Given a nonparametric regression model, we assume that the number of covariates $d\rightarrow\infty$ but only some of these covariates are relevant for the model. Our goal is to identify the relevant covariates and to obtain some information about the structure of the model. We propose a new...

Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under...

The sampling design strategies used for estimation of economic indicators in short-term statistics domain are heterogeneous depending on the characteristic the variable to be estimated and timeliness required for the indices. On the occasion of change of the base year for the turnover indices...

I describe algorithms for drawing from distributions using adaptive Markov chain Monte Carlo (MCMC) methods, introduce a Mata function for per- forming adaptive MCMC, amcmc(), and a suite of functions amcmc_*() allowing an implementation of adaptive MCMC using a structure. To ease use in...

The Italian National Institute of Statistics (Istat) has set up a survey on income and living conditions (It-Silc), mainly composed of a cross-sectional and a longitudinal component.This paper aims at proving, by a decomposition of Gini concentration index, also known as Analysis of Gini...

This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...

This paper discusses the methodological judgments made during the development of the Human Development Index (HDI), and analyzes the quantitative and qualitative impact of different methodological choices on the HDI scores, as well as on the associated changes in ranking. This analysis is...

This study uses Monte Carlo analysis to investigate the performances of five different meta-analysis (MA) estimators: the Fixed Effects (FE) estimator, the Weighted Least Squares (WLS) estimator, the Random Effects (RE) estimator, the Precision Effect Test (PET) estimator, and the Precision...