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  1. Testing for common trends in non-stationary large datasets
    [Old title: Determining the dimension of factor structures in non-stationary large datasets]
    M. Barigozzi, L. Trapani
    Journal of Business & Economic Statistics, 2021, forthcoming
    abstract, complementary appendix

  2. Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
    [Old title: Non-stationary dynamic factor models for large datasets]
    M. Barigozzi, M. Lippi, M. Luciani
    Journal of Econometrics, 2021, 221(2), 455-482
    abstract, codes, complementary appendix

  3. Time-varying general dynamic factor models and the measurement of financial connectedness
    M. Barigozzi, M. Hallin, S. Soccorsi, R. von Sachs
    Journal of Econometrics, 2020, available online
    abstract, codes, complementary appendix

  4. Consistent estimation of high-dimensional factor models when the factor number is over-estimated
    M. Barigozzi, H. Cho
    Electronic Journal of Statistics, 2020, 14(2), 2892-2921
    abstract, extended version

  5. Sequential testing for structural stability in approximate factor models
    M. Barigozzi, L. Trapani
    Stochastic Processes and their Applications, 2020, 130(8), 5149-5187

  6. Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
    M. Barigozzi, M. Hallin
    Journal of Econometrics, 2020, 116(1), 4-34
    abstract, codes, complementary appendix

  7. Cointegration and error correction mechanisms for singular stochastic vectors
    M. Barigozzi, M. Lippi, M. Luciani
    Econometrics, 2020, 8(3), 1-23.

  8. NETS: Network estimation for time series
    M. Barigozzi, C. Brownlees
    Journal of Applied Econometrics, 2019, 34, 347-364
    abstract, codes, complementary appendix

  9. Identification of global and local shocks in international financial markets via general dynamic factor models
    M. Barigozzi, M. Hallin, S. Soccorsi
    Journal of Financial Econometrics, 2019, 17, 462-494
    abstract, codes

  10. Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions
    M. Campi, M. Dueñas, M. Barigozzi, G. Fagiolo
    The Journal of International Trade & Economic Development , 2019, 28, 230-256

  11. Power-law partial correlation network models
    M. Barigozzi, C. Brownlees, G. Lugosi
    Electronic Journal of Statistics, 2018, 12, 2905-2929

  12. Simultaneous multiple change-point and factor analysis for high-dimensional time series
    M. Barigozzi, H. Cho, P. Fryzlewicz
    Journal of Econometrics, 2018, 206, 187-225
    abstract, codes, complementary appendix

  13. On the stability of euro area money demand and its implications for monetary policy
    M. Barigozzi, A. Conti
    Oxford Bulletin of Economics and Statistics, 2018, 80, 755-787
    abstract, complementary appendix

  14. Spatio-temporal patterns of the international merger and acquisition network
    M. Dueñas, R. Mastrandrea, M. Barigozzi, G. Fagiolo
    Scientific Reports , 2017, 7, 10789

  15. Generalized dynamic factor models and volatilities: Estimation and forecasting
    M. Barigozzi, M. Hallin
    Journal of Econometrics , 2017, 201, 307–321
    abstract, codes

  16. A network analysis of the volatility of high-dimensional financial series
    M. Barigozzi, M. Hallin
    Journal of the Royal Statistical Society - series C, 2017, 66, 581–605
    abstract, codes

  17. Identifying the independent sources of consumption variation
    M. Barigozzi, A. Moneta
    Journal of Applied Econometrics, 2016, 31, 420–449
    abstract, complementary appendix, codes

  18. Generalized dynamic factor models and volatilities: Recovering the market volatility shocks
    M. Barigozzi, M. Hallin
    The Econometrics Journal, 2016, 19, C33–C60
    abstract, codes

  19. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    M. Barigozzi, C. Brownlees, G. Gallo, D. Veredas
    Journal of Econometrics, 2014, 182, 364–384
    abstract, extended version

  20. Do euro area countries respond asymmetrically to the common monetary policy?
    M. Barigozzi, A. Conti, M. Luciani
    Oxford Bulletin of Economics and Statistics, 2014, 76, 693–714
    abstract, complementary appendix, codes

  21. The common component of firm growth
    L. Alessi, M. Barigozzi, M. Capasso
    Structural Change and Economic Dynamics, 2013, 26, 73–82

  22. The distribution of household consumption-expenditure budget shares
    M. Barigozzi, L. Alessi, M. Capasso, G. Fagiolo
    Structural Change and Economic Dynamics, 2012, 23, 69–91

  23. Identifying the community structure of the international trade multi network
    M. Barigozzi, G. Fagiolo, G. Mangioni
    Physica A, 2011, 390, 2051–2066

  24. Non–fundamentalness in structural econometric models: A review
    L. Alessi, M. Barigozzi, M. Capasso
    International Statistical Review, 2011, 79, 16–47

  25. Immigrant's legal status, permanence in the destination country, and the distribution of consumption expenditure
    M. Barigozzi, B. Speciale
    Applied Economics Letters, 2011, 18, 1341–1347

  26. Improved penalization for determining the number of factors in approximate static factor models
    L. Alessi, M. Barigozzi, M. Capasso
    Statistics and Probability Letters, 2010, 80, 1806–1813
    abstract, codes

  27. The multi–network of international trade: A commodity–specific analysis
    M. Barigozzi, G. Fagiolo, D. Garlaschelli
    Physical Review E, 2010, 81, 046104

  28. On the distributional properties of household consumption expenditures. The case of Italy
    G. Fagiolo, L. Alessi, M. Barigozzi, M. Capasso
    Empirical Economics, 2010, 38, 717–741

  29. On approximating the distributions of goodness–of–fit test statistics based on the empirical distribution function. The case of unknown parameters
    M. Capasso, L. Alessi, M. Barigozzi, G. Fagiolo
    Advances in Complex Systems, 2009, 12, 157–167