Fabio Busetti - Homepage



Publications


Working Papers

Curriculum Vitae (pdf)


Contact details
   Fabio Busetti
   Bank of Italy
   Research Department
   Via Nazionale 91
   00184 Rome
   Italy
   Email me


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   Econometrics
   Bank of Italy
  
Torino Football Club

 













Bank of Italy - Head of the Econometrics and Macroeconomic Forecasting Unit at the Research Department

Lecturer of MSc-PhD courses of Nonstationary Time Series, Unobserved Component Models at the University of Roma "Tor Vergata"

Fellow of the Granger Center for Time Series Econometrics, the Euro Area Business Cycle Network, and the Working Group of Forecasting of the European System of Central Banks


Research Interests
Nonstationary timeseries, Unobserved component models, Structural change, Seasonality, Cointegration, Time varying-distributions and copulas, Forecasting, Convergence.


Selected Publications
- "Variance shifts, structural breaks and stationarity tests" (with R. Taylor), Journal of Business and Economic Statistics, 2003.
- "Seasonality tests" (with A. Harvey), Journal of Business and Economic Statistics, 2003.
- "Tests of stationarity against a change in persistence" (with R. Taylor), Journal of Econometrics, 2004.
- "Preliminary data and econometric forecasting: an application with the Bank of Italy quarterly model", Journal of Forecasting, 2006.
- "Tests of seasonal integration and cointegration in multivariate unobserved component models", Journal of Applied Econometrics, 2006.
- "Inflation convergence and divergence within the European Monetary Union" (with L. Forni, A. Harvey, F. Venditti), International Journal of Central Banking, 2007.
- "Testing for trend" (with A. Harvey), Econometric Theory, 2008.
- "Tests of time-invariance based on quantile indicators" (with A. Harvey), Journal of Time Series Analysis, 2010.

- "When is a copula constant? A test for changing relationships" (with A. Harvey), Journal of Financial Econometrics, 2011.
- "The macroeconomic impact of the sovereign debt crisis: a counterfactual analysis for the Italian economy" (with P. Cova), Bank of Italy occasional papers n. 201, 2013.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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