In this paper we develop full information methods for estimating the parameters of a system of simultaneous equations with error component structure and establish relationships between the various structural estimators

The interdependence of financial markets combined with their volatility make the multivariate GARCH model a suitable econometric framework for analysing their behaviour. However, the non-availability of analytical derivatives in a general context and the computational heaviness resulting from a...

This paper is a general reflection on the major challenges facing econometrics in the future, not only in terms of research directions but also with respect to the method of teaching the science and its value for the society as a whole

This paper examines general variance-covariance structures for the specific effects and the overall error term in a two- way random effects (RE) model. So far panel data literature has only considered these general structures in a one-way model and followed the approach of a Cholesky-type...

This paper proposes a measure of multidimensional inequality of opportunity - the Kullback Leibler divergence index, based on the opportunity equality definition of Roemer (1993, 1998, 2016). We prove theoretically and numerically that this measure satisfies a larger set of properties mainly the...

The aim of this paper is to understand the impact of growth on poverty reduction in a right-skewed income distribution setting. Ex- isting literature focuses on the effect of aggregate growth on the mean income of the poor by means of a regression of the latter on the for- mer. This, however,...

This paper is an empirical study on the work opportunities of people with disability using Italian data collected through a survey carried out by ISTAT in 2004. Our analysis is guided by the conceptual framework of the Capability Approach and investigates the role of conversion factors in the...

Summary This paper proposes a suitable theoretical framework for operationalizing the capability approach using the latent variable methodology. A structural equation model is specified to account for the unobservable and multidimensional aspects characterizing the concept of human development...

Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a major hurdle, especially when these specifications are introduced in structural models. One such extension namely the simultaneous equations model (SEM) with GARCH errors was...