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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Boston University - Department of Economics in its series Papers with number 11.
Length: 14 pages
Date of creation: 1992
Date of revision:
Other versions of this item:
- Gonzalo, Jesús, . "Cointegration and aggregation," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/740, Universidad Carlos III de Madrid.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- K. Hubrich, 2001. "Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance," WO Research Memoranda (discontinued) 661, Netherlands Central Bank, Research Department.
- Giovanni Urga & Lorenzo Trapani, 2004.
"Cointegration versus Spurious Regression in Heterogeneous Panels,"
Econometric Society 2004 North American Summer Meetings
266, Econometric Society.
- Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration Versus Spurious Regression In Heterogeneous Panels," Royal Economic Society Annual Conference 2004 74, Royal Economic Society.
- Marcellino, Massimiliano, 2000.
"Linear aggregation with common trends and cycles,"
Research in Economics,
Elsevier, vol. 54(2), pages 117-131, June.
- 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.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.