Research Staff
Raffaella Giacomini
cemmap and UCL
Selected Publications
Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight […]
Previous version
We propose a method for conducting inference on impulse responses in structural vector autoregressions (SVARs) when […]
Latest version
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds […]
Previous version
Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight […]
Latest version
This article reviews the literature on the econometric relationship between DSGE and VAR models from the […]
Previous version
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, […]
The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference […]
We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing […]
Previous version
This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the […]
Latest version
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds […]