Marco Lippi
Biographic Data
| ID | 5731637 |
|---|---|
| NAME | Marco Lippi |
| GIVEN NAMES | Marco |
| FAMILY NAME | Lippi |
| SIGNATURE | LIPPI M |
| AFFILIATIONS | University of Modena and Reggio Emilia |
| ORCID | 0000-0002-9663-1071 |
| VERIFIED | Yes |
| TOTAL WORKS | 11 |
| TOTAL CITATIONS | 5 |
| AUTHOR COUNT | 11 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1979 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Common Components Structural VARs
Structural VAR models (SVAR) produce results that can vary dramatically with the choice of variables, because information is deficient. We argue that if the variables of interest belong to a High-Dimensional Factor Model and are replaced in the SVAR by their common components, the information issue finds a solution, provided that the number of common components is larger than the number of structural shocks, so that the SVAR is dynamically singul…
Informing DSGE Models Through Dynamic Factor Models
Structural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log‐linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE analysis by means of simulations. Using a standard DSGE model as the data generating process, we show t…
Explaining population variation after the 2016 Central Italy earthquake using Call Data Records and Twitter
Argument mining as rapid screening tool of Covid-19 literature quality
Background The COVID-19 pandemic prompted the scientific community to share timely evidence, also in the form of pre-printed papers, not peer reviewed yet. Purpose To develop an artificial intelligence system for the analysis of the scientific literature by leveraging on recent developments in the field of Argument Mining. Methodology Scientific quality criteria were borrowed from two selected Cochrane systematic reviews. Four independent reviewe…
Noise Bubbles
We introduce imperfect information in stock prices determination. Agents, whose expectations are not assumed to be rational, receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices are decomposed into a fundamental component and a transitory ‘noise bubble’ which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non‐standard VAR procedure to estimat…
New Eurocoin
Removal of short-run dynamics from a stationary time series to isolate the medium- to long-run component can be obtained by a bandpass filter. However, bandpass filters are infinite moving averages and can therefore deteriorate at the end of the sample. This is a well-known result in the literature isolating the business cycle in integrated series. We show that the same problem arises with our application to stationary time series. In this paper,…
Coincident and Leading Indicators for the Euro Area
This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…
The Generalized Dynamic-Factor Model
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence a…
The Principle of Labor Value
The articles by Napoleoni and Garegnani are an excellent basis for the discussion triggered by the Modena Conference. They represent two opposing positions. For Napoleoni, the autonomy of the category of value in Marx is such that, even if one admits that value is completely useless for determining the profit rate and prices, the philosophical discussion of the issue can and must continue. For Garegnani, on the other hand, labor value in Marx ful…
Trend-Cycle Decompositions and Measures of Persistence
FLWNO
Value and naturalism in Marx
Coincident and Leading Indicators for the Euro Area
This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…
Noise Bubbles
We introduce imperfect information in stock prices determination. Agents, whose expectations are not assumed to be rational, receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices are decomposed into a fundamental component and a transitory ‘noise bubble’ which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non‐standard VAR procedure to estimat…
Trend-Cycle Decompositions and Measures of Persistence
FLWNO
Value and naturalism in Marx
Trend-Cycle Decompositions and Measures of Persistence
FLWNO
The Principle of Labor Value
The articles by Napoleoni and Garegnani are an excellent basis for the discussion triggered by the Modena Conference. They represent two opposing positions. For Napoleoni, the autonomy of the category of value in Marx is such that, even if one admits that value is completely useless for determining the profit rate and prices, the philosophical discussion of the issue can and must continue. For Garegnani, on the other hand, labor value in Marx ful…
The Generalized Dynamic-Factor Model
This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence a…
Coincident and Leading Indicators for the Euro Area
This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…
New Eurocoin
Removal of short-run dynamics from a stationary time series to isolate the medium- to long-run component can be obtained by a bandpass filter. However, bandpass filters are infinite moving averages and can therefore deteriorate at the end of the sample. This is a well-known result in the literature isolating the business cycle in integrated series. We show that the same problem arises with our application to stationary time series. In this paper,…
Noise Bubbles
We introduce imperfect information in stock prices determination. Agents, whose expectations are not assumed to be rational, receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices are decomposed into a fundamental component and a transitory ‘noise bubble’ which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non‐standard VAR procedure to estimat…
Argument mining as rapid screening tool of Covid-19 literature quality
Background The COVID-19 pandemic prompted the scientific community to share timely evidence, also in the form of pre-printed papers, not peer reviewed yet. Purpose To develop an artificial intelligence system for the analysis of the scientific literature by leveraging on recent developments in the field of Argument Mining. Methodology Scientific quality criteria were borrowed from two selected Cochrane systematic reviews. Four independent reviewe…
Explaining population variation after the 2016 Central Italy earthquake using Call Data Records and Twitter
Informing DSGE Models Through Dynamic Factor Models
Structural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log‐linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE analysis by means of simulations. Using a standard DSGE model as the data generating process, we show t…
Common Components Structural VARs
Structural VAR models (SVAR) produce results that can vary dramatically with the choice of variables, because information is deficient. We argue that if the variables of interest belong to a High-Dimensional Factor Model and are replaced in the SVAR by their common components, the information issue finds a solution, provided that the number of common components is larger than the number of structural shocks, so that the SVAR is dynamically singul…
Economics (9 works) · Computer Science (7 works) · Mathematics (7 works) · Econometrics (6 works) · Monetary Policy and Economic Impact (5 works) · Statistics (5 works) · Complex Systems and Time Series Analysis (3 works) · Economic theories and models (3 works) · Epistemology (3 works) · Macroeconomics (3 works)