Marco Lippi            

Scientific Papers and Teaching

Curriculum Vitae

Working Papers

Discrete-Time Stationary Stochastic Processes. Lecture Notes

Lezioni del corso di Macroeconomia Applicata

Bertinoro 2012

   

     Updated

  28-11-2013

  22-9-2004

  23-4-2006

  9-3-2010

  2-6-2012

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WORKING PAPERS                                                                        Top

 

Spectral Theorem
A paper on the approximation underlying the Spectral Representation Theorem. A modified version of this
working paper has been published on Econometric Theory.
This is an unpublished note mentioned in the paper.

A Note on Sraffa's Mathematics
A paper presented at the Conference "Sraffa o un'altra economia", 12-13 December 2003, Roma.

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
(with Mario Forni, Marc Hallin and Lucrezia Reichlin, new version 22-9-2004)

Opening the Black Box: Structural Factor Models vs. Structural VARs
(with Mario Forni and Lucrezia Reichlin)

A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News
(with Daniel L. Thornton)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

DISCRETE-TIME STATIONARY STOCHASTIC PROCESSES  LECTURE NOTES                      Top

I have been giving courses on Stationary Processes for some years by now, both to undergraduate and graduate students in Rome, Bruxelles and Pisa.  These Lecture Notes  put  together  ideas, exercises, examples, etc.   Sections and Chapters will be posted here as soon as they are ready.  They will be revised with incoming  comments and  criticism.    The last section  posted contains the Bibliography.

    

 

First posted

Revised

Chapter 1. Section 1

  23-4-2006

Everything has been revised,  expanded  and posted

Chapter 1. Section 2

  23-4-2006

on 23-4-2006

Chapter 1. Section 3

  23-4-2006

 

Chapter 1. Section 4

  23-4-2006

 

Chapter 2. Section 1

  23-4-2006

 

Chapter 2. Section 2

  23-4-2006

 

Chapter 2. Section 3

  23-4-2006

 

Chapter 2. Section 4

  23-4-2006

 

Chapter 2. Section 5

  23-4-2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lezioni del corso di Macroeconomia Applicata                                                                        Top

 

Processi Stazionari

Previsione

Processi Vettoriali

Processi Non Stazionari

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bertinoro 2012                                                                        Top

 

The first four files are slides. They will be used by Marco Lippi

The last two are papers on cointegration, also to be used by Marco Lippi.

Stationary scalar processes

Prediction

Vector processes

Non stationary processes

Hendry and Juselius: Explaining Cointegration Analysis: Part I

Hendry and Juselius: Explaining Cointegration Analysis: Part II