This note discusses some problems possibly arising when approximating via MonteCarlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate 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,...

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...

The asymptotic efficiency of indirect estimation methods, such as Indirect Inference and the Efficient Method of Moments, depends on the choice of the auxiliary model, which is some- how ad hoc and based on an educated guess. We introduce a consistent simulation based Akaike-type class of...

Realized volatilities observed across several assets show a common secular trend and some idiosyncratic pattern which we accommodate by extending the class of Multiplicative Error Models (MEMs). In our model, the common trend is estimated nonparametrically, while the idiosyncratic dynamics are...

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. We...