In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Which type of work do Italians perform? In this contribution we aim at detecting the anatomy of the Italian occupational structure by taking stock of a micro-level dataset registering the task content, the execution of procedures, the knowledge embedded in the work itself, called ICP (Indagine...

Which type of work do Italians perform? In this contribution we aim at detecting the anatomy of the Italian occupational structure by taking stock of a micro-level dataset registering the task content, the execution of procedures, the knowledge embedded in the work itself, called ICP (Indagine...

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...