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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
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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
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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
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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
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Sequential testing for structural stability in approximate factor models
M. Barigozzi, L. Trapani
Stochastic Processes and their Applications, 2020, 130(8), 5149-5187
abstract
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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
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Cointegration and error correction mechanisms for singular stochastic vectors
M. Barigozzi, M. Lippi, M. Luciani
Econometrics, 2020, 8(3), 1-23.
abstract
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NETS: Network estimation for time series
M. Barigozzi, C. Brownlees
Journal of Applied Econometrics, 2019, 34, 347-364
abstract,
codes,
complementary appendix
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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
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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
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Power-law partial correlation network models
M. Barigozzi, C. Brownlees, G. Lugosi
Electronic Journal of Statistics, 2018, 12, 2905-2929
abstract
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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
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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
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Spatio-temporal patterns of the international merger and acquisition network
M. Dueñas, R. Mastrandrea, M. Barigozzi, G. Fagiolo
Scientific Reports , 2017, 7, 10789
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Generalized dynamic factor models and volatilities: Estimation and forecasting
M. Barigozzi, M. Hallin
Journal of Econometrics , 2017, 201, 307–321
abstract,
codes
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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
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Identifying the independent sources of consumption variation
M. Barigozzi, A. Moneta
Journal of Applied Econometrics, 2016, 31, 420–449
abstract,
complementary appendix,
codes
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Generalized dynamic factor models and volatilities: Recovering the market volatility shocks
M. Barigozzi, M. Hallin
The Econometrics Journal, 2016, 19, C33–C60
abstract,
codes
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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
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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
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The common component of firm growth
L. Alessi, M. Barigozzi, M. Capasso
Structural Change and Economic Dynamics, 2013, 26, 73–82
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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
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Identifying the community structure of the international trade multi network
M. Barigozzi, G. Fagiolo, G. Mangioni
Physica A, 2011, 390, 2051–2066
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Non–fundamentalness in structural econometric models: A review
L. Alessi, M. Barigozzi, M. Capasso
International Statistical Review, 2011, 79, 16–47
abstract
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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
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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
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The multi–network of international trade: A commodity–specific analysis
M. Barigozzi, G. Fagiolo, D. Garlaschelli
Physical Review E, 2010, 81, 046104
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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
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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
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