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econ.EM2024
Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model
Massimiliano Marcellino, Andrea Renzetti, Tommaso Tornese
We develop a Functional Augmented Vector Autoregression (FunVAR) model to explicitly incorporate firm-level heterogeneity observed in more than one dimension and study its interact…
econ.EM2024
Nowcasting distributions: a functional MIDAS model
Massimiliano Marcellino, Andrea Renzetti, Tommaso Tornese
We propose a functional MIDAS model to leverage high-frequency information for forecasting and nowcasting distributions observed at a lower frequency. We approximate the low-freque…