Roberto Mariano

Professor Emeritus of Economics

Roberto S. Mariano has been with the University of Pennsylvania faculty since 1971, at one point, serving as undergraduate chair in the Department of Economics. He is also Professor Emeritus at Singapore Management University where he served, from 2002-2010, as Founding Dean of the School of Economics, Vice Provost for Research, and Founding Director of the Sim Kee Boon Institute for Financial Economics. He is a Fellow of the Econometric Society and has served on the Executive Council of the Econometric Society, representing Southeast and South Asia. He has also served in the governing council of the International Association for Statistical Computing in the International Statistical Institute. His service on editorial boards of academic journals in economics and statistics include the Journal of the American Statistical Association, International Economic Review, and Econometric Theory.

With a focus on econometric methods and applications, he has been a consultant to multinational institutions, central banks, government agencies, and private companies in Asia and the United States, with a focus on econometric methodology and applications. In the Philippines, he has consulted with Bangko Sentral ng Pilipinas (BSP), Philippine Institute for Development Studies (PIDS) and National Economic and Development Authority (NEDA) to develop econometric models for macroeconomic/financial forecasting and policy analysis and to train in-house staff in applied econometric methodology. Through these consultancies, he helped develop many of the econometric models now in use as planning/forecasting tools in these institutions. He serves currently on BSP’s Research Experts Panel, an international advisory body for the institutional research program of BSP.

He has served as principal investigator in research projects funded by major institutions including the United Nations Development Programme, US National Science Foundation, Rockefeller Foundation, and Asian Development Bank.

He has published journal articles and books on econometric methodology, covering topics such as analytical finite-sample econometrics, macroeconometric modeling, nonlinear econometric models, Asian capital market development, crisis prediction modelling, dynamic factor time-series models, and forecast evaluation tests.

His paper with F.X. Diebold, “Comparing Predictive Accuracy,” which introduces the Diebold-Mariano test for equal forecast accuracy, ranks high in the list of most cited papers in economics. This test has become one of the standard statistical procedures used in studies in economics, as well as in many other disciplines, where competing forecasting methods are being assessed for accuracy.

He is currently working in the area of mixed-frequency forecasting and nowcasting as well as contemporary econometric modelling issues for policy making in the Philippines.

Selected Publications

Selected Papers and Publications (2000 – 2020)

  • “Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Methods” (with Suleyman Ozmucur). Presented at the 40th Annual Meeting (Online) of the Philippine American Academy of Science and Engineering (PAASE), July-August 2020
  • “High-Mixed Frequency Forecasting Methods in R – with Applications to Philippine GDP and Inflation” (with Suleyman Ozmucur), in Handbook of Statistics, Vol 42 – Financial, Macro and Micro Econometrics Using R (edited by H. Vinod and C. R. Rao), pp. 185 - 227. Elsevier North Holland. Amsterdam, 2020.
  • “Potential Output and Output Gap Estimation Models for the Philippines” (with Suleyman Ozmucur, Veronica B. Bayangos, Faith Christian Q. Cacnio, and Marites B. Oliva). The Philippine Review of Economics Vol LVI 2020 pp
  • “High-Mixed-Frequency Forecasting Models for GDP and Inflation” (with Suleyman Ozmucur), in Global Economic Modeling, A Volume in Honor of Lawrence R. Klein (edited by Peter Pauly), chapter 1, pp. 2-29 -. World Scientific Publishing Co, Pte. Ltd., 2018
  • “High-Mixed-Frequency Dynamic Latent Factor Forecasting Models for GDP in the Philippines” (with Suleyman Ozmucur) Journal of Applied Economic Studies (Estudios de Economia Aplicada) Vol 33-2 (2015), 451-462
  • Recent Advances in Nonstationary Time Series Analysis: (co-edited with Zhijie Xiao and Jun Yu) Journal of Econometrics Vol 169 Issue 2. 2012
  • Recent Advances in Panel, Nonlinear, and Nonparametric Models (co-edited with Zhijie Xiao and Jun Yu) Journal of Econometrics Vol 169 Issue 1. 2012
  • “Statistical Tests for Multiple Forecast Comparison” (with Daniel Preve) Journal of Econometrics 169 Issue 1 (2012), 123 – 130
  • “Monetary Policy Cooperation to Support Asian Economic Integration” (with Chow Hwee Kwan, Peter Kriz and Augustine H H Tan) Singapore Economic Review 22 (2010), 83-101
  • “A Coincident Index, Common Factors, and Monthly Real GDP” (with Yasutomo Murasawa), Oxford Bulletin of Economics and Statistics 72 (2010), 27-46
  • “Misaligned Incentives and Mortgage Lending in Asia” (with Richard Green, Andrey Pavlov and Susan Wachter). Chapter 3 in Financial Sector Development in the Pacific Rim – NBER-EASE Vol 18, pp. 95 – 111 (T. Ito and A. K. Rose, eds) – University of Chicago Press, 2009
  • “Markov Switching GARCH Models of Currency Turmoil in Southeast Asia” (with Celso Brunetti, Chiara Scotti and Augustine Tan). Emerging Markets Review 2008.
  • Econometric Forecasting and High-Frequency Data Analysis (co-edited with Yiu Kuen Tse). Institute for Mathematical Sciences (National University of Singapore) Volume 13, World Scientific Publishing, Singapore, 2008
  • Toward Greater Financial Stability in the Asian Region: Measures for Possible Use of Regional Monetary Units for Surveillance and Transaction (with Chow Hwee Kwan, Peter Kriz, and Augustine H. H. Tan). Final Report submitted to ASEAN+3 Research Group, 2008
  • “Biography of Lawrence R. Klein” in The New Palgrave Dictionary of Economics, 2nd edition. Macmillan, 2008
  • Toward Greater Financial Stability in the Asian Region: Exploring Steps to Create Regional Monetary Units (with Chow Hwee Kwan, Peter Kriz and Augustine Tan). 2007
  • “External Debt, Adjustment and Growth” (with Delano Villanueva). Chapter 6 in Fiscal Policy and Management in East Asia - NBER-EASE Volume 16 (Takatoshi Ito and Andrew Rose, eds.), 199 – 221. University of Chicago Press, 2007
  • “Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence” (with P. Christoffersen, F. Diebold, A. Tay, and Y.K. Tse). Journal of Financial Forecasting 1 (Fall 2007), 3-24
  • “Open versus Sealed Bid Auctions: Testing for Revenue Equivalence under Singapore’s Vehicle Quota System” (with Winston Koh and Yiu Kuen Tse), Applied Economics Vol 39 Issue 1 (2007), 125 – 134
  • “Monetary Policy Approaches and Implementation in Asia: The Philippines and Indonesia” (with Delano P. Villanueva). In Hong Kong Institute for Monetary Research (HKIMR) - BIS Volume on Monetary Policy in Asia: Approaches and Implementation, BIS Papers No. 31(December, 2006), 207-226
  • “Capital Controls, Financial Crises and Cures: Simulations with an Econometric Model for Malaysia” (with Lawrence Klein and Suleyman Ozmucur). In Recent Financial Crises: Analysis, Challenges and Implications (L.R.Klein & T. Shabbir, eds). Elgar: Cheltenham, 2006
  • Regional Coordination of Policy Measures Forward: Financial Market Liberalization and Capital Market Development. (with Chow Hwee Kwan, Peter N. Kriz, and Augustine H. H. Tan). 2006
  • Trade, Investment, and Financial Integration in East Asia (with Hwee Kwan Chow, Peter Kriz, and Augustine Tan). 2005
  • The Economic Prospects of Singapore, (co-edited with Winston T. H. Koh). Addison Wesley; Singapore, 2005
  • “Bank Lending and Real Estate in Asia: Market Optimism and Asset Bubble,” (with Winston T. H. Koh, Andrey Pavlov, S.Y. Phang, Augustine H. H. Tan and Susan Wachter), Journal of Asian Economics 15 (2005), 1103 -1118
  • “Prediction of currency crises: case of Turkey” (with Bulent N. Gultekin, Suleyman Ozmucur, Tayyeb Shabbir, and C. Empre Alper) Review of Middle East Economics and Finance Vol 2 (2004), pp. 87-107
  • “A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series,” (with Yasutomo Murasawa), Journal of Applied Econometrics 18 (2003), 427 - 443
  • “Markov Chains in Predictive Models of Currency Crises – With Applications to Southeast Asia”. (with Abdul Abiad, Bulent Gultekin, Tayyeb Shabbir and Augustine H. H. Tan), Taiwan Economic Review 31 (2003), 401 - 436
  • Investment Management and the Philippine Stock Market, Second Edition (co-edited with A. Ilano and R. Ybanez). Manila, Philippines, 2003
  • “Testing Forecast Accuracy.” Chapter 13 in Companion to Economic Forecasting (D. Hendry and M. Clements, eds.), 284-298. Blackwell Publishers, Ltd, 2002
  • A Structural Long-Term Inflation Forecasting Model of the Philippines. 2002
  • Macroeconometric Model of Malaysia for Monetary and Fiscal Policy (with Lawrence R. Klein and Suleyman Ozmucur). 2001
  • A Macroeconometric Model of Singapore – with Special Attention to Manpower Requirements and Potential (with Lawrence R. Klein and Suleyman Ozmucur). 2001
  • “Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications.” Chapter 6 in Companion to Theoretical Econometrics (edited by B. Baltagi),122 – 143. Blackwell Publishers Ltd., 2001
  • Simulation-Based Inference in Econometrics: Methods and Applications (co-edited with Til Schuermann and Melvyn Weeks). Cambridge University Press, 2000
  • “Simulation-Based Inference in Nonlinear State-Space Models: Application to Testing the Permanent Income Hypothesis,” (with H. Tanizaki). In Simulation-Based Inference in Econometrics: Methods and Applications (edited by R. S. Mariano, T. Schuermann, and M. Weeks), 218-234. Cambridge University Press, 2000
  • “Predictive Models of Economic and Financial Crises” (with B. Gultekin, S. Ozmucur, and T. Shabbir). MEEA (Middle East Economic Association) Electronic Journal, Vol 2 (2000).