In this article, we revise the estimation of the dose-response function described in Hirano and Imbens (2004, Applied Bayesian Modeling and Causal Inference from Incomplete-Data Perspectives, 73-84) by proposing a flexible way to estimate the generalized propensity score when the treatment variable is not necessarily normally distributed. We also provide a set of programs that accomplish this task. To do this, in the existing doseresponse program (Bia and Mattei, 2008, Stata Journal 8: 354-373), we substitute the maximum likelihood estimator in the first step of the computation with the more flexible generalized linear model.

Forecasting tourism demand has important implications for both policy makers and companies operating in the tourism industry. In this research, we applied methods and tools of social network and semantic analysis to study user-generated content retrieved from online communities which interacted on the TripAdvisor travel forum. We analyzed the forums of 7 major European capital cities, over a period of 10 years, collecting more than 2,660,000 posts, written by about 147,000 users. We present a new methodology of analysis of tourism-related big data and a set of variables which could be integrated into traditional forecasting models. We implemented Factor Augmented Autoregressive and Bridge models with social network and semantic variables which often lead to a better forecasting performance than univariate models and models based on Google Trend data. Forum language complexity and the centralization of the communication network -i.e. the presence of eminent contributors -were the variables that contributed more to the forecasting of international airport arrivals.

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and education use, including for instruction at the authors institution and sharing with colleagues. This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a body of empirical research suggesting that popular data-rich prediction methods perform best when N ranges from 20 to 40. In order to accomplish our goal, we resort to partial least squares and principal component regression to consistently estimate a stable dynamic regression model with many predictors as only the number of observations, T, diverges. We show both by simulations and empirical applications that the considered methods, especially partial least squares, compare well to models that are widely used in macroeconomic forecasting.

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We examine the conditions under which each individual series that is generated by a vector autoregressive model can be represented as an autoregressive model that is augmented with the lags of few linear combinations of all the variables in the system. We call this modelling Multivariate Index-Augmented Autoregression (MIAAR). We show that the parameters of the MIAAR can be estimated by a switching algorithm that increases the Gaussian likelihood at each iteration. Since maximum likelihood estimation may perform poorly when the number of parameters gets larger, we propose a regularized version of our algorithm to handle a medium-large number of time series. We illustrate the usefulness of the MIAAR modelling both by empirical applications and simulations.

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and education use, including for instruction at the authors institution and sharing with colleagues. This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a body of empirical research suggesting that popular data-rich prediction methods perform best when N ranges from 20 to 40. In order to accomplish our goal, we resort to partial least squares and principal component regression to consistently estimate a stable dynamic regression model with many predictors as only the number of observations, T, diverges. We show both by simulations and empirical applications that the considered methods, especially partial least squares, compare well to models that are widely used in macroeconomic forecasting.

This paper introduces a new model for detecting the presence of commonalities in a set of realized volatility measures. In particular, we propose a multivariate generalization of the heterogeneous autoregressive model (HAR) that is endowed with a common index structure. The vector heterogeneous autoregressive index model has the property of generating a common index that preserves the same temporal cascade structure as in the HAR model, a feature that is not shared by other aggregation methods (e.g., principal components). The parameters of this model can be estimated easily by a proper switching algorithm that increases the Gaussian likelihood at each step. We illustrate our approach using an empirical analysis that aims to combine several realized volatility measures of the same equity index for three different market

This paper presents a new forecasting approach straddling the conventional methods applied to the Italian industrial production index. Specifically, the proposed method treats factor models and bridge models as complementary ingredients feeding a unique model specification. We document that the proposed approach improves upon traditional bridge models by making efficient use of the information conveyed by a large amount of survey data on manufacturing activity. Different factor algorithms are compared and, under the provision that a large estimation window is used, partial least squares outperform principal component-based alternatives.