12 citations · 15 across the 3 of their papers we have counts for
5 papers
Measuring the Euro Area Output Gap
Matteo Barigozzi, Claudio Lissona, Matteo Luciani
We measure the Euro Area (EA) output gap and potential output using a non-stationary dynamic factor model estimated on a large dataset of macroeconomic and financial variables. Our…
Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
Matteo Barigozzi, Matteo Luciani
This paper considers estimation of large dynamic factor models with common and idiosyncratic trends by means of the Expectation Maximization algorithm, implemented jointly with the…
Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
Matteo Barigozzi, Matteo Luciani
We study estimation of large Dynamic Factor models implemented through the Expectation Maximization (EM) algorithm, jointly with the Kalman smoother. We prove that as both the cros…
Large-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with Cointegrated Factors
Matteo Barigozzi, Marco Lippi, Matteo Luciani
We study a large-dimensional Dynamic Factor Model where: (i)~the vector of factors is and driven by a number of shocks that is smaller than the dimension of $\…
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Matteo Barigozzi, Marco Lippi, Matteo Luciani
The paper studies Non-Stationary Dynamic Factor Models such that the factors are and singular, i.e. has dimension and is driven by a -dime…