This paper explores the statistical properties of household consumption-expenditure budget shares distributions (HBSDs) – defined as the share of household total expenditure spent for purchasing a specific category of commodities – for a large sample of Italian households in the...

This paper discusses some problems possibly arising when approximating via Monte-Carlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown parameters on each simulated Monte-Carlo sample —...

This paper explores the statistical properties of house-hold consumption-expenditure budget share distributions —defined as the share of household total expenditure spent for purchasing a specific category of commodities— for a large sample of Italian households in the period 1989-2004. We...

This note discusses some problems possibly arising when approximating via Monte-Carlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown parameters on each simulated Monte-Carlo sample -- and...

In this paper we explore the statistical properties of the distributions of consumption expenditures for a large sample of Italian households in the period 1989-2004. Goodness-of-fit tests show that household aggregate (and age-conditioned) consumption distributions are not log-normal. Rather,...

This paper explores the statistical properties of household consumption-expenditure budget share distributions – defined as the share of household total expenditure spent for purchasing a specific category of commodities – for a large sample of Italian households in the period 1989–2004....

This paper explores the statistical properties of household consumption-expenditure budget shares distributions (HBSDs) ---defined as the share of household total expenditure spent for purchasing a specific category of commodities--- for a large sample of Italian households in the period...

We propose a new model for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM)and the GARCH model. The GDFM, applied to a huge number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....

We review, under a historical perspective, the developement of the problem of non- fundamentalness of Moving Average (MA) representations of economic models, starting from the work by Hansen and Sargent [1980]. Nonfundamentalness typically arises when agents' information space is larger than the...