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 InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/740.
Length: 293 p.
Date of creation:
Date of revision:
Contact details of provider:
Web page: http://www.uc3m.es
Aggregation; Cointegration; Common factors;
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Massimiliano Marcellino, .
"Linear Aggregation with Common Trends and Cycles,"
160, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
- Lorenzo Trapani & Giovanni Urga, 2007.
"Micro versus Macro Cointegration in Heterogeneous Panels,"
0711, Department of Economics and Technology Management, University of Bergamo.
- Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
- 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.
- 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.
- 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.
- 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.
- 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.
- Seung, Chang K., 2008. "Estimating Dynamic Impacts of the Seafood Industry in Alaska," Marine Resource Economics, Marine Resources Foundation, vol. 23(1).
- K. Hubrich, 2001. "Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance," WO Research Memoranda (discontinued) 661, Netherlands Central Bank, Research Department.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Contact person).
If references are entirely missing, you can add them using this form.