Browsing by Person "Proietti, Tommaso"

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A data–cleaning augmented Kalman filter for robust estimation of state space models
(2015) Marczak, Martyna; Proietti, Tommaso; Grassi, Stefano
This article presents a robust augmented Kalman filter that extends the data– cleaning filter (Masreliez and Martin, 1977) to the general state space model featuring nonstationary and regression effects. The robust filter shrinks the observations towards their one–step–ahead prediction based on the past, by bounding the effect of the information carried by a new observation according to an influence function. When maximum likelihood estimation is carried out on the replacement data, an M–type estimator is obtained. We investigate the performance of the robust AKF in two applications using as a modeling framework the basic structural time series model, a popular unobserved components model in the analysis of seasonal time series. First, a Monte Carlo experiment is conducted in order to evaluate the com- parative accuracy of the proposed method for estimating the variance parameters. Second, the method is applied in a forecasting context to a large set of European trade statistics series.
EuroMInd-D : a density estimate of monthly gross domestic product for the Euro area
(2015) Proietti, Tommaso; Marczak, Martyna; Mazzi, Gianluigi
EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom–up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model of a set of coincident time series handling mixed frequencies of observation and ragged–edged data structures. They reflect both parameter and filtering uncertainty and are obtained by implementing a bootstrap algorithm for simulating from the distribution of the maximum likelihood estimators of the model parameters, and conditional simulation filters for simulating from the predictive distribution of GDP. Both algorithms process sequentially the data as they become available in real time. The GDP density estimates for the output and expenditure approach are combined using alternative weighting schemes and evaluated with different tests based on the probability integral transform and by applying scoring rules.
Outlier detection in structural time series models : the indicator saturation approach
(2014) Proietti, Tommaso; Marczak, Martyna
Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The general–to–specific approach to the detection of structural change, currently implemented in Autometrics via indicator saturation, has proven to be both practical and effective in the context of stationary dynamic regression models and unit–root autoregressions. By focusing on impulse– and step–indicator saturation, we investigate via Monte Carlo simulations how this approach performs for detecting additive outliers and level shifts in the analysis of nonstationary seasonal time series. The reference model is the basic structural model, featuring a local linear trend, possibly integrated of order two, stochastic seasonality and a stationary component. Further, we apply both kinds of indicator saturation to detect additive outliers and level shifts in the industrial production series in five European countries.