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.

Selected Publications

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 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 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 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
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
Inference about Non-Identified SVARs

We propose a method for conducting inference on impulse responses in structural vector autoregressions (SVARs) when […]

Raffaella Giacomini, Toru Kitagawa
26 November 2014 | CWP45/14

Latest version

Robust Bayesian inference for set-identified models
Raffaella Giacomini, Toru Kitagawa
7 November 2018 | CWP61/18
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 September 2014 | CWP41/14

Latest version

Economic theory and forecasting: lessons from the literature
Raffaella Giacomini
24 June 2015 | Journal Article
Anchoring the yield curve using survey expectations

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, […]

Carlo Altavilla, Raffaella Giacomini, Giuseppe Ragusa
15 October 2013 | CWP52/13