In recent years, in Italy, the analysis of economic disparities at a regional level received much attention. In spite of this, improvements in quantitative analyses have not been adequately supported by new data releases. Adopting a procedure firstly developed by Di Fonzo [21], Italian main...

Monte Carlo simulation methods are used to generate independent series with short memory in volatility. Partial sums of there short memory series are formed and the volatilities of these partial sums are tested for long memory. Aggregating series with short memory valatilities results in indices...

Using Markov Chain Monte Carlo algorithms within the limited information Bayesian framework, we estimate the parameters of the structural equation of interest and test weak exogeneity in a simultaneous equation model with white noise as well as autocorrelated error terms. A numerical example and...

This paper addresses the question of whether R&D should be carried out by an independent research unit to be produced in-house by the firm marketing the innovation.

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis.

Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...

The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with classical econometric models. To this end we show the links between the techniques of structural and VAR model building on the one hand, and the...

Graph-theoretic methods of causal search based in the ideas of Pearl (2000), Spirtes, Glymour, and Scheines (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal...

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...