PUBLICATIONS

Main publications

M. Franchi, I. Georgiev, P. Paruolo (2023). Estimating the number of common trends in large T and N factor models via canonical correlations analysis. Forthcoming in Econometrics and Statistics.

M. Franchi (2022) Resolvent and logarithmic residues of a singular operator pencil in Hilbert spaces. Linear Algebra and its Applications, 639, p. 243-281.

M. Franchi and Paruolo, P. (2021) Cointegration, Root Functions and Minimal Bases. Econometrics 9(3), 31.

M. Franchi (2020) Some results on eigenvalues of finite type, resolvents and Riesz projections. Linear Algebra and its Applications, 588, p. 238-271.

M. Franchi and Paruolo, P. (2020). Cointegration in functional autoregressive processes, Econometric Theory, 36, p. 803-839.  Co-winning article for “The Tjalling C. Koopmans Econometric Theory Prize” 2018-2020.

M. Franchi and Paruolo, P. (2019). A general inversion theorem for cointegration, Econometric Reviews, 38, p. 1176-1201.

M. Franchi (2018). Testing for cointegration in I(1) state space systems via a finite order approximation, Economics Letters, 165, p.73-76.

M. Franchi and Johansen, S. (2017). Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles, Econometrics, 5(2), 25.

M. Franchi and Paruolo, P. (2016). Inverting a matrix function around a singularity via local rank factorization. SIAM Journal on Matrix Analysis and Applications, 37, p.774-797.

M. Franchi and Paruolo, P. (2015). Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation. Computational Economics, 46, p.613-626.

M. Franchi and Vidotto, A. (2013) A check for finite order VAR representations of DSGE models. Economics Letters 120, p.100-103.

M. Franchi and Paruolo, P. (2011) Inversion of regular analytic matrix functions: local Smith form and subspace duality. Linear Algebra and its Applications 435, p.2896-2912.

M. Franchi and Ordonez, J. (2011) Multiple equilibria in Spanish unemployment. Structural Change and Economic Dynamics 22, p.71-80.

M. Franchi and Paruolo, P. (2011) A characterization of vector autoregressive processes with common cyclical features. Journal of Econometrics 163, p.105-117.

M. Franchi (2010) A representation theory for polynomial cofractionality in vector autoregressive models. Econometric Theory 26, p.1201-1217.

M. Franchi and Ordonez, J. (2008) Common smooth transition trend-stationarity in European unemployment. Economics Letters 101, p.106-109.

K. Juselius and Franchi, M. (2007) Taking a DSGE model to the data meaningfully. Economics E-Journal, vol.1.

M. Franchi (2007) The integration order of vector autoregressive processes. Econometric Theory 23, p.546-553.

Work in progress

A. Albrecht, K. Avrachenkov, B. Beare, J. Boland, M. Franchi, P. Howlett (2021) The resolution and representation of time series in Banach space. arXiv:2105.14393v2 [math.FA]