Unit root in output, an exceptional 2% rate of convergence, and no change in the underlying dynamics of output seems to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...

Unit roots in output, an exponential 2 per cent rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate...

Asset returns have a very complicated dynamic pattern. Yet they display regularity across different assets and periods. We consider a new family of volatility models which account for such patterns, focussing in particular on the long memory nature of asset returns volatility. We propose an...

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...

For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator and the Lagrange multiplier test. Both the case of estimation of martingale difference and ARMA levels are considered. A Montecarlo exercise is presented to assess the small...

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...