← All authors Tommaso Proietti University of Rome Tor Vergata (per OpenAlex) · ORCID · OpenAlex
89 papers in scope · 89 published · 1 on the econ.EM arXiv · 1,759 citations · h-index 24 (over the papers listed here)
Papers (1 of 89)
A note on forecast reconciliation
published 2026 · International Journal of Forecasting
published 2026 · Journal of Time Series Analysis · 3 citations · first circulated 2023
Ups and (draw) downs
published 2025 · International Journal of Forecasting · first circulated 2024
Another Look at Dependence: The Most Predictable Aspects of Time Series
published 2024 · Journal of Business and Economic Statistics
Estimating the Output Gap with High‐Dimensional Time Series
published 2024 · Econometrics and Statistics · 2 citations
Efficient nonparametric estimation of generalised autocovariances
published 2023 · Journal of nonparametric statistics · first circulated 2021
Trends in atmospheric ethane
published 2023 · Climatic Change · 4 citations
with Federico Maddanu
Modelling cycles in climate series: The fractional sinusoidal waveform process
published 2022 · Journal of Econometrics · 14 citations · first circulated 2021
with Federico Maddanu
Peaks, gaps, and time‐reversibility of economic time series
published 2022 · Journal of Time Series Analysis · 5 citations · first circulated 2020
Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach
published 2021 · International Journal of Forecasting · 17 citations · first circulated 2020
Nowcasting Monthly GDP with Big Data: A Model Averaging Approach
published 2021 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 11 citations · first circulated 2020
Seasonality in High Frequency Time Series
published 2021 · Econometrics and Statistics · 1 citations
with Diego J. Pedregal
Predictability, real time estimation, and the formulation of unobserved components models
published 2020 · Econometric Reviews · 3 citations · first circulated 2019
A Systemic Approach to Estimating the Output Gap for the Italian Economy
published 2020 · Comparative Economic Studies · 1 citations
with Marco Fioramanti, Cecilia Frale, Libero Monteforte
Forecasting volatility with time-varying leverage and volatility of volatility effects
published 2020 · International Journal of Forecasting · 25 citations · first circulated 2018
Editorial
published 2019 · Statistical Methods & Applications
Econometric models of climate change: Introduction by the guest editors
published 2019 · Journal of Econometrics · 8 citations
Discussion of The class of CUB models: statistical foundations, inferential issues and empirical evidence
published 2019 · Statistical Methods & Applications · 3 citations
A class of periodic trend models for seasonal time series
published 2018 · Journal of Forecasting · 6 citations
with Martyna Marczak, Gianluigi Mazzi
Fractionally Differenced Gegenbauer Processes with Long Memory: A Review
published 2018 · Statistical Science · 37 citations
with G. S. Dissanayake, Shelton Peiris
A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices
published 2018 · Biometrika · 2 citations · first circulated 2017
Generalised Linear Cepstral Models for the Spectrum of a Time Series
published 2018 · Statistica Sinica · 3 citations
Discussion of the paper “Deciding between alternative approaches in macroeconomics”
published 2017 · International Journal of Forecasting · 1 citations
Phase Changes and Seasonal Warming in Early Instrumental Temperature Records
published 2017 · Journal of Climate · 14 citations
with Eric Hillebrand
The new Euromind: an advanced monthly indicator of economic activity for the Euro Area
published 2017 · STATISTICS AND DATA SCIENCE: NEW CHALLENGES, NEW GENERATIONS
with Gian Luigi Mazzi
no link
A data-cleaning augmented Kalman filter for robust estimation of state space models
published 2017 · Econometrics and Statistics · 13 citations · first circulated 2016
Euromind‐: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
published 2016 · Journal of Applied Econometrics · 11 citations · first circulated 2015
with Martyna Marczak, Gianluigi Mazzi, Gian Luigi Mazzi
Seasonal Changes in Central England Temperatures
published 2016 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 13 citations · first circulated 2015
Component-wise Representations of Long-memory Models and Volatility Prediction
published 2016 · Journal of Financial Econometrics · 14 citations
Outlier detection in structural time series models: The indicator saturation approach
published 2015 · International Journal of Forecasting · 38 citations · first circulated 2014
with Martyna Marczak
EuroMInd-C: A disaggregate monthly indicator of economic activity for the Euro area and member countries
published 2015 · International Journal of Forecasting · 13 citations · first circulated 2013
Generalised partial autocorrelations and the mutual information between past and future
published 2015 · CREATES Research Papers · 12 citations
The Multistep Beveridge–Nelson Decomposition
published 2014 · Econometric Reviews
State space modeling of Gegenbauer processes with long memory
published 2014 · Computational Statistics & Data Analysis · 24 citations
with G. S. Dissanayake, Shelton Peiris
The generalised autocovariance function
published 2014 · Journal of Econometrics · 15 citations · first circulated 2013
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
published 2014 · Empirical Economics · 2 citations · first circulated 2011
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Patterns of industrial specialisation in post-Unification Italy
published 2013 · Scandinavian Economic History Review · 16 citations · first circulated 2011
with Carlo Ciccarelli
Characterising economic trends by Bayesian stochastic model specification search
published 2013 · Computational Statistics & Data Analysis · 4 citations · first circulated 2010
Does the Box–Cox transformation help in forecasting macroeconomic time series?
published 2012 · International Journal of Forecasting · 55 citations · first circulated 2011
with Helmut Luetkepohl, Luetkepohl Helmut
The third special issue on Statistical Signal Extraction and Filtering
published 2012 · Computational Statistics & Data Analysis
The Variance Profile
published 2012 · Journal of the American Statistical Association · 11 citations
Discussion of the paper “Testing Time Series Data Compatibility for Benchmarking”, by Benoit Quenneville and Christian Gagné
published 2012 · International Journal of Forecasting · 1 citations
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints
published 2011 · International Statistical Review · 31 citations · first circulated 2008
Growth accounting for the euro area
published 2011 · Empirical Economics · 27 citations · first circulated 2007
with Alberto Musso
Extracting the Cyclical Component in Hours Worked
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 4 citations · first circulated 2008
SEASONALITY, FORECAST EXTENSIONS AND BUSINESS CYCLE UNCERTAINTY
published 2010 · Journal of Economic Surveys
EUROMIND: A Monthly Indicator of the Euro Area Economic Conditions
published 2010 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 93 citations
Has the Volatility of U.S. Inflation Changed and How?
published 2010 · Journal of Time Series Econometrics · 17 citations · first circulated 2008
Multivariate temporal disaggregation with cross-sectional constraints
published 2010 · Journal of Applied Statistics · 15 citations
Direct and iterated multistep AR methods for difference stationary processes
published 2010 · International Journal of Forecasting · 1 citations
Low-pass filter design using locally weighted polynomial regression and discrete prolate spheroidal sequences
published 2010 · Journal of Statistical Planning and Inference · 11 citations
New proposals for the quantification of qualitative survey data
published 2010 · Journal of Forecasting · 2 citations · first circulated 2007
with Cecilia Frale
Hyper-spherical and elliptical stochastic cycles
published 2010 · Journal of Time Series Analysis · 31 citations · first circulated 2009
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS
published 2010 · Econometric Theory · 15 citations · first circulated 2008
Survey data as coincident or leading indicators
published 2009 · Journal of Forecasting · 49 citations
The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913
published 2009 · Cliometrica · first circulated 2008
with Carlo Ciccarelli, Stefano Fenoaltea
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
published 2009 · Annals of the Institute of Statistical Mathematics · 11 citations · first circulated 2008
Transformations and seasonal adjustment
published 2008 · Journal of Time Series Analysis · 19 citations
with Marco Riani
On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
published 2008 · Econometric Reviews · 25 citations · first circulated 2004
Temporal disaggregation and the adjustment or quarterly national accounts for seasonal and calendar effects
published 2008 · Journal of Official Statistics · 2 citations
with Filippo Moauro
no link
Signal extraction and filtering by linear semiparametric methods
published 2007 · Computational Statistics & Data Analysis · 18 citations
2nd Special Issue on Statistical Signal Extraction and Filtering
published 2007 · Computational Statistics & Data Analysis · 2 citations
with D.S.G. Pollock
Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches
published 2007 · Statistics & Probability Letters · 5 citations
Band Spectral Estimation for Signal Extraction
published 2007 · Economic Modelling
Temporal disaggregation by state space methods: Dynamic regression methods revisited
published 2006 · Econometrics Journal · 80 citations · first circulated 2004
Estimating potential output and the output gap for the euro area: a model-based production function approach
published 2006 · Empirical Economics · 75 citations · first circulated 2002
with Alberto Musso, Thomas Westermann
Trend–Cycle Decompositions with Correlated Components
published 2006 · Econometric Reviews · 83 citations
On the Estimation of Nonlinearly Aggregated Mixed Models
published 2006 · Journal of Computational and Graphical Statistics · 24 citations · first circulated 2004
Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
published 2006 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 40 citations
with Filippo Moauro
Business Cycles in the New EU Member Countries and their Conformity with the Euro Area
published 2005 · Journal of Business Cycle Measurement and Analysis · 23 citations
Convergence in Italian regional per-capita GDP
published 2005 · Applied Economics · 33 citations
Forecasting and signal extraction with misspecified models
published 2005 · Journal of Forecasting · 19 citations · first circulated 2004
Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area
published 2004 · Oxford Bulletin of Economics and Statistics · 132 citations
New algorithms for dating the business cycle
published 2004 · Computational Statistics & Data Analysis · 21 citations
Unobserved components models with correlated disturbances
published 2004 · Statistical Methods & Applications · 1 citations
Seasonal Specific Structural Time Series
published 2004 · Studies in Nonlinear Dynamics and Econometrics · 20 citations
Introduction
published 2004 · Studies in Nonlinear Dynamics and Econometrics
with Estela Bee Dagum
Forecasting the US unemployment rate
published 2003 · Computational Statistics & Data Analysis · 94 citations
LEAVE‐ K ‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS
published 2003 · Journal of Time Series Analysis · 17 citations · first circulated 2000
A Beveridge–Nelson smoother
published 2000 · Economics Letters · 35 citations
with Andrew Harvey
Comparing seasonal components for structural time series models
published 2000 · International Journal of Forecasting · 69 citations
Spurious periodic autoregressions
published 1998 · Econometrics Journal · 24 citations
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models
published 1998 · Studies in Nonlinear Dynamics and Econometrics · 28 citations
Seasonal heteroscedasticity and trends
published 1998 · Journal of Forecasting · 26 citations
Short‐Run Dynamics in Cointegrated Systems
published 1997 · Oxford Bulletin of Economics and Statistics · 122 citations
Persistence of shocks on seasonal processes
published 1996 · Journal of Applied Econometrics · 5 citations
The beveridge-nelson decomposition: Properties and extensions
published 1995 · Statistical Methods & Applications · 8 citations
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