Research Interests for Barbara Rossi

Professor Rossi focuses her research within the fields of time series econometrics, applied international finance, and macroeconometrics. Her work focuses on forecasting and macroeconometrics. For her work in 2008 on, “New methods for forecasting and model evaluation,” she received funding from an SAS Grant, and in 2007-2009, to study “Model selection and forecasting in unstable environments”, was awarded funding by the National Science Foundation. She has also received funding in the past from the Arts & Sciences Committee on Faculty Research at Duke University, the Trent Foundation, and The Office of International Affairs and the Center for European Studies’ Conference Organization Grant. Her most recent writings include, “Detecting and Predicting Forecast Breakdowns” with R. Giacomini, “Testing for Weak Identification in Possibly Nonlinear Models” with A. Inoue, “Can Exchange Rates Forecast Commodity Prices” with Y. Chen and K. Rogoff, and “Identifying the Sources of Instabilities in Macroeconomic Fluctuations”, with A. Inoue. Professor Rossi has published her research findings and ideas in a number of prestigious academic journals, including the Review of Economic Studies, the Journal of Applied Econometrics, the International Economic Review, Econometric Theory, and the Journal of Business and Economic Statistics.

Keywords:

farecasting, time series econometrics, empirical applications , macroeconometrics, international finance

Areas of Interest:

Time Series Econometrics
Forecasting and Forecast Evaluation
Model selection and evaluation
Macroeconometrics
Applied International Macroeconomics and Finance

Representative Publications   (search)

1. R. Giacomini and B. Rossi, Detecting and Predicting Forecast Breakdown, Review of Economic Studies (2009)
2. B. Rossi and R. Giacomini, Forecast Comparisons in Unstable Environments, Journal of Applied Econometrics (2009)
3. B. Rossi, Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle, International Economic Review, vol. 46(1) (February, 2005), pp. 61-92
4. B. Rossi, Confidence Intervals for Half-Life Deviations from Purchasing Power Parity, Journal of Business and Economic Statistics, vol. 23(4) (October, 2005)
5. A. Inoue and B. Rossi, Identifying the Sources of Instabilities in Macroeconomic Fluctuations, Duke University Working Paper 2008-02 (Submitted, 2008)
6. A. Hall, A. Inoue, J. Nason, B. Rossi, Information Criteria for Impulse Response Function Matching Estimation of DSGE Models, Duke University Working Paper 2007-04 (Submitted, 2007)
7. B. Rossi, A. Inoue, Testing for Weak Identification in Possibly Nonlinear Models (Submitted, 2008)
8. B. Rossi and T. Sekhoposyan, Has Models’ Forecasting Performance Changed Over Time, and When?, International Journal of Forecasting (2009)
9. B. Rossi, Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability, Macroeconomic Dynamics, vol. 10(1) (February, 2006)
10. B. Rossi, "Optimal Tests for Nested Model Selection with Underlying Parameter Instability", Econometric Theory, vol. 21(5) (October, 2005)
11. E. Pesavento and B. Rossi, Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure, Macroeconomic Dynamics, vol. 9(4) (September, 2005)
12. E. Pesavento and B. Rossi, Small Sample Confidence Bands for Multivariate Impulse Response Functions, Journal of Applied Econometrics, vol. 21(8) (December, 2006)
13. A. Inoue and B. Rossi, Monitoring and Forecasting Financial Crises, Journal of Money, Credit and Banking (forthcoming, 2007)
14. E. Pesavento and B. Rossi, Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?, Journal of Economic Dynamics and Control, vol. 31 (2007)
15. B. Rossi, Expectations Hypotheses Tests at Long Horizons, Econometrics Journal, vol. 10 no. 3 (October 2007)
16. A. Inoue and B. Rossi, Recursive Predictability Tests with Real-Time Data, Journal of Business and Economic Statistics, vol. 23(4) (October, 2005)
17. M. Marcellino and B. Rossi, Model Selection for Nested and Overlapping Non-Linear Dynamic and Possibly Misspecified Models, Oxford Bulletin of Economics and Statistics 70(s1) (2008)
18. B. Rossi and S. Zubairy, What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations? (Submitted, 2009)