Raffaella Giacomini

Robust Bayesian Inference in Proxy SVARs, July 2019, (with Toru Kitagawa , Matthew Read), Working Paper, CWP38/19, The IFS

Estimation Under Ambiguity, May 2019, (with Toru Kitagawa , Harald Uhlig), Working Paper, CWP24/19, The IFS

Robust Bayesian inference for set-identified models, November 2018, (with Toru Kitagawa), Working Paper, CWP61/18, The IFS

Bayesian estimation of state space models using moment conditions, December 2017, (with Ron Gallant , Giuseppe Ragusa), Journal of Econometrics, pp. 198-211, Elsevier, Journal article

Uncertain identification, April 2017, (with Toru Kitagawa , Alessio Volpicella), Working Paper, CWP18/17, The IFS

Model comparisons in unstable environments, May 2016, (with Barbara Rossi), International Economic Review, Vol. 57, No. 2, pp. 369--392, Wiley Online Library, Journal article

Economic theory and forecasting: lessons from the literature, June 2015, Econometrics Journal, Vol. 18, No. 2, pp. C22–C41, Wiley, Journal article

Inference about Non-Identified SVARs, November 2014, (with Toru Kitagawa), Working Paper, CWP45/14, cemmap

Bond Returns and Market Expectations, October 2014, (with Carlo Altavilla , Riccardo Costantini), Journal of Financial Econometrics, No. 4, pp. 708-729, Oxford Journals, Journal article

Economic theory and forecasting: lessons from the literature, September 2014, Working Paper, CWP41/14, cemmap

The relationship between DSGE and VAR models, December 2013, Advances in Econometrics, Vol. 32 VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, pp. 1--25, Emerald Publishing Group Limited, Journal article

Anchoring the yield curve using survey expectations, October 2013, (with Carlo Altavilla , Giuseppe Ragusa), Working Paper, CWP52/13

Generalized method of moments with latent variables, October 2013, (with Ron Gallant , Giuseppe Ragusa), Working Paper, CWP50/13

The relationship between DSGE and VAR models, June 2013, in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Advances in Econometrics, Volume 32) vol.32, pp.1-25, Emerald Group Publishing Limited, Book chapter

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, June 2013, (with Dimitris N. Politis , Halbert White), Econometric Theory, Vol. 29, No. 3, pp. 567--589, Cambridge Journals, Journal article

The relationship between DSGE and VAR models, May 2013, Working Paper, CWP21/13, cemmap

Bond returns and market expectations, May 2013, (with Carlo Altavilla Riccardo Costantini ), Working Paper, CWP20/13, Institute for Fiscal Studies

Model comparisons in unstable environments, June 2012, (with Barbara Rossi), Working Paper, CWP13/12

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, May 2012, (with Dimitris N. Politis , Halbert White), Working Paper, CWP11/12, cemmap

Incorporating theoretical restrictions into forecasting by projection methods, October 2011, (with Giuseppe Ragusa), External publication, CEPR

How useful are no-arbitrage restrictions for forecasting the term structure?, September 2011, (with Andrea Carreiro ), Journal of Econometrics, Vol. 164, No. 1, pp. 21-34, Elsevier, Journal article

Forecast comparisons in unstable environments, August 2010, Journal of Applied Econometrics, Journal article