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Tommaso Proietti

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Personal Details

First Name: Tommaso
Middle Name:
Last Name: Proietti
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RePEc Short-ID: ppr15

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Affiliation

Dipartimento di Economia e Finanza
Facoltà di Economia
Università degli Studi di Roma "Tor Vergata"
Location: Roma, Italy
Homepage: http://www.economia.uniroma2.it/def/default.asp?a=1354
Email:
Phone: +39 +6 +72595502
Fax: +39 +6 +72595504
Postal: Via Columbia 2, 00133 Roma
Handle: RePEc:edi:dsrotit (more details at EDIRC)

Works

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Working papers

  1. Stefano Grassi & Tommaso Proietti & Cecilia Frale & Massimiliano Marcellino & Gianluigi Mazzi, 2014. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro," Studies in Economics 1406, Department of Economics, University of Kent.
  2. Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
  3. Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.
  4. Tommaso Proietti & Alessandra Luati, 2013. "Generalised Linear Spectral Models," CEIS Research Paper 290, Tor Vergata University, CEIS, revised 03 Oct 2013.
  5. Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
  6. Tommaso, Proietti & Alessandra, Luati, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," MPRA Paper 39600, University Library of Munich, Germany.
  7. Tommaso, Proietti & Alessandra, Luati, 2012. "The Generalised Autocovariance Function," MPRA Paper 43711, University Library of Munich, Germany.
  8. Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
  9. Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
  10. Stefano Grassi & Tommaso Proietti, 2011. "Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search," CREATES Research Papers 2011-30, School of Economics and Management, University of Aarhus.
  11. Ciccarelli, Carlo & Proietti, Tommaso, 2011. "Patterns of industrial specialisation in post-Unification Italy," MPRA Paper 30431, University Library of Munich, Germany.
  12. Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
  13. Proietti, Tommaso, 2010. "Trend Estimation," MPRA Paper 21607, University Library of Munich, Germany.
  14. Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specifi cation search," MPRA Paper 22569, University Library of Munich, Germany.
  15. Tommaso, Proietti & Stefano, Grassi, 2010. "Bayesian stochastic model specification search for seasonal and calendar effects," MPRA Paper 27305, University Library of Munich, Germany.
  16. Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
  17. Proietti, Tommaso & Luati, Alessandra, 2009. "Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences," MPRA Paper 15510, University Library of Munich, Germany.
  18. Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
  19. Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany.
  20. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
  21. Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany.
  22. Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008. "The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913," CEIS Research Paper 133, Tor Vergata University, CEIS, revised 18 Nov 2008.
  23. Tommaso Proietti & Alessandra Luati, 2008. "Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis," CEIS Research Paper 112, Tor Vergata University, CEIS, revised 14 Jul 2008.
  24. Proietti, Tommaso, 2008. "Structural Time Series Models for Business Cycle Analysis," MPRA Paper 6854, University Library of Munich, Germany.
  25. Grassi, Stefano & Proietti, Tommaso, 2008. "Has the Volatility of U.S. Inflation Changed and How?," MPRA Paper 11453, University Library of Munich, Germany.
  26. Ciccarelli, Carlo & Fenoaltea, Stefano & Proietti, Tommaso, 2008. "The comovements of construction in Italy's regions, 1861-1913," MPRA Paper 8870, University Library of Munich, Germany.
  27. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.
  28. Luati, Alessandra & Proietti, Tommaso, 2008. "On the Spectral Properties of Matrices Associated with Trend Filters," MPRA Paper 11502, University Library of Munich, Germany.
  29. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany.
  30. Proietti, Tommaso & Musso, Alberto, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series 0804, European Central Bank.
  31. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
  32. Tommaso Proietti & Cecilia Frale, 2007. "New proposals for the quantification of qualitative survey data," CEIS Research Paper 98, Tor Vergata University, CEIS.
  33. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
  34. Tommaso Proietti, 2006. "Measuring Core Inflation by Multivariate Structural Time Series Models," CEIS Research Paper 83, Tor Vergata University, CEIS.
  35. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, EconWPA.
  36. Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics 0401003, EconWPA.
  37. Tommaso Proietti, 2004. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics 0403007, EconWPA.
  38. Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, EconWPA.
  39. Tommaso Proietti, 2004. "On the Estimation of Nonlinearly Aggregated Mixed Models," Econometrics 0411012, EconWPA.
  40. Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, EconWPA.
  41. Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2003. "Dating the Euro Area Business Cycle," CEPR Discussion Papers 3696, C.E.P.R. Discussion Papers.
  42. Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute.
  43. Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute.
  44. Tommaso PROIETTI, 2002. "Seasonal Specific Structural Time Series Models," Economics Working Papers ECO2002/10, European University Institute.
  45. Proietti, Tommaso, 2000. "Leave-k-out diagnostics in state space models," SFB 373 Discussion Papers 2000,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  46. Pierluigi Daddi & Tommaso Proietti, 1993. "A seasonal integration analysis of the italian consumption quarterly time series," Quaderni di Dipartimento 19, Department of Statistics, University of Bologna.
  47. Tommaso Proietti, 1993. "Structural properties of the new quarterly series on consumption," Quaderni di Dipartimento 24, Department of Statistics, University of Bologna.
  48. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, . "Survey Data as Coincident or Leading Indicators," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.

Articles

  1. Grassi, S. & Proietti, T., 2014. "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 359-374.
  2. Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
  3. Alessandra Luati & Tommaso Proietti & Marco Reale, 2012. "The Variance Profile," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 607-621, June.
  4. Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, vol. 43(1), pages 219-244, August.
  5. Tommaso Proietti, 2012. "Seasonality, Forecast Extensions And Business Cycle Uncertainty," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, 09.
  6. Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011. "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-28, May.
  7. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2011. "EUROMIND: a monthly indicator of the euro area economic conditions," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(2), pages 439-470, 04.
  8. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280, April.
  9. Tommaso Proietti, 2011. "Estimation of Common Factors under Cross‐Sectional and Temporal Aggregation Constraints," International Statistical Review, International Statistical Institute, vol. 79(3), pages 455-476, December.
  10. Alessandra Luati & Tommaso Proietti, 2011. "On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing," Annals of the Institute of Statistical Mathematics, Springer, vol. 63(4), pages 851-871, August.
  11. Tommaso Proietti, 2011. "Multivariate temporal disaggregation with cross-sectional constraints," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1455-1466, June.
  12. Tommaso Proietti & Cecilia Frale, 2011. "New proposals for the quantification of qualitative survey data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(4), pages 393-408, July.
  13. Alessandra Luati & Tommaso Proietti, 2010. "Hyper-spherical and elliptical stochastic cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 169-181, 05.
  14. Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2010. "The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 4(3), pages 269-292, October.
  15. Grassi Stefano & Proietti Tommaso, 2010. "Has the Volatility of U.S. Inflation Changed and How?," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-22, September.
  16. Luati, Alessandra & Proietti, Tommaso, 2010. "On The Spectral Properties Of Matrices Associated With Trend Filters," Econometric Theory, Cambridge University Press, vol. 26(04), pages 1247-1261, August.
  17. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010. "Survey data as coincident or leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
  18. Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
  19. Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, 01.
  20. Proietti, Tommaso, 2008. "Missing data in time series: A note on the equivalence of the dummy variable and the skipping approaches," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 257-264, February.
  21. Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
  22. Pollock, D.S.G. & Proietti, Tommaso, 2007. "2nd Special Issue on Statistical Signal Extraction and Filtering," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 817-820, October.
  23. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
  24. Tommaso Proietti & Alberto Musso & Thomas Westermann, 2007. "Estimating potential output and the output gap for the euro area: a model-based production function approach," Empirical Economics, Springer, vol. 33(1), pages 85-113, July.
  25. Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
  26. Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 61-84.
  27. Tommaso Proietti & Filippo Moauro, 2006. "Dynamic factor analysis with non-linear temporal aggregation constraints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 281-300.
  28. Tommaso Proietti, 2005. "Convergence in Italian regional per-capita GDP," Applied Economics, Taylor & Francis Journals, vol. 37(5), pages 497-506.
  29. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
  30. Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
  31. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2005. "Business Cycles in the New EU Member Countries and their Conformity with the Euro Area," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2005(1), pages 7-41.
  32. Dagum Estela Bee & Proietti Tommaso, 2004. "Introduction," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-5, May.
  33. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(4), pages 537-565, 09.
  34. Proietti Tommaso, 2004. "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-22, May.
  35. Tommaso Proietti, 2003. "Leave-K-Out Diagnostics In State-Space Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 221-236, 03.
  36. Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 451-476, March.
  37. Proietti, Tommaso & Harvey, Andrew, 2000. "A Beveridge-Nelson smoother," Economics Letters, Elsevier, vol. 67(2), pages 139-146, May.
  38. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
  39. Proietti Tommaso, 1998. "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-18, October.
  40. Tommaso Proietti, 1998. "Spurious periodic autoregressions," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C1-C22.
  41. Proietti, Tommaso, 1997. "Short-Run Dynamics in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(3), pages 405-22, August.
  42. Proietti, Tommaso, 1996. "Persistence of Shocks on Seasonal Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 383-98, July-Aug..

Books

  1. Harvey, Andrew & Proietti, Tommaso (ed.), 2005. "Readings in Unobserved Components Models," OUP Catalogue, Oxford University Press, number 9780199278695.

Editor

  1. CEIS Research Paper, Tor Vergata University, CEIS.

NEP Fields

58 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2007-07-13
  2. NEP-CBA: Central Banking (7) 2006-08-05 2007-09-24 2008-11-11 2008-12-14 2009-02-28 2009-07-03 2011-07-27. Author is listed
  3. NEP-DCM: Discrete Choice Models (1) 2007-07-13
  4. NEP-DEV: Development (2) 2004-03-22 2004-03-22
  5. NEP-ECM: Econometrics (37) 2002-09-28 2003-03-11 2003-03-11 2004-01-25 2004-01-25 2004-03-22 2004-11-22 2004-11-22 2006-08-05 2007-07-13 2007-07-13 2008-02-02 2008-02-02 2008-03-25 2008-06-07 2008-07-20 2008-10-07 2008-11-11 2008-12-14 2009-02-28 2009-05-16 2009-05-30 2009-06-17 2009-07-03 2009-09-26 2010-03-06 2010-04-04 2010-05-15 2010-09-03 2010-12-18 2011-04-30 2011-07-27 2011-09-16 2012-07-01 2013-01-19 2013-05-11 2013-10-05. Author is listed
  6. NEP-EEC: European Economics (10) 2003-03-03 2003-03-14 2003-05-29 2004-05-26 2007-09-24 2008-12-14 2009-02-28 2009-07-03 2013-10-05 2014-06-28. Author is listed
  7. NEP-EFF: Efficiency & Productivity (1) 2007-09-24
  8. NEP-ETS: Econometric Time Series (30) 2002-09-28 2003-03-03 2003-03-03 2004-01-12 2004-01-12 2004-03-22 2004-11-22 2006-08-05 2006-08-05 2007-07-13 2008-02-02 2008-02-02 2008-06-07 2008-07-20 2008-10-07 2009-05-30 2009-06-17 2009-09-26 2010-05-15 2011-03-05 2011-05-24 2011-07-27 2011-09-16 2012-03-21 2012-07-01 2013-01-19 2013-03-23 2013-05-11 2013-05-11 2013-11-16. Author is listed
  9. NEP-FIN: Finance (1) 2003-03-03
  10. NEP-FOR: Forecasting (7) 2008-10-07 2009-05-30 2009-07-03 2009-09-26 2010-03-06 2011-07-27 2012-03-21. Author is listed
  11. NEP-GEO: Economic Geography (2) 2008-05-31 2011-05-07
  12. NEP-HIS: Business, Economic & Financial History (4) 2003-03-03 2008-05-31 2008-12-01 2011-05-07
  13. NEP-IFN: International Finance (2) 2004-03-22 2004-05-26
  14. NEP-MAC: Macroeconomics (29) 2003-03-03 2003-03-03 2003-03-03 2003-03-17 2003-05-29 2004-03-22 2004-03-22 2007-07-13 2007-07-13 2007-09-24 2008-02-02 2008-02-02 2008-05-31 2008-06-13 2008-10-07 2008-11-11 2008-12-01 2008-12-14 2009-02-28 2009-05-30 2009-06-17 2009-07-03 2010-03-06 2010-05-15 2010-09-03 2011-09-16 2012-07-01 2013-10-05 2014-06-28. Author is listed
  15. NEP-MON: Monetary Economics (2) 2006-08-05 2008-11-11
  16. NEP-ORE: Operations Research (14) 2008-03-25 2008-06-07 2008-06-13 2008-10-07 2010-03-06 2010-05-15 2010-09-03 2010-12-18 2011-03-05 2011-04-30 2011-05-24 2011-09-16 2012-07-01 2013-03-23. Author is listed
  17. NEP-RMG: Risk Management (2) 2003-03-03 2011-04-30
  18. NEP-TRA: Transition Economics (1) 2004-05-16
  19. NEP-URE: Urban & Real Estate Economics (1) 2011-05-07

Statistics

This author is among the top 5% authors according to these criteria:
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