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Aggregation and Cointegration

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Author Info
Korosi, G.
Longmire, R.
Matyas, L.

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Abstract

The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but what happens if their behaviour is heterogeneous? This paper examines the properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals.

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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 20/96.

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Length: 34 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:msh:ebswps:1996-20

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Related research
Keywords: STATISTICS; COINTEGRATION; ECONOMIC MODELS; TESTS;

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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This page was last updated on 2009-11-25.

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