VAR models with common cyclical features imply parsimonious univariate final equations, justifying the use of both time series aggregation, and homogenous panels with common factors and dynamic heterogeneity. However, conducting statistical inferences based on too restrictive models might be mis-leading.
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Volume (Year): 99 (2008) Issue (Month): 3 (June) Pages: 537-540 Download reference. The following formats are available: HTML
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Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2007.
"Macro-panels and Reality,"
Research Memoranda
009, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
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