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Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation

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  • Hashem Pesaran, M.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 20 (2003)
Issue (Month): 2 (March)
Pages: 383-415

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Handle: RePEc:eee:ecmode:v:20:y:2003:i:2:p:383-415

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Web page: http://www.elsevier.com/locate/inca/30411

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References

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  1. Stoker, Thomas M, 1984. "Completeness, Distribution Restrictions, and the Form of Aggregate Functions," Econometrica, Econometric Society, vol. 52(4), pages 887-907, July.
  2. Trivedi, Pravin K, 1985. "Distributed Lags, Aggregation, and Compounding: Some Econometric Implications," Review of Economic Studies, Wiley Blackwell, vol. 52(1), pages 19-35, January.
  3. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
  4. Lippi, Marco, 1988. "On the dynamic shape of aggregated error correction models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 561-585.
  5. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct.
  6. Stoker, Thomas M, 1993. "Empirical Approaches to the Problem of Aggregation Over Individuals," Journal of Economic Literature, American Economic Association, vol. 31(4), pages 1827-74, December.
  7. Christopher D. Carroll & David N. Weil, 1993. "Saving and growth: a reinterpretation," Working Paper Series / Economic Activity Section 140, Board of Governors of the Federal Reserve System (U.S.).
  8. Lewbel, Arthur, 1994. "Aggregation and Simple Dynamics," American Economic Review, American Economic Association, vol. 84(4), pages 905-18, September.
  9. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  10. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, vol. 95(2), pages 285-331, April.
  11. Jan Kmenta & James B. Ramsey, 1980. "Evaluation of Econometric Models," NBER Books, National Bureau of Economic Research, Inc, number kmen80-1, April.
  12. Rose, David E., 1977. "Forecasting aggregates of independent Arima processes," Journal of Econometrics, Elsevier, vol. 5(3), pages 323-345, May.
  13. Muellbauer, John, 1975. "Aggregation, Income Distribution and Consumer Demand," Review of Economic Studies, Wiley Blackwell, vol. 42(4), pages 525-43, October.
  14. Binder, Michael & Pesaran, M. Hashem, 2001. "Life-cycle consumption under social interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 35-83, January.
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Citations

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Cited by:
  1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Working Papers 05-44, Bank of Canada.
  2. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2003. "The Impact Of Data Aggregation On The Measurement Of Vertical Price Transmission: Evidence From German Food Prices," 2003 Annual meeting, July 27-30, Montreal, Canada 21987, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  3. Pesaran, M. Hashem & Chudik, Alexander, 2011. "Aggregation in Large Dynamic Panels," IZA Discussion Papers 5478, Institute for the Study of Labor (IZA).
  4. Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2004. "Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy," IEPR Working Papers 04.1, Institute of Economic Policy Research (IEPR).
  5. Francis Teal & Markus Eberhardt, 2010. "Aggregation versus Heterogeneity in Cross-Country Growth Empirics," Economics Series Working Papers CSAE WPS/2010-32, University of Oxford, Department of Economics.
  6. Paul Castillo & Diego Winkelried, 2007. "Dollarization Persistence and Individual Heterogeneity," Working Papers 2007-004, Banco Central de Reserva del Perú.
  7. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  8. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2006. "Data Aggregation and Vertical Price Transmission: An Experiment with German Food Prices," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25291, International Association of Agricultural Economists.
  9. Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006. "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 505-522.
  10. A. Talha Yalta & Hatice Cakar, 2012. "Energy Consumption and Economic Growth in China: A Reconciliation," Working Papers 1202, TOBB University of Economics and Technology, Department of Economics.
  11. Bilgili, Faik, 2006. "Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy," MPRA Paper 24086, University Library of Munich, Germany, revised 14 Jul 2010.
  12. Giacomo Sbrana, 2007. "Testing for Model Selection in Predicting Aggregate Variables," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 66(1), pages 3-28, March.
  13. Godfred A. Bokpin, 2010. "Financial market development and corporate financing: evidence from emerging market economies," Journal of Economic Studies, Emerald Group Publishing, vol. 37(1), pages 96-116, January.

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