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		Publications

Measuring the output gap using large datasets M. Barigozzi, M. Luciani The Review of Economics and Statistics, 2021, forthcoming abstract, codes, complementary appendix 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 Time-varying general dynamic factor models and the measurement of financial connectedness M. Barigozzi, M. Hallin, S. Soccorsi, R. von Sachs Journal of Econometrics, 2021, 222(1B), 324-343 abstract, codes, complementary appendix 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 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 Sequential testing for structural stability in approximate factor models M. Barigozzi, L. Trapani Stochastic Processes and their Applications, 2020, 130(8), 5149-5187 abstract Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals M. Barigozzi, M. Hallin Journal of Econometrics, 2020, 216(1), 4-34 abstract, codes, complementary appendix Cointegration and error correction mechanisms for singular stochastic vectors M. Barigozzi, M. Lippi, M. Luciani Econometrics, 2020, 8(3), 1-23. abstract NETS: Network estimation for time series M. Barigozzi, C. Brownlees Journal of Applied Econometrics, 2019, 34, 347-364 abstract, codes, complementary appendix 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 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 Power-law partial correlation network models M. Barigozzi, C. Brownlees, G. Lugosi Electronic Journal of Statistics, 2018, 12, 2905-2929 abstract 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 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 Spatio-temporal patterns of the international merger and acquisition network M. Dueñas, R. Mastrandrea, M. Barigozzi, G. Fagiolo Scientific Reports , 2017, 7, 10789 Generalized dynamic factor models and volatilities: Estimation and forecasting M. Barigozzi, M. Hallin Journal of Econometrics , 2017, 201, 307–321 abstract, codes 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 Identifying the independent sources of consumption variation M. Barigozzi, A. Moneta Journal of Applied Econometrics, 2016, 31, 420–449 abstract, complementary appendix, codes Generalized dynamic factor models and volatilities: Recovering the market volatility shocks M. Barigozzi, M. Hallin The Econometrics Journal, 2016, 19, C33–C60 abstract, codes 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 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 The common component of firm growth L. Alessi, M. Barigozzi, M. Capasso Structural Change and Economic Dynamics, 2013, 26, 73–82 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 Identifying the community structure of the international trade multi network M. Barigozzi, G. Fagiolo, G. Mangioni Physica A, 2011, 390, 2051–2066 Non–fundamentalness in structural econometric models: A review L. Alessi, M. Barigozzi, M. Capasso International Statistical Review, 2011, 79, 16–47 abstract 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 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 The multi–network of international trade: A commodity–specific analysis M. Barigozzi, G. Fagiolo, D. Garlaschelli Physical Review E, 2010, 81, 046104 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 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