← All authors Matteo Barigozzi University of Bologna (from arXiv:2601.04087, 2026) · ORCID · OpenAlex
63 papers in scope · 51 published · 19 on the econ.EM arXiv · 1,915 citations · h-index 20 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Matteo Luciani Philipp Gersing Claudio Lissona Marc Hallin Fa Wang Esther Ruiz Daniele Massacci Giovanni Urga Ovidijus Stauskas Alessandro Morico Anlong Qin Rong Chen Miguel C. Herculano Yuefeng Han G. Ricco Jushan Bai Serena Ng Filippo Pellegrino Diego Fresoli Pilar Poncela Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (18 of 63)
THE ECONOMETRIC THEORY INTERVIEW: PROFESSOR MARCO LIPPI
published 2026 · Econometric Theory
Statistical inference for large-dimensional tensor factor model by iterative projections
published 2026 · Journal of Multivariate Analysis · 5 citations · first circulated 2022
working paper 2026 · arXiv
Tail-robust factor modelling of vector and tensor time series in high dimensions
published 2025 · Biometrika · 1 citations · first circulated 2024
with Haeran Cho, Hyeyoung Maeng
Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models
published 2025 · Journal of Time Series Analysis · 1 citations · first circulated 2024
published 2025 · Journal of Time Series Analysis · 5 citations · first circulated 2024
published 2025 · Journal of Business and Economic Statistics · 5 citations · first circulated 2022
working paper 2025 · arXiv
General spatio-temporal factor models for high-dimensional random fields on a lattice
published 2025 · The Annals of Statistics · 2 citations · first circulated 2023
The Euro Area has a growth problem
published 2025 · FEDS Notes
published 2024 · Journal of Econometrics · 8 citations · first circulated 2022
published 2024 · European Economic Review · 3 citations
working paper 2024 · arXiv
published 2024 · Finance and Economics Discussion Series · 12 citations · first circulated 2019
Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility
published 2024 · Oxford Bulletin of Economics and Statistics · 1 citations
with Angelo Cuzzola, Marco Grazzi, Daniele Moschella
working paper 2024 · arXiv · 2 citations · first circulated 2023
Factor models and high-dimensional time series A tribute to Marco Lippi on the occasion of his 80th birthday
published 2024 · Econometrics and Statistics
working paper 2024 · arXiv · 3 citations · first circulated 2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
published 2023 · The R Journal · 2 citations
with Dom Owens, Haeran Cho
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
published 2023 · Journal of Business and Economic Statistics · 26 citations · first circulated 2022
with Haeran Cho, Dom Owens
working paper 2023 · arXiv · 1 citations
working paper 2023 · arXiv
Inferential theory for generalized dynamic factor models
published 2023 · Journal of Econometrics · 12 citations
working paper 2023 · arXiv · 2 citations
working paper 2022 · arXiv · 3 citations
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
published 2022 · Journal of the American Statistical Association · 13 citations
An Algebraic Estimator for Large Spectral Density Matrices
published 2022 · Journal of the American Statistical Association · 8 citations · first circulated 2021
with Matteo Farnè
Measuring the Output Gap using Large Datasets
published 2021 · The Review of Economics and Statistics · 27 citations · first circulated 2018
working paper 2021 · arXiv
Testing for Common Trends in Nonstationary Large Datasets
published 2021 · Journal of Business and Economic Statistics · 20 citations
Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I ( 1 ) cointegrated factors
published 2020 · Journal of Econometrics · 38 citations
Time-varying general dynamic factor models and the measurement of financial connectedness
published 2020 · Journal of Econometrics · 71 citations · first circulated 2019
Sequential testing for structural stability in approximate factor models
published 2020 · Stochastic Processes and their Applications · 17 citations · first circulated 2017
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
published 2020 · Econometrics · 26 citations
published 2020 · Journal of Econometrics · 41 citations · first circulated 2018
working paper 2019 · arXiv · 3 citations
NETS: Network estimation for time series
published 2018 · Journal of Applied Econometrics · 165 citations · first circulated 2013
Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions
published 2018 · Journal of International Trade & Economic Development · 15 citations
with Mercedes Campi, Marco Dueñas, Giorgio Fagiolo
Simultaneous multiple change-point and factor analysis for high-dimensional time series
published 2018 · Journal of Econometrics · 103 citations · first circulated 2016
with Haeran Cho, Piotr Fryźlewicz
working paper 2018 · arXiv · 2 citations
On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy
published 2018 · Oxford Bulletin of Economics and Statistics · 11 citations · first circulated 2013
with Antonio Maria Conti
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models*
published 2018 · Journal of Financial Econometrics · 19 citations · first circulated 2017
Power-law partial correlation network models
published 2018 · Electronic Journal of Statistics · 8 citations · first circulated 2017
Do National Account Statistics Underestimate US Real Output Growth?
published 2018 · FEDS Notes · 3 citations
Common Factors, Trends, and Cycles in Large Datasets
published 2017 · Finance and Economics Discussion Series · 1 citations
Spatio-Temporal Patterns of the International Merger and Acquisition Network
published 2017 · Scientific Reports · 21 citations
with Marco Dueñas, Rossana Mastrandrea, Giorgio Fagiolo, Marco Dueeas
Generalized dynamic factor models and volatilities: estimation and forecasting
published 2017 · Journal of Econometrics · 57 citations · first circulated 2015
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
published 2016 · Finance and Economics Discussion Series · 20 citations · first circulated 2014
Non-Stationary Dynamic Factor Models for Large Datasets
published 2016 · Finance and Economics Discussion Series · 20 citations
Identifying the Independent Sources of Consumption Variation
published 2015 · Journal of Applied Econometrics · 25 citations
with Alessio Moneta
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
published 2015 · Econometrics Journal · 84 citations · first circulated 2014
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
published 2014 · Journal of Econometrics · 51 citations
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
published 2013 · Oxford Bulletin of Economics and Statistics · 207 citations · first circulated 2012
The common component of firm growth
published 2012 · Structural Change and Economic Dynamics · 12 citations
with Lucia Alessi, Marco Capasso
The distribution of household consumption-expenditure budget shares
published 2011 · Structural Change and Economic Dynamics · 23 citations · first circulated 2009
with Lucia Alessi, Marco Capasso, Giorgio Fagiolo
Non-Fundamentalness in Structural Econometric Models: A Review
published 2011 · International Statistical Review · 83 citations
with Lucia Alessi, Marco Capasso
Immigrants' legal status, permanence in the destination country and the distribution of consumption expenditure
published 2011 · Applied Economics Letters · 5 citations · first circulated 2009
with Biagio Speciale
Identifying the community structure of the food-trade international multi-network
published 2011 · Physica A Statistical Mechanics and its Applications · 214 citations · first circulated 2010
Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model
published 2011 · Economic papers · 4 citations
no link
Improved penalization for determining the number of factors in approximate factor models
published 2010 · Statistics & Probability Letters · 343 citations
with Lucia Alessi, Marco Capasso
ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS
published 2009 · Advances in Complex Systems · 15 citations · first circulated 2007
with Marco Capasso, Lucia Alessi, Giorgio Fagiolo
On the distributional properties of household consumption expenditures: the case of Italy
published 2009 · Empirical Economics · 20 citations · first circulated 2007
with Giorgio Fagiolo, Lucia Alessi, Marco Capasso
A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
published 2009 · LEM Papers Series · 26 citations · first circulated 2008
with Lucia Alessi, Marco Capasso
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