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Linear Aggregation with Common Trends and Cycles

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  • Massimiliano Marcellino

Abstract

We propose a general framework to study whether and how common trends and common cycles are still present when the original variables are linearly aggregated or only a subset of them is analysed. This is particularly important because of the adoption in empirical analysis of aggregated data on a limited number of variables.

Suggested Citation

  • Massimiliano Marcellino, "undated". "Linear Aggregation with Common Trends and Cycles," Working Papers 160, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Handle: RePEc:igi:igierp:160
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