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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

Email:
Homepage: http://sydney.edu.au/business/staff/tommasop
Postal Address: Room 499 H04 - Merewether Building The University of Sydney NSW 2006 Australia
Phone: +61 02 9531 6584

Affiliation

(in no particular order)

Works


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Working papers

  1. Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
  2. 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.
  3. Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
  4. Ciccarelli, Carlo & Proietti, Tommaso, 2011. "Patterns of industrial specialisation in post-Unification Italy," MPRA Paper 30431, University Library of Munich, Germany.
  5. Grassi, Stefano & Proietti, Tommaso, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," MPRA Paper 22569, University Library of Munich, Germany.
  6. Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
  7. Proietti, Tommaso, 2010. "Trend Estimation," MPRA Paper 21607, University Library of Munich, Germany.
  8. Tommaso, Proietti & Stefano, Grassi, 2010. "Bayesian stochastic model specification search for seasonal and calendar effects," MPRA Paper 27305, University Library of Munich, Germany.
  9. Luati, Alessandra & Proietti, Tommaso, 2009. "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper 15169, University Library of Munich, Germany.
  10. 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.
  11. Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
  12. 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.
  13. Proietti, Tommaso, 2008. "Structural Time Series Models for Business Cycle Analysis," MPRA Paper 6854, University Library of Munich, Germany.
  14. 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.
  15. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany, revised 01 Apr 2009.
  16. 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.
  17. 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.
  18. 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.
  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. Luati, Alessandra & Proietti, Tommaso, 2008. "On the Spectral Properties of Matrices Associated with Trend Filters," MPRA Paper 11502, University Library of Munich, Germany.
  21. 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.
  22. Grassi, Stefano & Proietti, Tommaso, 2008. "Has the Volatility of U.S. Inflation Changed and How?," MPRA Paper 11453, University Library of Munich, Germany.
  23. Tommaso Proietti & Cecilia Frale, 2007. "New proposals for the quantification of qualitative survey data," CEIS Research Paper 98, Tor Vergata University, CEIS.
  24. Tommaso Proietti & Alberto Musso, 2007. "Growth accounting for the Euro area - a structural approach," Working Paper Series 804, European Central Bank.
  25. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
  26. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
  27. Tommaso Proietti, 2006. "Measuring Core Inflation by Multivariate Structural Time Series Models," CEIS Research Paper 83, Tor Vergata University, CEIS.
  28. Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, EconWPA.
  29. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, EconWPA.
  30. Tommaso Proietti & Filippo Moauro, 2004. "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics 0401003, EconWPA.
  31. Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, EconWPA.
  32. Tommaso Proietti, 2004. "On the Estimation of Nonlinearly Aggregated Mixed Models," Econometrics 0411012, EconWPA.
  33. Tommaso Proietti, 2004. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics 0403007, EconWPA.
  34. Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2003. "Dating the Euro Area Business Cycle," CEPR Discussion Papers 3696, C.E.P.R. Discussion Papers.
  35. Tommaso PROIETTI, 2002. "Seasonal Specific Structural Time Series Models," Economics Working Papers ECO2002/10, European University Institute.
  36. Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute.
  37. 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.
  38. Tommaso Proietti, 1993. "Structural properties of the new quarterly series on consumption," Quaderni di Dipartimento 24, Department of Statistics, University of Bologna.
  39. 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.
  40. 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.
  41. T. Proietti, . "Leave-k-out Diagnostics in State Space Models," Sonderforschungsbereich 373 2000-74, Humboldt Universitaet Berlin.

Articles

  1. 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.
  2. 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.
  3. Mauro Bernardi & Giuseppe Della Corte & Tommaso Proietti, 2011. "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 15(3), pages 5.
  4. 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.
  5. Tommaso Proietti, 2011. "Multivariate temporal disaggregation with cross-sectional constraints," Journal of Applied Statistics, Taylor and Francis Journals, vol. 38(7), pages 1455-1466.
  6. 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.
  7. 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.
  8. Stefano Grassi & Tommaso Proietti, 2010. "Has the Volatility of U.S. Inflation Changed and How?," Journal of Time Series Econometrics, Berkeley Electronic Press, vol. 2(1), pages 6.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, 01.
  14. Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor and Francis Journals, vol. 28(1-3), pages 186-208.
  15. 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.
  16. Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
  17. 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.
  18. 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.
  19. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
  20. 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.
  21. 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.
  22. Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor and Francis Journals, vol. 25(1), pages 61-84.
  23. 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 1.
  24. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
  25. Tommaso Proietti, 2005. "Convergence in Italian regional per-capita GDP," Applied Economics, Taylor and Francis Journals, vol. 37(5), pages 497-506.
  26. Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
  27. Estela Bee Dagum & Tommaso Proietti, 2004. "Introduction," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1.
  28. 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.
  29. Tommaso Proietti, 2004. "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 16.
  30. 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.
  31. Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 451-476, March.
  32. [Reference to Proietti], Tommaso, 2000. "Comparing seasonal components for structural time series models," International Journal of Forecasting, Elsevier, vol. 16(2), pages 247-260.
  33. Proietti, Tommaso & Harvey, Andrew, 2000. "A Beveridge-Nelson smoother," Economics Letters, Elsevier, vol. 67(2), pages 139-146, May.
  34. Tommaso Proietti, 1998. "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(3), pages 2.
  35. Tommaso Proietti, 1998. "Spurious periodic autoregressions," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C1-C22.
  36. 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.
  37. 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, December.

NEP Fields

52 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 (8) 2006-08-05 2007-09-24 2008-11-11 2008-12-14 2009-02-28 2009-07-03 2011-07-27 2012-01-25 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 (33) 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 Author is listed
  6. NEP-EEC: European Economics (8) 2003-03-03 2003-03-14 2003-05-29 2004-05-26 2007-09-24 2008-12-14 2009-02-28 2009-07-03 Author is listed
  7. NEP-EFF: Efficiency & Productivity (1) 2007-09-24
  8. NEP-ETS: Econometric Time Series (27) 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 2012-01-25 2012-01-25 2012-01-25 2012-03-21 Author is listed
  9. NEP-FIN: Finance (1) 2003-03-03
  10. NEP-FOR: Forecasting (9) 2008-10-07 2009-05-30 2009-07-03 2009-09-26 2010-03-06 2011-07-27 2012-01-25 2012-01-25 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 (26) 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 Author is listed
  15. NEP-MON: Monetary Economics (2) 2006-08-05 2008-11-11
  16. NEP-ORE: Operations Research (13) 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 2012-01-25 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

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