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 Favourite Links    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. - "Stationarity tests for irregularly spaced observations and the effect of sampling frequency on power" (with R. Taylor), Econometric Theory, 2005. - "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.