3 papers
econ.EM2026
Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy
Matteo Barigozzi, Claudio Lissona, Lorenzo Tonni
We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or…
econ.EM2026
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter
Matteo Barigozzi, Diego Fresoli, Esther Ruiz
Factor extraction from systems of variables with a large cross-sectional dimension, , is often based on either Principal Components (PC)-based procedures, or Kalman filter (KF)-…
econ.EM2025
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…