Raffaella Giacomini

WORK IN PROGRESS​

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• Fixed effects in the tails, with S. Sarpietro and Y. Wang

WORKING PAPERS​​​​​

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• Perceived shocks and impulse responses (2024), with J. Lu and K. Smetanina

• Identification and inference under narrative restrictions (2023), with T. Kitagawa and M. Read, R&R Review of Economic Studies

• Forecasted treatment effects (2023), with I. Botosaru and M. Weidner, R&R Journal of Econometrics

• A Robust Method for Microforecasting and Estimation of Random Effects (2023), with S. Lee and S. Sarpietro

• Estimation under ambiguity (2019), with T. Kitagawa and H. Uhlig

• Stress testing with misspecified models (2016), with R. Bidder and A. McKenna

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PUBLISHED ARTICLES

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• Robust Bayesian analysis for econometrics (in press), with T. Kitagawa and M. Read, Advances in Economics and Econometrics: proceedings of the 2020 World Congress of the Econometric Society

• Narrative Restrictions and Proxies (2022), with T. Kitagawa and M. Read, Journal of Business and Economic Statistics, 40, 1415-1425

• Narrative Restrictions and Proxies. Rejoinder (2022), with T. Kitagawa and M. Read, Journal of Business and Economic Statistics, 40, 1438-1441

• Incentive-driven inattention (2022), with W. Gaglianone, J. Issler and V. Skreta,  Journal of Econometrics, 231, 188-212

• Robust Bayesian inference in Proxy SVARs (2022), with T. Kitagawa and M. Read, Journal of Econometrics, 228, 107-126. (Matlab code and replication files here)

• Uncertain identification (2022), with T. Kitagawa and A. Volpicella, Quantitative Economics, 13, 95-123

• Robust Bayesian inference for set-identified models (2021) with T. Kitagawa, Econometrica (lead article), 89, 1519-1556. (replaces the working paper "Robust inference about partially identified SVARs"). (Matlab code and replication files here)

• Heterogeneity, inattention and Bayesian updates (2020), with V. Skreta and J. Turen,  American Economic Journal, Macroeconomics, 12, 282-309 ​

  • Article featured on AEA Research Highlights: Read here

• Anchoring the yield curve using survey expectations (2017), with C. Altavilla and G. Ragusa,  Journal of Applied Econometrics, 32, 1055-1068

• Bayesian estimation of state-space models using moment conditions (2017), with R. Gallant and G. Ragusa, Journal of Econometrics, 201, 198-211

• Model comparisons in unstable environments (2016), with B. Rossi, International Economic Review, 57, 369-392

• Forecasting in nonstationary environments (2015), with B. Rossi, Annual Review of Economics, 7, 207-229

• Economic theory and forecasting: lessons from the literature (2015), Econometrics Journal, 18, C22-C41

• Bond returns and market expectations (2014), with C. Altavilla and R. Costantini, Journal of Financial Econometrics, 12, 708-729

• Theory-coherent forecasting (2014), with G. Ragusa, Journal of Econometrics, 182, 145-155

• A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators (2013), with D. Politis and H. White, Econometric Theory, 29, 567-589

• How useful are no-arbitrage restrictions for forecasting the term structure? (2011), with A. Carriero, Journal of Econometrics, 164, 21-34

• Forecast comparisons in unstable environments (2010), with B. Rossi, Journal of Applied Econometrics, 25, 595-620

• Detecting and predicting forecast breakdowns (2009), with B. Rossi, Review of Economic Studies, 76, 669-705

• Mixtures of t-distributions for finance and forecasting (2008), with A. Gottschling, C. Haefke and H. White, Journal of Econometrics, 144, 175-192

• Comparing density forecasts via weighted likelihood ratio tests (2007), with G. Amisano, Journal of Business and Economic Statistics, 25, 177-190

• Tests of conditional predictive ability (2006), with H. White, Econometrica, 74, 1545-1578

• How stable is the forecasting performance of the yield curve for output growth? (2006), with B. Rossi, Oxford Bulletin of Economics and Statistics, 68, 783-795

• ​Evaluation and combination of conditional quantile forecasts (2005), with I. Komunjer, Journal of Business and Economic Statistics, 23, 416-431

• Aggregation of space-time processes (2004), with C. W. J. Granger, Journal of Econometrics, 118, 7-26

POLICY PUBLICATIONS

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• Microforecasting Inflation (2023), with Y. Levin, Economic Perspectives, 3

BOOK CHAPTERS

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• The relationship between VAR and DSGE models (2013), in Advances in Econometrics, vol. 31

• Forecasting in Macroeconomics (2013), with B. Rossi in Handbook of Research Methods and Applications on Empirical Macroeconomics, Edward Elgar Publishing, Chapter 7

• Testing conditional predictive ability (2011), in Oxford Handbook of Economic Forecasting, ed. M.Clements and D. Hendry, Oxford University Press, Chapter 15