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		Publications

	ARTICLES IN JOURNALS (click on the title to view paper from publisher)
	General spatio-temporal factor models for high-dimensional random fields on a lattice M. Barigozzi, D. La Vecchia, H. Liu The Annals of Statistics 2024 forthcoming. Factoring in the micro: a transaction-Level dynamic factor approach to the decomposition of export volatility M. Barigozzi, A. Cuzzola, M. Grazzi, D. Moschella Oxford Bulletin of Economics and Statistics 2024 available online. FNETS: factor-adjusted network estimation and forecasting for high-dimensional time series M. Barigozzi, H. Cho, D. Owens Journal of Business & Economic Statistics 2024 42(3), 890-902. Codes. Extended version on arXiv. Inferential theory for generalized dynamic factor models M. Barigozzi, M. Hallin, M. Luciani, P. Zaffaroni Journal of Econometrics 2024 239(2), 105422. Inference in heavy-tailed non-stationary multivariate time series M. Barigozzi, G. Cavaliere, L. Trapani Journal of the American Statistical Association 2024 119(545), 565-581. An algebraic estimator for large spectral density matrices M. Barigozzi, M. Farnè Journal of the American Statistical Association 2024 119(545), 498-510. Codes. fnets: an R package for network estimation and forecasting via factor-adjusted VAR modelling D. Owens, H. Cho, M. Barigozzi The R Journal 2023 15(3), 214-239. Codes. Measuring the output gap using large datasets M. Barigozzi, M. Luciani The Review of Economics and Statistics 2023 105(6), 1500-1514. Codes. Testing for common trends in non-stationary large datasets [Old title: Determining the dimension of factor structures in non-stationary large datasets] M. Barigozzi, L. Trapani Journal of Business & Economic Statistics 2022 40(3), 1107-1122. Codes. Time-varying general dynamic factor models and the measurement of financial connectedness M. Barigozzi, M. Hallin, S. Soccorsi, R. von Sachs Journal of Econometrics 2021 222(1B), 324-343. Codes. Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors [Old title: Non-stationary dynamic factor models for large datasets] M. Barigozzi, M. Lippi, M. Luciani Journal of Econometrics 2021 221(2), 455-482. Codes. Consistent estimation of high-dimensional factor models when the factor number is over-estimated M. Barigozzi, H. Cho Electronic Journal of Statistics 2020 14(2), 2892-2921. Sequential testing for structural stability in approximate factor models M. Barigozzi, L. Trapani Stochastic Processes and their Applications 2020 130(8), 5149-5187. Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals M. Barigozzi, M. Hallin Journal of Econometrics 2020 216(1), 4-34. Cointegration and error correction mechanisms for singular stochastic vectors M. Barigozzi, M. Lippi, M. Luciani Econometrics 2020 8(3), 1-23. NETS: network estimation for time series M. Barigozzi, C. Brownlees Journal of Applied Econometrics 2019 34(3), 347-364. Codes. Identification of global and local shocks in international financial markets via general dynamic factor models M. Barigozzi, M. Hallin, S. Soccorsi Journal of Financial Econometrics 2019 17(3), 462-494. Codes. Intellectual property rights, imitation, and development. The effect on cross-border mergers and acquisitions M. Campi, M. Dueñas, M. Barigozzi, G. Fagiolo The Journal of International Trade & Economic Development 2019 28(2), 230-256. Power-law partial correlation network models M. Barigozzi, C. Brownlees, G. Lugosi Electronic Journal of Statistics 2018 12(2), 2905-2929. Simultaneous multiple change-point and factor analysis for high-dimensional time series M. Barigozzi, H. Cho, P. Fryzlewicz Journal of Econometrics 2018 206(1), 187-225. Codes. On the stability of euro area money demand and its implications for monetary policy M. Barigozzi, A. Conti Oxford Bulletin of Economics and Statistics 2018 80(4), 755-787. Spatio-temporal patterns of the international merger and acquisition network M. Dueñas, R. Mastrandrea, M. Barigozzi, G. Fagiolo Scientific Reports 2017 7, 10789. Generalized dynamic factor models and volatilities: Estimation and forecasting M. Barigozzi, M. Hallin Journal of Econometrics 2017 201(2), 307–321. A network analysis of the volatility of high-dimensional financial series M. Barigozzi, M. Hallin Journal of the Royal Statistical Society - series C 2017 66(3), 581–605. Codes. Identifying the independent sources of consumption variation M. Barigozzi, A. Moneta Journal of Applied Econometrics 2016 31(2), 420–449. Generalized dynamic factor models and volatilities: Recovering the market volatility shocks M. Barigozzi, M. Hallin The Econometrics Journal 2016 19(1), C33–C60. Codes. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures M. Barigozzi, C. Brownlees, G. Gallo, D. Veredas Journal of Econometrics 2014 182(2), 364–384. Extended version on ssrn. Do euro area countries respond asymmetrically to the common monetary policy? M. Barigozzi, A. Conti, M. Luciani Oxford Bulletin of Economics and Statistics 2014 76(5), 693–714. Codes. The common component of firm growth L. Alessi, M. Barigozzi, M. Capasso Structural Change and Economic Dynamics 2013 26, 73–82. The distribution of household consumption-expenditure budget shares M. Barigozzi, L. Alessi, M. Capasso, G. Fagiolo Structural Change and Economic Dynamics 2012 23, 69–91. Identifying the community structure of the international trade multi network M. Barigozzi, G. Fagiolo, G. Mangioni Physica A 2011 390(11), 2051–2066. Non–fundamentalness in structural econometric models: A review L. Alessi, M. Barigozzi, M. Capasso International Statistical Review 2011 79(1), 16–47. Immigrant's legal status, permanence in the destination country, and the distribution of consumption expenditure M. Barigozzi, B. Speciale Applied Economics Letters 2011 18(14), 1341–1347. Improved penalization for determining the number of factors in approximate static factor models L. Alessi, M. Barigozzi, M. Capasso Statistics and Probability Letters 2010 80(23-24), 1806–1813. Codes. The multi–network of international trade: a commodity–specific analysis M. Barigozzi, G. Fagiolo, D. Garlaschelli Physical Review E 2010 81, 046104. On the distributional properties of household consumption expenditures. The case of Italy G. Fagiolo, L. Alessi, M. Barigozzi, M. Capasso Empirical Economics 2010 38, 717–741. On approximating the distributions of goodness–of–fit test statistics based on the empirical distribution function. The case of unknown parameters M. Capasso, L. Alessi, M. Barigozzi, G. Fagiolo Advances in Complex Systems 2009 12(2), 157–167.

	CHAPTERS (click on the title to view paper from publisher)
	Quasi maximum likelihood estimation of high-dimensional factor models M. Barigozzi in Oxford Encyclopedia of Economics and Finance, Oxford University Press 2024 Working paper version arXiv:2307.09864.v5 Dynamic factor models: a genealogy M. Barigozzi, M. Hallin in Partial Identification in Econometrics and Related Topics. Studies in Systems, Decision and Control, Springer 2024 Working paper version arXiv:2310.17278.v2

	EDITED VOLUMES (click on the title to view table of contents)
	Recent Advances in Econometrics and Statistics - Festschrift in Honour of Marc Hallin M. Barigozzi, D. Paindavaine, S. Hörmann 2024 Springer. Time Series in High Dimensions. The General Dynamic Factor Model M. Hallin, M. Lippi, M. Barigozzi, M. Forni, P. Zaffaroni 2020 World Scientific Publishing.