Marco Lippi             Scientific Papers and Teaching If you need help with any level of education, keep in mind that you can always seek help from specialized services, such as best-writing-service.com, or ask your supervisor/colleague directly, or ask at a specialized forum. Dynamic Factor Models: Estimation, Forecasting, and Applications in Macroeconomic Analysis Curriculum Vitae Advancements in Econometric Theory: Exploring the Approximation underlying the Spectral Representation Theorem 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This is an unpublished note mentioned in the paper.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