Cointegration and aggregation
AbstractThis 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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Bibliographic InfoArticle provided by Elsevier in its journal Ricerche Economiche.
Volume (Year): 47 (1993)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/inca/622941
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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- Giovanni Urga & Lorenzo Trapani, 2004.
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- Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
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- 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,"
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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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