MPRA Paper
6854, University Library of Munich, Germany.
- Tommaso Proietti, 2009. "Structural Time Series Models for Business Cycle Analysis," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 9, pages 385-433, Palgrave Macmillan.
- Tommaso Proietti, 2008. "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper 109, Tor Vergata University, CEIS, revised 10 Jul 2008.
- Luati, Alessandra & Proietti, Tommaso, 2008.
"On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing,"
MPRA Paper
8910, University Library of Munich, Germany.
- Alessandra Luati & Tommaso Proietti, 2011. "On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 851-871, August.
- Grassi, Stefano & Proietti, Tommaso, 2008.
"Has the Volatility of U.S. Inflation Changed and How?,"
MPRA Paper
11453, University Library of Munich, Germany.
- Grassi Stefano & Proietti Tommaso, 2010. "Has the Volatility of U.S. Inflation Changed and How?," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-22, September.
- Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany.
- Luati, Alessandra & Proietti, Tommaso, 2008.
"On the Spectral Properties of Matrices Associated with Trend Filters,"
MPRA Paper
11502, University Library of Munich, Germany.
- Luati, Alessandra & Proietti, Tommaso, 2010. "On The Spectral Properties Of Matrices Associated With Trend Filters," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1247-1261, August.
- Marcellino, Massimiliano & Proietti, Tommaso & Frale, Cecilia & Mazzi, Gian Luigi, 2008.
"A Monthly Indicator of the Euro Area GDP,"
CEPR Discussion Papers
7007, C.E.P.R. Discussion Papers.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
- Tommaso Proietti & Alessandra Luati, 2008. "Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis," CEIS Research Paper 112, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008.
"The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913,"
CEIS Research Paper
133, Tor Vergata University, CEIS, revised 18 Nov 2008.
- Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2010. "The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 4(3), pages 269-292, October.
- Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.
- Proietti, Tommaso, 2008.
"Direct and iterated multistep AR methods for difference stationary processes,"
MPRA Paper
10859, University Library of Munich, Germany.
- Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280, April.
- Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
- Ciccarelli, Carlo & Fenoaltea, Stefano & Proietti, Tommaso, 2008. "The comovements of construction in Italy's regions, 1861-1913," MPRA Paper 8870, University Library of Munich, Germany.
- Musso, Alberto & Proietti, Tommaso, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series 804, European Central Bank.
- Tommaso Proietti & Cecilia Frale, 2007.
"New proposals for the quantification of qualitative survey data,"
CEIS Research Paper
98, Tor Vergata University, CEIS.
- Tommaso Proietti & Cecilia Frale, 2011. "New proposals for the quantification of qualitative survey data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(4), pages 393-408, July.
- Tommaso Proietti, 2007.
"Band Spectral Estimation for Signal Extraction,"
CEIS Research Paper
104, Tor Vergata University, CEIS.
- Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
- Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
- Tommaso Proietti, 2006.
"On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates,"
CEIS Research Paper
84, Tor Vergata University, CEIS.
- Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
- Tommaso Proietti, 2004. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics 0403007, University Library of Munich, Germany.
- Tommaso Proietti, 2006. "Measuring Core Inflation by Multivariate Structural Time Series Models," CEIS Research Paper 83, Tor Vergata University, CEIS.
- Tommaso Proietti & Filippo Moauro, 2004.
"Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints,"
Econometrics
0401003, University Library of Munich, Germany.
- Tommaso Proietti & Filippo Moauro, 2006. "Dynamic factor analysis with non‐linear temporal aggregation constraints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 281-300, April.
- Tommaso Proietti, 2004.
"Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited,"
Econometrics
0411011, University Library of Munich, Germany.
- Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
- Artis, Michael & Marcellino, Massimiliano & Proietti, Tommaso, 2004.
"Characterizing the Business Cycle for Accession Countries,"
CEPR Discussion Papers
4457, C.E.P.R. Discussion Papers.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Working Papers 261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, University Library of Munich, Germany.
- Tommaso Proietti, 2004. "On the Estimation of Nonlinearly Aggregated Mixed Models," Econometrics 0411012, University Library of Munich, Germany.
- Tommaso Proietti, 2004.
"Forecasting and Signal Extraction with Misspecified Models,"
Econometrics
0401002, University Library of Munich, Germany.
- Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
- Artis, Michael & Marcellino, Massimiliano & Proietti, Tommaso, 2003.
"Dating the Euro Area Business Cycle,"
CEPR Discussion Papers
3696, C.E.P.R. Discussion Papers.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Michael ARTIS & Massimiliano MARCELLINO & Tommaso PROIETTI, 2002. "Dating the Euro Area Business Cycle," Economics Working Papers ECO2002/24, European University Institute.
- Tommaso PROIETTI, 2002.
"Some Reflections on Trend-Cycle Decompositions with Correlated Components,"
Economics Working Papers
ECO2002/23, European University Institute.
- Tommaso Proietti, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics 0209002, University Library of Munich, Germany.
- Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002.
"Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach,"
Economics Working Papers
ECO2002/09, European University Institute.
- Tommaso Proietti & Alberto Musso & Thomas Westermann, 2007. "Estimating potential output and the output gap for the euro area: a model-based production function approach," Empirical Economics, Springer, vol. 33(1), pages 85-113, July.
- Tommaso PROIETTI, 2002. "Seasonal Specific Structural Time Series Models," Economics Working Papers ECO2002/10, European University Institute.
- Proietti, Tommaso, 2000.
"Leave-k-out diagnostics in state space models,"
SFB 373 Discussion Papers
2000,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Tommaso Proietti, 2003. "Leave‐K‐Out Diagnostics In State‐Space Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 221-236, March.
- Proietti, Tommaso, 1999. "Structural Time Series Modelling of Capacity Utilisation," MPRA Paper 62621, University Library of Munich, Germany.
- Pierluigi Daddi & Tommaso Proietti, 1993. "A seasonal integration analysis of the italian consumption quarterly time series," Quaderni di Dipartimento 19, Department of Statistics, University of Bologna.
- Tommaso Proietti, 1993. "Structural properties of the new quarterly series on consumption," Quaderni di Dipartimento 24, Department of Statistics, University of Bologna.
- Pierluigi Daddi & Tommaso Proietti, 1993. "A seasonal integration analysis of the italian consumption quarterly time series," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
- Tommaso Proietti, 1993. "Structural properties of the new quarterly series on consumption," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
Articles
- Proietti, Tommaso & Maddanu, Federico, 2024.
"Modelling cycles in climate series: The fractional sinusoidal waveform process,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- Tommaso Proietti, 2023.
"Peaks, gaps, and time‐reversibility of economic time series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
- Tommaso Proietti, 2020. "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper 492, Tor Vergata University, CEIS, revised 17 Jun 2020.
- Proietti, Tommaso & Pedregal, Diego J., 2023.
"Seasonality in High Frequency Time Series,"
Econometrics and Statistics, Elsevier, vol. 27(C), pages 62-82.
- Tommaso Proietti & Diego J. Pedregal, 2021. "Seasonality in High Frequency Time Series," CEIS Research Paper 508, Tor Vergata University, CEIS, revised 11 Mar 2021.
- Federico Maddanu & Tommaso Proietti, 2023. "Trends in atmospheric ethane," Climatic Change, Springer, vol. 176(5), pages 1-23, May.
- Tommaso Proietti & Alessandro Giovannelli, 2021.
"Nowcasting monthly GDP with big data: A model averaging approach,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 683-706, April.
- Tommaso Proietti & Alessandro Giovannelli, 2020. "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper 482, Tor Vergata University, CEIS, revised 12 May 2020.
- Proietti, Tommaso & Giovannelli, Alessandro & Ricchi, Ottavio & Citton, Ambra & Tegami, Christían & Tinti, Cristina, 2021.
"Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1376-1398.
- Alessandro Giovannelli & Tommaso Proietti & Ambra Citton & Ottavio Ricchi & Cristian Tegami & Cristina Tinti, 2020. "Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach," CEIS Research Paper 489, Tor Vergata University, CEIS, revised 30 May 2020.
- Tommaso Proietti, 2021.
"Predictability, real time estimation, and the formulation of unobserved components models,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
- Tommaso Proietti, 2019. "Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models," CEIS Research Paper 455, Tor Vergata University, CEIS, revised 22 Mar 2019.
- Catania, Leopoldo & Proietti, Tommaso, 2020.
"Forecasting volatility with time-varying leverage and volatility of volatility effects,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
- Leopoldo Catania & Tommaso Proietti, 2019. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper 450, Tor Vergata University, CEIS, revised 06 Feb 2019.
- Tommaso Proietti & Marco Fioramanti & Cecilia Frale & Libero Monteforte, 2020. "A Systemic Approach to Estimating the Output Gap for the Italian Economy," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 62(3), pages 465-493, September.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2019. "A class of periodic trend models for seasonal time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(2), pages 106-121, March.
- Tommaso Proietti, 2019. "Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 451-456, September.
- Tommaso Proietti, 2019. "Editorial," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 385-387, September.
- Tommaso Proietti & Alessandro Giovannelli, 2018.
"A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices,"
Biometrika, Biometrika Trust, vol. 105(4), pages 783-795.
- Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CEIS Research Paper 410, Tor Vergata University, CEIS, revised 19 Jul 2017.
- Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CREATES Research Papers 2017-20, Department of Economics and Business Economics, Aarhus University.
- Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2018.
"A data-cleaning augmented Kalman filter for robust estimation of state space models,"
Econometrics and Statistics, Elsevier, vol. 5(C), pages 107-123.
- Martyna Marczak & Tommaso Proietti & Stefano Grassi, 2016. "A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models," CEIS Research Paper 374, Tor Vergata University, CEIS, revised 31 Mar 2016.
- Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2015. "A data-cleaning augmented Kalman filter for robust estimation of state space models," Hohenheim Discussion Papers in Business, Economics and Social Sciences 13-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2017.
"Euromind‐ D : A Density Estimate of Monthly Gross Domestic Product for the Euro Area,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 683-703, April.
- Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi, 2015. "EuroMInd-D: A density estimate of monthly gross domestic product for the euro area," Hohenheim Discussion Papers in Business, Economics and Social Sciences 03-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CEIS Research Paper 340, Tor Vergata University, CEIS, revised 10 Apr 2015.
- Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Eric Hillebrand, 2017.
"Seasonal changes in central England temperatures,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(3), pages 769-791, June.
- Tommaso Proietti & Eric Hillebrand, 2015. "Seasonal Changes in Central England Temperatures," CEIS Research Paper 347, Tor Vergata University, CEIS, revised 15 Jun 2015.
- Tommaso Proietti & Eric Hillebrand, 2015. "Seasonal Changes in Central England Temperatures," CREATES Research Papers 2015-28, Department of Economics and Business Economics, Aarhus University.
- Marczak, Martyna & Proietti, Tommaso, 2016.
"Outlier detection in structural time series models: The indicator saturation approach,"
International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
- Martyna Marczak & Tommaso Proietti, 2014. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," CREATES Research Papers 2014-20, Department of Economics and Business Economics, Aarhus University.
- Marczak, Martyna & Proietti, Tommaso, 2014. "Outlier detection in structural time series models: The indicator saturation approach," FZID Discussion Papers 90-2014, University of Hohenheim, Center for Research on Innovation and Services (FZID).
- Martyna Marczak & Tommaso Proietti, 2014. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," CEIS Research Paper 325, Tor Vergata University, CEIS, revised 08 Aug 2014.
- Marczak, Martyna & Proietti, Tommaso, 2015. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113137, Verein für Socialpolitik / German Economic Association.
- Tommaso Proietti, 2016.
"The Multistep Beveridge--Nelson Decomposition,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
- Proietti, Tommaso, 2011. "The Multistep Beveridge-Nelson Decomposition," Working Papers 09/2011, University of Sydney Business School, Discipline of Business Analytics.
- Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
- Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
- Tommaso Proietti, 2016. "Component-wise Representations of Long-memory Models and Volatility Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 668-692.
- Dissanayake, G.S. & Peiris, M.S. & Proietti, T., 2016. "State space modeling of Gegenbauer processes with long memory," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 115-130.
- Grassi, Stefano & Proietti, Tommaso & Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gianluigi, 2015.
"EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 712-738.
- Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
- Tommaso Proietti & Stefano Grassi, 2015.
"Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search,"
Empirical Economics, Springer, vol. 48(3), pages 983-1011, May.
- Grassi, Stefano & Proietti, Tommaso, 2011. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," Working Papers 07/2011, University of Sydney Business School, Discipline of Business Analytics.
- Stefano Grassi & Tommaso Proietti, 2011. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," CREATES Research Papers 2011-30, Department of Economics and Business Economics, Aarhus University.
- Proietti, Tommaso & Luati, Alessandra, 2015.
"The generalised autocovariance function,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 245-257.
- Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
- Tommaso, Proietti & Alessandra, Luati, 2012. "The Generalised Autocovariance Function," MPRA Paper 43711, University Library of Munich, Germany.
- Grassi, S. & Proietti, T., 2014.
"Characterising economic trends by Bayesian stochastic model specification search,"
Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
- Stefano Grassi & Tommaso Proietti, 2011. "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers 2011-16, Department of Economics and Business Economics, Aarhus University.
- Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
- Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
- Proietti, Tommaso & Lütkepohl, Helmut, 2013.
"Does the Box–Cox transformation help in forecasting macroeconomic time series?,"
International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
- Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
- Tommaso Proietti & Helmut Luetkepohl, 2011. "Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?," Economics Working Papers ECO2011/29, European University Institute.
- Lütkepohl, Helmut & Proietti, Tommaso, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers 08/2011, University of Sydney Business School, Discipline of Business Analytics.
- Carlo Ciccarelli & Tommaso Proietti, 2013.
"Patterns of industrial specialisation in post-Unification Italy,"
Scandinavian Economic History Review, Taylor & Francis Journals, vol. 61(3), pages 259-286, November.
- Ciccarelli, Carlo & Proietti, Tommaso, 2011. "Patterns of industrial specialisation in post-Unification Italy," MPRA Paper 30431, University Library of Munich, Germany.
- Carlo Ciccarelli & Tommaso Proietti, 2011. "Patterns of industrial specialisation in post-unification Italy," Working Papers 11010, Economic History Society.
- Alessandra Luati & Tommaso Proietti & Marco Reale, 2012.
"The Variance Profile,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 607-621, June.
- Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
- Tommaso Proietti, 2012.
"Seasonality, Forecast Extensions And Business Cycle Uncertainty,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, September.
- Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
- Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, vol. 43(1), pages 219-244, August.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2011. "EUROMIND: a monthly indicator of the euro area economic conditions," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(2), pages 439-470, April.
- Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011. "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-28, May.
- Tommaso Proietti, 2011. "Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints," International Statistical Review, International Statistical Institute, vol. 79(3), pages 455-476, December.
- Proietti, Tommaso, 2011.
"Direct and iterated multistep AR methods for difference stationary processes,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280, April.
- Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
- Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany.
- Alessandra Luati & Tommaso Proietti, 2011.
"On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 851-871, August.
- Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany.
- Tommaso Proietti, 2011. "Multivariate temporal disaggregation with cross-sectional constraints," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1455-1466, June.
- Tommaso Proietti & Cecilia Frale, 2011.
"New proposals for the quantification of qualitative survey data,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(4), pages 393-408, July.
- Tommaso Proietti & Cecilia Frale, 2007. "New proposals for the quantification of qualitative survey data," CEIS Research Paper 98, Tor Vergata University, CEIS.
- Grassi Stefano & Proietti Tommaso, 2010.
"Has the Volatility of U.S. Inflation Changed and How?,"
Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-22, September.
- Grassi, Stefano & Proietti, Tommaso, 2008. "Has the Volatility of U.S. Inflation Changed and How?," MPRA Paper 11453, University Library of Munich, Germany.
- Luati, Alessandra & Proietti, Tommaso, 2010.
"On The Spectral Properties Of Matrices Associated With Trend Filters,"
Econometric Theory, Cambridge University Press, vol. 26(4), pages 1247-1261, August.
- Luati, Alessandra & Proietti, Tommaso, 2008. "On the Spectral Properties of Matrices Associated with Trend Filters," MPRA Paper 11502, University Library of Munich, Germany.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010.
"Survey data as coincident or leading indicators,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, "undated". "Survey Data as Coincident or Leading Indicators," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009. "Survey Data as Coicident or Leading Indicators," Economics Working Papers ECO2009/19, European University Institute.
- Alessandra Luati & Tommaso Proietti, 2010.
"Hyper‐spherical and elliptical stochastic cycles,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 169-181, May.
- Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
- Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2010.
"The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913,"
Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 4(3), pages 269-292, October.
- Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008. "The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913," CEIS Research Paper 133, Tor Vergata University, CEIS, revised 18 Nov 2008.
- Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, January.
- Tommaso Proietti, 2009.
"On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
- Tommaso Proietti, 2004. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics 0403007, University Library of Munich, Germany.
- Tommaso Proietti, 2006. "On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," CEIS Research Paper 84, Tor Vergata University, CEIS.
- Proietti, Tommaso, 2008. "Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 257-264, February.
- Proietti, Tommaso, 2008.
"Band spectral estimation for signal extraction,"
Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
- Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
- Tommaso Proietti & Alberto Musso & Thomas Westermann, 2007.
"Estimating potential output and the output gap for the euro area: a model-based production function approach,"
Empirical Economics, Springer, vol. 33(1), pages 85-113, July.
- Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute.
- Pollock, D.S.G. & Proietti, Tommaso, 2007. "2nd Special Issue on Statistical Signal Extraction and Filtering," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 817-820, October.
- Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
- Tommaso Proietti & Filippo Moauro, 2006.
"Dynamic factor analysis with non‐linear temporal aggregation constraints,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 281-300, April.
- Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics 0401003, University Library of Munich, Germany.
- Tommaso Proietti, 2006.
"Temporal disaggregation by state space methods: Dynamic regression methods revisited,"
Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
- Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, University Library of Munich, Germany.
- Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 61-84.
- Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
- Tommaso Proietti, 2005. "Convergence in Italian regional per-capita GDP," Applied Economics, Taylor & Francis Journals, vol. 37(5), pages 497-506.
- Tommaso Proietti, 2005.
"Forecasting and signal extraction with misspecified models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
- Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, University Library of Munich, Germany.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2005. "Business Cycles in the New EU Member Countries and their Conformity with the Euro Area," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(1), pages 7-41.
- Dagum Estela Bee & Proietti Tommaso, 2004. "Introduction," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-5, May.
- Tommaso Proietti, 2004. "Unobserved components models with correlated disturbances," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(3), pages 277-292, February.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(4), pages 537-565, September.
- Proietti Tommaso, 2004. "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-22, May.
- Tommaso Proietti, 2003.
"Leave‐K‐Out Diagnostics In State‐Space Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 221-236, March.
- Proietti, Tommaso, 2000. "Leave-k-out diagnostics in state space models," SFB 373 Discussion Papers 2000,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 451-476, March.
- [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
- Proietti, Tommaso & Harvey, Andrew, 2000. "A Beveridge-Nelson smoother," Economics Letters, Elsevier, vol. 67(2), pages 139-146, May.
- Proietti Tommaso, 1998. "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-18, October.
- Tommaso Proietti, 1998. "Spurious periodic autoregressions," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 1-22.
- Proietti, Tommaso, 1997. "Short-Run Dynamics in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(3), pages 405-422, August.
- Proietti, Tommaso, 1996. "Persistence of Shocks on Seasonal Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 383-398, July-Aug..
Chapters
- Tommaso Proietti, 2016.
"On the Selection of Common Factors for Macroeconomic Forecasting,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 593-628,
Emerald Group Publishing Limited.
- Alessandro Giovannelli & Tommaso Proietti, 2015. "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper 332, Tor Vergata University, CEIS, revised 12 Mar 2015.
- Giovannelli, Alessandro & Proietti, Tommaso, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper 60673, University Library of Munich, Germany.
- Alessandro Giovannelli & Tommaso Proietti, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers 2014-46, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti & Alessandra Luati, 2013.
"Maximum likelihood estimation of time series models: the Kalman filter and beyond,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362,
Edward Elgar Publishing.
- Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 2012_02, University of Sydney Business School, Discipline of Business Analytics.
- Tommaso, Proietti & Alessandra, Luati, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," MPRA Paper 39600, University Library of Munich, Germany.
- Tommaso Proietti, 2009.
"Structural Time Series Models for Business Cycle Analysis,"
Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 9, pages 385-433,
Palgrave Macmillan.
- Proietti, Tommaso, 2008. "Structural Time Series Models for Business Cycle Analysis," MPRA Paper 6854, University Library of Munich, Germany.
- Tommaso Proietti, 2008. "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper 109, Tor Vergata University, CEIS, revised 10 Jul 2008.
Books
- Harvey, Andrew & Proietti, Tommaso (ed.), 2005. "Readings in Unobserved Components Models," OUP Catalogue, Oxford University Press, number 9780199278695.
Editorship
- CEIS Research Paper, Tor Vergata University, CEIS.
- Statistical Methods & Applications, Springer;Società Italiana di Statistica.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Journal Pages
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
Co-authorship network on CollEc
Featured entries
This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 87 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 (53) 2002-09-28 2003-03-11 2003-03-11 2004-01-25 2004-01-25 2004-03-22 2004-11-22 2004-11-22 2006-08-05 2007-07-13 2007-07-13 2008-02-02 2008-02-02 2008-03-25 2008-06-07 2008-07-20 2008-10-07 2008-11-11 2008-12-14 2009-02-28 2009-05-16 2009-05-30 2009-06-17 2009-07-03 2009-09-26 2010-03-06 2010-04-04 2010-05-15 2010-09-03 2010-12-18 2011-04-30 2011-07-27 2011-09-16 2012-07-01 2013-01-19 2013-05-11 2013-10-05 2014-07-13 2014-08-25 2014-12-24 2015-03-13 2015-06-05 2015-11-21 2016-04-04 2017-07-23 2019-02-11 2019-04-08 2021-02-15 2021-02-15 2021-03-22 2021-11-01 2021-11-01 2023-06-26. Author is listed
- NEP-ETS: Econometric Time Series (50) 2002-09-28 2003-03-03 2003-03-03 2004-01-12 2004-01-12 2004-03-22 2004-11-22 2006-08-05 2006-08-05 2007-07-13 2008-02-02 2008-02-02 2008-06-07 2008-07-20 2008-10-07 2009-05-30 2009-06-17 2009-09-26 2010-05-15 2011-03-05 2011-05-24 2011-07-27 2011-09-16 2012-03-21 2012-07-01 2013-01-19 2013-03-23 2013-05-11 2013-05-11 2013-11-16 2014-07-13 2014-08-25 2014-08-25 2014-12-19 2015-06-05 2015-06-20 2015-11-21 2015-11-21 2016-02-17 2016-04-04 2016-04-09 2019-02-11 2019-04-08 2021-02-15 2021-02-15 2021-02-15 2021-03-22 2021-11-01 2021-11-01 2023-06-26. Author is listed
- NEP-MAC: Macroeconomics (35) 2003-03-03 2003-03-03 2003-03-03 2003-03-17 2003-05-29 2004-03-22 2004-03-22 2007-07-13 2007-07-13 2008-02-02 2008-02-02 2008-05-31 2008-06-13 2008-10-07 2008-11-11 2008-12-01 2008-12-14 2009-02-28 2009-05-30 2009-06-17 2009-07-03 2010-03-06 2010-05-15 2010-09-03 2011-09-16 2012-07-01 2013-10-05 2014-06-28 2014-12-24 2015-03-13 2015-04-19 2015-04-19 2021-02-15 2021-02-15 2021-02-15. Author is listed
- NEP-ORE: Operations Research (25) 2008-03-25 2008-06-07 2008-06-13 2008-10-07 2010-03-06 2010-05-15 2010-09-03 2010-12-18 2011-03-05 2011-04-30 2011-05-24 2011-09-16 2012-07-01 2013-03-23 2014-08-25 2014-08-25 2014-12-19 2015-06-05 2015-06-20 2015-11-21 2015-11-21 2016-04-09 2017-07-23 2021-02-15 2021-03-22. Author is listed
- NEP-FOR: Forecasting (22) 2008-10-07 2009-05-30 2009-07-03 2009-09-26 2010-03-06 2011-07-27 2012-03-21 2014-07-13 2014-08-25 2014-12-24 2014-12-29 2015-03-13 2015-03-22 2015-04-19 2015-11-21 2015-11-21 2016-04-04 2016-04-09 2018-01-08 2019-02-11 2021-02-15 2021-02-15. Author is listed
- NEP-EEC: European Economics (12) 2003-03-03 2003-03-14 2003-05-29 2004-05-26 2008-12-14 2009-02-28 2009-07-03 2013-10-05 2014-06-28 2015-03-13 2015-04-19 2021-02-15. Author is listed
- NEP-CBA: Central Banking (6) 2006-08-05 2008-11-11 2008-12-14 2009-02-28 2009-07-03 2011-07-27. Author is listed
- NEP-HIS: Business, Economic and Financial History (4) 2003-03-03 2008-05-31 2008-12-01 2011-05-07
- NEP-RMG: Risk Management (4) 2003-03-03 2011-04-30 2014-08-25 2019-02-11
- NEP-ENV: Environmental Economics (3) 2015-06-13 2015-06-20 2021-11-01
- NEP-DEV: Development (2) 2004-03-22 2004-03-22
- NEP-ENE: Energy Economics (2) 2016-04-04 2018-01-08
- NEP-GEO: Economic Geography (2) 2008-05-31 2011-05-07
- NEP-IFN: International Finance (2) 2004-03-22 2004-05-26
- NEP-MON: Monetary Economics (2) 2006-08-05 2008-11-11
- NEP-BEC: Business Economics (1) 2007-07-13
- NEP-BIG: Big Data (1) 2021-02-15
- NEP-DCM: Discrete Choice Models (1) 2007-07-13
- NEP-FIN: Finance (1) 2003-03-03
- NEP-FMK: Financial Markets (1) 2019-02-11
- NEP-GRO: Economic Growth (1) 2023-07-10
- NEP-MFD: Microfinance (1) 2023-07-10
- NEP-REG: Regulation (1) 2018-01-08
- NEP-TRA: Transition Economics (1) 2004-05-16
- NEP-URE: Urban and Real Estate Economics (1) 2011-05-07
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