Research Staff

Raffaella Giacomini

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. She works at the Centre for Microdata Methods and Practice (cemmap).

Selected Publications

Uncertain Identification

Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored […]

Alessio Volpicella, Toru Kitagawa, Raffaella Giacomini
6 July 2020 | CWP33/20

Previous version

Uncertain identification
Raffaella Giacomini, Alessio Volpicella, Toru Kitagawa
18 April 2017 | CWP18/17
Robust Bayesian inference for set-identified models

This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting […]

Toru Kitagawa, Raffaella Giacomini
15 April 2020 | CWP12/20

Previous version

Robust Bayesian inference for set-identified models
Toru Kitagawa, Raffaella Giacomini
7 November 2018 | CWP61/18
Robust Bayesian inference in proxy SVARs

We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the parameters of […]

Matthew Read, Toru Kitagawa, Raffaella Giacomini
15 April 2020 | CWP13/20

Previous version

Robust Bayesian Inference in Proxy SVARs
Matthew Read, Toru Kitagawa, Raffaella Giacomini
23 July 2019 | CWP38/19
Robust Bayesian Inference in Proxy SVARs

We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the impulse responses […]

Matthew Read, Toru Kitagawa, Raffaella Giacomini
23 July 2019 | CWP38/19

Latest version

Robust Bayesian inference in proxy SVARs
Matthew Read, Toru Kitagawa, Raffaella Giacomini
15 April 2020 | CWP13/20
Estimation Under Ambiguity

To perform Bayesian analysis of a partially identified structural model, two distinct approaches exist: standard Bayesian […]

Harald Uhlig, Toru Kitagawa, Raffaella Giacomini
28 May 2019 | CWP24/19
Robust Bayesian inference for set-identified models

This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting […]

Toru Kitagawa, Raffaella Giacomini
7 November 2018 | CWP61/18

Latest version

Robust Bayesian inference for set-identified models
Toru Kitagawa, Raffaella Giacomini
15 April 2020 | CWP12/20

Previous version

Inference about Non-Identified SVARs
Raffaella Giacomini, Toru Kitagawa
26 November 2014 | CWP45/14
Bayesian estimation of state space models using moment conditions

We consider Bayesian estimation of state space models when the measurement density is not available but […]

Giuseppe Ragusa, Raffaella Giacomini, Ron Gallant
18 December 2017 | Journal Article
Uncertain identification

Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored […]

Raffaella Giacomini, Alessio Volpicella, Toru Kitagawa
18 April 2017 | CWP18/17

Latest version

Uncertain Identification
Alessio Volpicella, Toru Kitagawa, Raffaella Giacomini
6 July 2020 | CWP33/20
Model comparisons in unstable environments

The goal of this article is to develop formal tests to evaluate the relative in-sample performance […]

Barbara Rossi, Raffaella Giacomini
31 May 2016 | Journal Article

Previous version

Model comparisons in unstable environments
Raffaella Giacomini, Barbara Rossi
7 June 2012 | CWP13/12
Economic theory and forecasting: lessons from the literature

Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight […]

Raffaella Giacomini
24 June 2015 | Journal Article

Previous version

Economic theory and forecasting: lessons from the literature
Raffaella Giacomini
24 September 2014 | CWP41/14