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Cointegration and aggregation

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  • Gonzalo, Jesus

Abstract

This paper explores the conditions under which cointegration at the micro level implies cointegration at the macro level and vice versa. The aggregation conditions considered in this paper are in terms of common factors assumptions rather than the representative agent assumption, thereby allowing for a certain kind of heterogeneity among agents.

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File URL: http://www.sciencedirect.com/science/article/B6WWV-4DBJ9VW-V/2/55612c400ca30042f59aaed987dde539
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Bibliographic Info

Article provided by Elsevier in its journal Ricerche Economiche.

Volume (Year): 47 (1993)
Issue (Month): 3 (September)
Pages: 281-291

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Handle: RePEc:eee:riceco:v:47:y:1993:i:3:p:281-291

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Web page: http://www.elsevier.com/locate/inca/622941

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Cited by:
  1. Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004 74, Royal Economic Society.
  2. K. Hubrich, 2001. "Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance," WO Research Memoranda (discontinued) 661, Netherlands Central Bank, Research Department.
  3. Seung, Chang K., 2008. "Estimating Dynamic Impacts of the Seafood Industry in Alaska," Marine Resource Economics, Marine Resources Foundation, vol. 23(1).
  4. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  5. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  6. Marcellino, Massimiliano, 2000. "Linear aggregation with common trends and cycles," Research in Economics, Elsevier, vol. 54(2), pages 117-131, June.
  7. Keller, Wolfgang & Shiue, Carol Hua, 2004. "Markets in China and Europe on the Eve of the Industrial Revolution," CEPR Discussion Papers 4420, C.E.P.R. Discussion Papers.
  8. Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
  9. Terry Barker & Sebastian de-Ramon, 2006. "Testing the representative agent assumption: the distribution of parameters in a large-scale model of the EU 1972-1998," Applied Economics Letters, Taylor and Francis Journals, vol. 13(6), pages 395-398.

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