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 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....

Economic theory typically assumes the existence of few unobserved unpredictable stochastic disturbances, called structural shocks, driving the whole economy. Would the economy be representable as a very high dimensional stochastic vector process, those shocks would be the reduced rank innovation...