Cointegration and aggregation
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.(This abstract was borrowed from another version of this item.)
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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
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622941
Related research
Keywords:Other versions of this item:
- Gonzalo, J., 1992. "Cointegration and Aggregation," Papers 11, Boston University - Department of Economics.
- Gonzalo, Jesús, . "Cointegration and aggregation," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/740, Universidad Carlos III de Madrid.
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Giovanni Urga & Lorenzo Trapani, 2004.
"Cointegration Versus Spurious Regression In Heterogeneous Panels,"
Royal Economic Society Annual Conference 2004
74, Royal Economic Society.
- Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
- K. Hubrich, 2001. "Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance," WO Research Memoranda (discontinued) 661, Netherlands Central Bank, Research Department.
- Seung, Chang K., 2008. "Estimating Dynamic Impacts of the Seafood Industry in Alaska," Marine Resource Economics, Marine Resources Foundation, vol. 23(1).
- Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
- Trapani, Lorenzo & Urga, Giovanni, 2010.
"Micro versus macro cointegration in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 155(1), pages 1-18, March.
- Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Economics and Technology Management, University of Bergamo.
- Marcellino, Massimiliano, 2000.
"Linear aggregation with common trends and cycles,"
Research in Economics,
Elsevier, vol. 54(2), pages 117-131, June.
- Massimiliano Marcellino, . "Linear Aggregation with Common Trends and Cycles," Working Papers 160, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- Carol H. Shiue & Wolfgang Keller, 2007. "Markets in China and Europe on the Eve of the Industrial Revolution," American Economic Review, American Economic Association, vol. 97(4), pages 1189-1216, September.
- Carol H. Shiue & Wolfgang Keller, 2004. "Markets in China and Europe on the Eve of the Industrial Revolution," NBER Working Papers 10778, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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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