We study the topological properties of the multinetwork of commodity-specific trade relations among world countries over the 1992-2003 period, comparing them with those of the aggregate-trade network, known in the literature as the international-trade network (ITN). We show that link-weight...

We review, under a historical perspective, the development of the problem of nonfundamentalness of Moving Average (MA) representations of economic models. Nonfundamentalness typically arises when agents’ information space is larger than the econometrician’s one. Therefore it is impossible...

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multi-plying the penalty function by a constant which tunes the penalizing power of the function itself as in the Hallin and Liška...

Estimating the response of hours worked to technology shocks is often considered as a crucial step for evaluating the applicability of macroeconomic models to reality. In particular, Galí [1999] has considered the conditional correlation between employment and productivity as a key tool for...

We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to study the dynamics of the rate of growth of output and investment. By using quarterly firm level data relative to hundreds of US firms for 20 years, we investigate the number and the features of the...

This note 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 -- and...

In this paper we explore the statistical properties of the distributions of consumption expenditures for a large sample of Italian households in the period 1989-2004. Goodness-of-fit tests show that household aggregate (and age-conditioned) consumption distributions are not log-normal. Rather,...

This paper explores the statistical properties of household consumption-expenditure budget shares distributions (HBSDs) – 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...

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...

We propose a new model for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM)and the GARCH model. The GDFM, applied to a huge number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....