Marco Lippi



Fellow, Einaudi Institute for Economics and Finance


University of Rome "La  Sapienza", BA, 1965


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Research Interests

Prediction of macroeconomic aggregates. Large-dimensional factor models. Structural VAR analysis. Aggregation in macroeconomics. Stochastic processes and time series.

Selected Publications

"Dynamic factor model with infinite-dimensional factor space: Forecasting", (with M. Forni, A. Giovannelli and S. Soccorsi), Journal of Applied Econometrics, 2018, Volume 33, Issue 5, pages 625-642.

“Noisy News in Business Cycles”, (with M. Forni, L. Gambetti and L. Sala), American Economic Journal: Macroeconomics, 2017, Volume 9, Issue 4, pages 122-152.

“Noise Bubbles”, (with M. Forni, L. Gambetti and L. Sala), Economic Journal, 2017, Volume 127, Issue 604, pages 1940-1976. 

“Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis”, (with M. Forni, M. Hallin and P. Zaffaroni), Journal of Econometrics, 2017, Volume 199, Issue 1, pages 74-92.

“Dynamic Factor Models with Infinite-Dimensional Factor Spaces: One-Sided Representations”, (with M. Forni, M. Hallin and P. Zaffaroni), Journal of Econometrics, 2015, Volume 185, Issue 2, pages 359-371.

“Clarifying the roles of greenhouse gases and ENSO in recent global warming through their prediction performance”, (with A. Attanasio, A. Giovanelli, A. Pasini and U. Triacca), Journal of Climate, 2014, Volume 27, issue 20, pages 7903-7910.

“Factor Models in high-dimensional time series. A time-domain approach”, (with M. Hallin), Stochastic Processes and their Applications, 2013, Volume 123, Issue 7, pages 2678-2695.

“The general dynamic factor model: One-sided representation results”, (with M. Forni), Journal of Econometrics, 2011, Volume 163, Issue 1, pages 23-28.

“New Eurocoin: Tracking Economic Growth in Real Time” (with F. Altissimo, R. Cristadoro, M. Forni, and G. Veronese), Review of Economics and Statistics, 2010, Volume 92, Issue 4, pages 1024-1034.

“Opening the Black Box: Structural Factor Models with Large Cross-Sections” (with M. Forni, D. Giannone and L. Reichlin),  Econometric Theory, 2009, Volume 25, Issue 5, pages 1319-1347.

“The Generalized Dynamic Factor Model: Consistency and Rates”, (with M. Forni, M. Hallin and L. Reichlin), Journal of Econometrics, 2004, Volume 119, Issue 2, pages 307-325.

“Do financial variables Help Forecasting Inflation and real Activity in the EURO area?”, (with M. Forni, M.Hallin and L. Reichlin), Journal of Monetary Economics, 2003, Volume 50, Isuue 6, pages 1243-1256.

“The Generalized Dynamic Factor Model: Representation Theory” (with M. Forni), Econometric Theory, 2001, Volume 17, Issue 6, pages 1113-1141.

“The Generalized Dynamic Factor Model: Identification and Estimation” (with M. Forni, M. Hallin and L. Reichlin), Review of Economics and Statistics, 2000, Volume 82, Issue 4, pages 540-554.

“Aggregation and the Microfoundations of Dynamic Macroeconomics” (with M. Forni), Oxford University Press, 1997.


Phone: +39.06.4792.4388
Fax: +39.06.4792.4872
E-mail: marco.lippi[at]

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