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MASSIMILIANO MARCELLINO


Courses a.y. 2017/2018

20203 ECONOMETRICS
30413 ECONOMETRICS
40272 ECONOMETRICS 3

Biographical note

Born May 26th, 1970. Degree in Economic and Social Sciences from Università Bocconi. PhD in Economics from the European University Institute of Florence.


Academic CV

Full Professor of Econometrics. Research fellow at CEPR – Center for Economic Policy Research and at IGIER-Innocenzo Gasparini Institute for Economic Research. Previously he was an Associate Professor of Econometrics at Università Bocconi and Professor at the European University Institute of Florence. Visiting fellow at UCSD and Harvard University.


Research areas

Econometrics. Applied macroeconomics. Analysis of historical series.


Selected publications

2013: “Markov Switching MIDAS models”, with Pierre Guerin, Journal of Business and Economic Statistics. “Pooling versus model selection for nowcasting GDP with many predictors: Empirical evidence for six industrialized countries”, with Vladimir  Kuzin and Christian Schumacher, Journal of Applied Econometrics. “Bayesian VARs: Specification choices and forecasting performance”, with Andrea Carriero and Todd Clark, Journal of Applied Econometrics, forthcoming. "Mixed-Frequency Structural Models: Identification, Estimation, and Policy Analysis", with Claudia Foroni, Journal of Applied Econometrics, forthcoming. “U-MIDAS: MIDAS regressions with unrestricted lag polynomial”, with Claudia Foroni and Christian Schumacher, Journal of the Royal Statistical Society, forthcoming. 2012: “Forecasting Government Bond Yields with Large Bayesian VARs”, with Andrea Carriero and George Kapetanios, Journal of Banking and Finance. 2011: “Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models”, with Andrea Carriero and George Kapetanios, Journal of Applied Econometrics. “EUROMIND: A Monthly Indicator of the Euro Area Economic Conditions” with Cecilia Frale, Gianluigi Mazzi and Tommaso Proietti, Journal of the Royal Statistical Society. 2010: “Path Forecast Evaluation”, with Oscar Jorda, Journal of Applied Econometrics. 2009: “Regional inflation dynamics within and across euro area countries and a comparison with the US”, with Guenter Beck and Kirstin Hubrich, Economic Policy. 2009: “The Transmission Mechanism in a Changing World”, with Michael Artis and Ana Galvao, Journal of Applied Econometrics. 2006: “A Comparison of Direct and Iterated AR Methods for Forecasting Macroeconomic Series h-Steps Ahead”, with Jim Stock and Mark Watson, Journal of Econometrics. 2006: “Factor based index tracking”, with Francesco Corielli, Journal of Banking and Finance, 30, 2215-2233. “Leading indicators”, in Elliott, G., Granger, C.W.J. and Timmermann, A. (eds), Handbook of Economic Forecasts. 2005: “Principal components at work: the empirical analysis of monetary policy with large datasets”, with Carlo Favero and Francesca Neglia, Journal of Applied Econometrics. 2003: “Macroeconomic forecasting in the Euro area: country specific versus Euro wide information”, with Jim Stock and Mark Watson, European Economic Review. 2001: “Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994”, with Grayham Mizon, Journal of Applied Econometrics. 1999: “Some consequences of temporal aggregation for empirical analysis”, Journal of Business and Economic Statistics.