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Does the Box-Cox transformation help in forecasting macroeconomic time series?

Proietti, Tommaso; Lütkepohl, Helmut - In: International journal of forecasting 29 (2013) 1, pp. 88-99

Persistent link: https://www.econbiz.de/10009706171

Leave-k-out diagnostics in state space models

Proietti, Tommaso - 2000

The paper derives an algorithm for computing leave-k-out diagnostics for the detection of patches of outliers for stationary and non-stationary state space models with regression effects. The algorithm is based on a reverse run of the Kalman filter on the smoothing errors and is both efficient...

Persistent link: https://www.econbiz.de/10009612049

EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro area and member countries

Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - In: International journal of forecasting 31 (2015) 3, pp. 712-738

Persistent link: https://www.econbiz.de/10011474534

Comparing seasonal components for structural time series models

Proietti, Tommaso - In: International journal of forecasting 16 (2000) 2, pp. 247-260

Persistent link: https://www.econbiz.de/10001476898

Forecasting volatility with time-varying leverage and volatility of volatility effects

Catania, Leopoldo; Proietti, Tommaso - In: International journal of forecasting 36 (2020) 4, pp. 1301-1317

Persistent link: https://www.econbiz.de/10012546666

Discussion of the paper "Testing time series data compatibility for benchmarking" by Benoît Quennevillle and Christian Gagné

Proietti, Tommaso - In: International journal of forecasting 29 (2013) 4, pp. 767-771

Persistent link: https://www.econbiz.de/10010221278

Outlier detection in structural time series models : the indicator saturation approach

Marczak, Martyna; Proietti, Tommaso - In: International journal of forecasting 32 (2016) 1, pp. 180-202

Persistent link: https://www.econbiz.de/10011596512