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Raffaella Giacomini

Research fellow

Biography

Raffaella Giacomini came to UCL from a position at UCLA in summer 2007. Her recent research focuses on: Predictive Ability Testing, Forecast Evaluation, Forecasting in a Changing Economy, Model Selection, Density and Quantile Forecasting.

Selected publications

  

All available outputs

Robust Bayesian inference for set-identified models, November 2018, (with Toru Kitagawa), Working Paper, CWP61/18, The IFS
Previous version:
Raffaella Giacomini and Toru Kitagawa November 2014, Inference about Non-Identified SVARs, cemmap Working Paper , CWP45/14
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
Previous version:
Raffaella Giacomini and Barbara Rossi June 2012, Model comparisons in unstable environments, cemmap Working Paper , CWP13/12
Economic theory and forecasting: lessons from the literature, June 2015, Econometrics Journal, Vol. 18, No. 2, pp. C22–C41, Wiley, Journal article
Previous version:
Raffaella Giacomini September 2014, Economic theory and forecasting: lessons from the literature, cemmap Working Paper , CWP41/14
Inference about Non-Identified SVARs, November 2014, (with Toru Kitagawa), Working Paper, CWP45/14, cemmap
New version:
Raffaella Giacomini and Toru Kitagawa November 2018, Robust Bayesian inference for set-identified models, cemmap Working Paper , CWP61/18
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
Previous version:
Carlo Altavilla, Riccardo Costantini and Raffaella Giacomini May 2013, Bond returns and market expectations, cemmap Working Paper , CWP20/13
Economic theory and forecasting: lessons from the literature, September 2014, Working Paper, CWP41/14, cemmap
Now published:
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
Previous version:
Raffaella Giacomini May 2013, The relationship between DSGE and VAR models, cemmap Working Paper , CWP21/13
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
Previous version:
Raffaella Giacomini, Dimitris N. Politis and Halbert White May 2012, A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, cemmap Working Paper , CWP11/12
Bond returns and market expectations, May 2013, (with Carlo Altavilla Riccardo Costantini ), Working Paper, CWP20/13, Institute for Fiscal Studies
Now published:
Carlo Altavilla, Raffaella Giacomini and Riccardo Costantini October 2014, Bond Returns and Market Expectations, Journal article Journal of Financial Econometrics
The relationship between DSGE and VAR models, May 2013, Working Paper, CWP21/13, cemmap
Now published:
Raffaella Giacomini December 2013, The relationship between DSGE and VAR models, Journal article Advances in Econometrics
Model comparisons in unstable environments, June 2012, (with Barbara Rossi), Working Paper, CWP13/12
Now published:
Raffaella Giacomini and Barbara Rossi May 2016, Model comparisons in unstable environments, Journal article International Economic Review
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
Now published:
Raffaella Giacomini, Dimitris N. Politis and Halbert White June 2013, A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, Journal article Econometric Theory
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
Detecting and predicting forecast breakdowns, March 2009, Review of Economic Studies, Vol. 72, No. 2, pp. 669-705, Journal article

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