64 citations · 66 across the 5 of their papers we have counts for
5 papers
Multidimensional dynamic factor models
Matteo Barigozzi, Filippo Pellegrino
This paper generalises dynamic factor models for multidimensional dependent data. In doing so, it develops an interpretable technique to study complex information sources ranging f…
Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices
Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin +1
We propose two specifications of a real-time mixed-frequency semi-structural time series model for evaluating the output potential, output gap, Phillips curve, and Okun's law for t…
Factor-augmented tree ensembles
Filippo Pellegrino
This manuscript proposes to extend the information set of time-series regression trees with latent stationary factors extracted via state-space methods. In doing so, this approach…
A Model of the Fed's View on Inflation
Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin +1
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are imp…
Selecting time-series hyperparameters with the artificial jackknife
Filippo Pellegrino
This article proposes a generalisation of the delete- jackknife to solve hyperparameter selection problems for time series. I call it artificial delete- jackknife to stress t…