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Raffaella Giacomini

Raffaella Giacomini

Research fellow

Raffaella Giacomini came to UCL from a position at UCLA in summer 2007. Her recent research focuses on: Predictive Ability Testing, Forecast Evaluation, Forecasting in a Changing Economy, Model Selection, Density and Quantile Forecasting.

Academic outputs

Cemmap Working Paper CWP61/18
This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting a multiple-prior (robust) Bayesian approach.
Journal article | Journal of Econometrics
We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions.

Reports and comment

External publication
We propose a method for modifying a given density forecast in a way that incorporates the information contained in theory-based moment conditions.

Presentations