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Temporal aggregation of univariate and multivariate time series models: A survey

Silvestrini, Andrea; Veredas, David - Banca d'Italia - 2008

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

Persistent link: https://www.econbiz.de/10005609326

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - Banca d'Italia - 2013

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both the latent common factor and the idiosyncratic components. We take a Bayesian perspective and derive a Gibbs sampler to obtain the posterior density of the model parameters. This...

Persistent link: https://www.econbiz.de/10011099722

(Fractional) Beta Convergence

Michelacci, Claudio; Zaffaroni, Paolo - Banca d'Italia - 2000

Unit roots in output, an exponential 2 per cent rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate...

Persistent link: https://www.econbiz.de/10005770774

(Fractional) Beta Convergence.

Michelacci, C.; Zaffaroni, P. - Banca d'Italia - 2000

Persistent link: https://www.econbiz.de/10005780678

Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework

Sbrana, Giacomo; Silvestrini, Andrea - Banca d'Italia - 2013

and BU forecasts is led by the parametric structure of the underlying data generation process, regardless of possible …

Persistent link: https://www.econbiz.de/10011099652

The Seasonal Adjustment of the harmonised Index of Consumer Prices for the Euro Area: a Comparison of Direct and Indirect Methods.

Cristadoro, Riccardo; Sabbatini, Roberto - Banca d'Italia - 2000

Knowledge of the characteristics of the short-term evolution of consumer prices for each country and for their average is important for better monitoring and forecasting of inflation in the euro area. In this paper we seek to verify to what extent the short-term variability of the HICPs can be...

Persistent link: https://www.econbiz.de/10005113568

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - Banca d'Italia - 2002

In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross-sectional size diverges to infinity. A complete statistical characterization of the limit aggregate is provided under general assumptions on the form and degree of heterogeneity of the...

Persistent link: https://www.econbiz.de/10005113626

A non-parametric model-based approach to uncertainty and risk analysis of macroeconomic forecast

Miani, Claudia; Siviero, Stefano - Banca d'Italia - 2010

It has increasingly become standard practice to supplement point macroeconomic forecasts with an appraisal of the … literature to compute the probability distribution of macroeconomic forecasts; all of them rely on combining the predictive … density of model-based forecasts with subjective judgment about the direction and intensity of prevailing risks. We propose a …

Persistent link: https://www.econbiz.de/10008509919

Selecting predictors by using Bayesian model averaging in bridge models

Bencivelli, Lorenzo; Marcellino, Massimiliano; Moretti, … - Banca d'Italia - 2012

This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models. BMA is a computationally feasible method that allows us to explore the model space even in the presence of a large set of candidate predictors. We test the performance of BMA...

Persistent link: https://www.econbiz.de/10011099660

Tracking world trade and GDP in real time

Golinelli, Roberto; Parigi, Giuseppe - Banca d'Italia - 2013

-relationships; it is the first time that forecasts of world GDP and trade are computed for advanced and emerging countries on the basis … the usefulness of combining WBM real-time forecasts with preliminary releases to improve the prediction of world trade …

Persistent link: https://www.econbiz.de/10011099662