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This paper considers the distribution of consumption expenditures for a large sample of documented and undocumented immigrants in Italy. Using the one-sided and two-sided Kolmogorov-Smirnov tests, we show that the distribution of consumption of immigrants with higher permanence in the host...
Persistent link: https://www.econbiz.de/10005036778
We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. We call the model Dynamic Factor GARCH, as the information contained in large macroeconomic or financial datasets is captured by a few dynamic common factors, which we assume being...
Persistent link: https://www.econbiz.de/10005611914
The asymptotic efficiency of the indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. Up to date, this choice is somehow ad hoc and based on an educated guess of the researcher. In this article we develop three...
Persistent link: https://www.econbiz.de/10009416964
We modify the criterion by Bai and Ng (2002) for determining the number of factors in approximate factor models. As in the original criterion, for any given number of factors we estimate the common and idiosyncratic components of the model by applying principal component analysis. We select the...
Persistent link: https://www.econbiz.de/10008568324
We adopt a time-varying cointegration test to discriminate among different empirical studies claiming to find a stable Euro Area money demand equation. A time invariant relation explaining real balances is rejected by data, even when accounting for housing, financial and labour markets....
Persistent link: https://www.econbiz.de/10008568325