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Testing for Aggregation Bias in Linear Models

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  • Lee, Kevin C
  • Pesaran, M Hashem
  • Pierse, Richard G

Abstract

This paper discusses alternative methods of testing for aggregation bias and proposes direct tests of the discrepancy of the macroparameters from the average of the corresponding microparameters, and derives tests of aggregation bias in the general case where the parameters of interest may possibly be nonlinear functions of the microparameters. The paper also develops a Durbin-Hausman type misspecification test of the disaggregate model. These tests are then applied to disaggregate and aggregate specifications of employment functions for the U.K. economy disaggregated by forty industries. Copyright 1990 by Royal Economic Society.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 100 (1990)
Issue (Month): 400 (Supplement,)
Pages: 137-50

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Handle: RePEc:ecj:econjl:v:100:y:1990:i:400:p:137-50

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Cited by:
  1. Franz R. Hahn, 2003. "Long-run Homogeneity of Labour Demand. Panel Evidence from OECD Countries," WIFO Working Papers 199, WIFO.
  2. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
  3. Ali Jalili, 2005. "Impacts of Aggregation on Relative Performances of Nonsurvey Updating Techniques And Intertemporal Stability of Input–Output Coefficients," Economic Change and Restructuring, Springer, vol. 38(2), pages 147-165, June.
  4. Giancarlo Lutero & Marco Marini, 2010. "Direct vs Indirect Forecasts of Foreign Trade Unit Value Indices," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 12(2-3), pages 73-96, October.
  5. Branimir Jovanovic, 2013. "Aggregation Bias in Trade Elasticities: The Case of Macedonia," FIW Working Paper series 106, FIW.
  6. Wesche, Katrin, 1996. "Aggregation Bias in Estimating European Money Demand Functions," Discussion Paper Serie B 393, University of Bonn, Germany.
  7. Lee, Kevin, 1997. "Modelling economic growth in the UK: An econometric case for disaggregated sectoral analysis," Economic Modelling, Elsevier, vol. 14(3), pages 369-394, July.
  8. Kevin Lee, James Morley and Kalvinder Sheields, 2011. "The Meta Taylor Rule," Department of Economics - Working Papers Series 1131, The University of Melbourne.
  9. Ghose, Devajyoti, 1995. "Linear aggregation in cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1011-1032.
  10. Shumway, C. Richard & Davis, George C., 2001. "Does consistent aggregation really matter?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 45(2), June.
  11. Surajit Deb, 2002. "The Debate on Agriculture-Industry Terms of Trade in India," Working papers 109, Centre for Development Economics, Delhi School of Economics.
  12. Katrin Wesche, 1997. "The Stability of European Money Demand: An Investigation of M3H," Open Economies Review, Springer, vol. 8(4), pages 371-391, October.
  13. Bill Martin, 2009. "An Augmented UK Private Expenditure Function," ESRC Centre for Business Research - Working Papers wp384, ESRC Centre for Business Research.

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