3 papers
econ.EM2023
Band-Pass Filtering with High-Dimensional Time Series
Alessandro Giovannelli, Marco Lippi, Tommaso Proietti
The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic…
math.ST2022
On the Impact of Serial Dependence on Penalized Regression Methods
Simone Tonini, Francesca Chiaromonte, Alessandro Giovannelli
This paper characterizes the impact of covariate serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship…
econ.EM2022
The Forecasting performance of the Factor model with Martingale Difference errors
Luca Mattia Rolla, Alessandro Giovannelli
This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The FMMDE make…