Alessandro Giovannelli, Marco Lippi, Tommaso Proietti
arXiv 11 May 2023 · Econometrics · publishedJournal of Time Series Analysis (2026) · 3 citations (OpenAlex)
arXiv:2305.06618 · PDF · DOI · OpenAlex · Extracted main text
The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium-to-long-run component of economic growth of a high-dimensional time series, available at the monthly frequency. The smooth principal components result from applying a cross-sectional filter distilling the low-pass component of growth in real time. The outcome of the projection is a monthly nowcast of the medium-to-long-run component of GDP growth. After discussing the theoretical properties of the indicator, we deal with the assessment of its reliability and predictive validity with reference to a panel of macroeconomic U.S. time series.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Altissimo2010new APACrefauthors Altissimo, F. , Cristadoro, R. , For… (2010) 2010 | 1.000 | 6 | 3 | 100% |
| 2 | forni2005generalized APACrefauthors Forni, M. , Hallin, M. , Lippi,… (2005) 2005 | 0.928 | 4 | 3 | 100% |
| 3 | stock2002forecasting APACrefauthors Stock, J H. \ Watson, M W. APACr… (2002) 2002 1 | 0.928 | 4 | 3 | 100% |
| 4 | stock2002macroeconomic APACrefauthors Stock, J H. \ Watson, M W. APA… (2002) 2002 2 | 0.843 | 3 | 3 | 100% |
| 5 | baxter1999measuring APACrefauthors Baxter, M. \ King, R G. APACrefau… (1999) 1999 | 0.737 | 3 | 3 | 67% |
| 6 | mccracken2016fred APACrefauthors McCracken, M W. \ Ng, S. APACrefaut… (2016) 2016 | 0.737 | 3 | 2 | 100% |
| 7 | proietti2008model APACrefauthors Proietti, T. APACrefauthors \ (2008) 2008 | 0.644 | 3 | 2 | 67% |
| 8 | whittle1963prediction APACrefauthors Whittle, P. APACrefauthors \ (1963) 1963 | 0.644 | 3 | 2 | 67% |
| 9 | bai2002determining APACrefauthors Bai, J. \ Ng, S. APACrefauthors \ (2002) 2002 | 0.644 | 2 | 2 | 100% |
| 10 | christiano2003band APACrefauthors Christiano, L J. \ Fitzgerald, T J… (2003) 2003 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 39 scored citations.