Research Staff

Raffaella Giacomini

cemmap and UCL

Raffaella is a Professor of Economics at University College London. Her recent research focuses on: Predictive Ability Testing, Forecast Evaluation, Forecasting in a Changing Economy, Model Selection, Density and Quantile Forecasting.

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Selected Publications

Narrative restrictions and proxies

We compare two approaches to using information about the signs of structural shocks at speciﬁc dates […]

Raffaella Giacomini, Toru Kitagawa, Matthew Read

6 April 2022 | CWP09/22

Uncertain Identification

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

Raffaella Giacomini, Toru Kitagawa, Alessio Volpicella

6 July 2020 | CWP33/20

Previous version

Uncertain identification

Raffaella Giacomini, Toru Kitagawa, Alessio Volpicella

18 April 2017 | CWP18/17

Robust Bayesian inference in proxy SVARs

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

Raffaella Giacomini, Toru Kitagawa, Matthew Read

15 April 2020 | CWP13/20

Previous version

Robust Bayesian Inference in Proxy SVARs

Raffaella Giacomini, Toru Kitagawa, Matthew Read

23 July 2019 | CWP38/19

Robust Bayesian inference for set-identified models

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

Raffaella Giacomini, Toru Kitagawa

15 April 2020 | CWP12/20

Previous version

Robust Bayesian inference for set-identified models

Raffaella Giacomini, Toru Kitagawa

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 impulse responses […]

Raffaella Giacomini, Toru Kitagawa, Matthew Read

23 July 2019 | CWP38/19

Latest version

Robust Bayesian inference in proxy SVARs

Raffaella Giacomini, Toru Kitagawa, Matthew Read

15 April 2020 | CWP13/20

Estimation Under Ambiguity

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

Raffaella Giacomini, Toru Kitagawa, Harald Uhlig

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 […]

Raffaella Giacomini, Toru Kitagawa

7 November 2018 | CWP61/18

Latest version

Robust Bayesian inference for set-identified models

Raffaella Giacomini, Toru Kitagawa

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 […]

Ron Gallant, Raffaella Giacomini, Giuseppe Ragusa

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, Toru Kitagawa, Alessio Volpicella

18 April 2017 | CWP18/17

Latest version

Uncertain Identification

Raffaella Giacomini, Toru Kitagawa, Alessio Volpicella

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 […]

Raffaella Giacomini, Barbara Rossi

31 May 2016 | Journal Article

Previous version

Model comparisons in unstable environments

Raffaella Giacomini, Barbara Rossi

7 June 2012 | CWP13/12