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Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation

  • Hashem Pesaran, M.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 20 (2003)
Issue (Month): 2 (March)
Pages: 383-415

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Handle: RePEc:eee:ecmode:v:20:y:2003:i:2:p:383-415
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. Van Garderen, K. J. & Lee, K. & Pesaran M., 1998. "Cross-sectional Aggregation of Non-linear Models," Cambridge Working Papers in Economics 9803, Faculty of Economics, University of Cambridge.
  2. Stoker, Thomas M, 1993. "Empirical Approaches to the Problem of Aggregation Over Individuals," Journal of Economic Literature, American Economic Association, vol. 31(4), pages 1827-74, December.
  3. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  4. Jan Kmenta & James B. Ramsey, 1980. "Evaluation of Econometric Models," NBER Books, National Bureau of Economic Research, Inc, number kmen80-1, March.
  5. Binder, Michael & Pesaran, M. Hashem, 2001. "Life-cycle consumption under social interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 35-83, January.
  6. Christoffersen & Diebold, . "Further Results on Forecasting and Model Selection Under Asymmetric Loss," Home Pages _059, University of Pennsylvania.
  7. Christopher D. Carroll & David N. Weil, 1993. "Saving and Growth: A Reinterpretation," NBER Working Papers 4470, National Bureau of Economic Research, Inc.
  8. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
  9. Stoker, Thomas M, 1984. "Completeness, Distribution Restrictions, and the Form of Aggregate Functions," Econometrica, Econometric Society, vol. 52(4), pages 887-907, July.
  10. P. K. Trivedi, 1985. "Distributed Lags, Aggregation and Compounding: Some Econometric Implications," Review of Economic Studies, Oxford University Press, vol. 52(1), pages 19-35.
  11. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
  12. Rose, David E., 1977. "Forecasting aggregates of independent Arima processes," Journal of Econometrics, Elsevier, vol. 5(3), pages 323-345, May.
  13. Lippi, Marco, 1988. "On the dynamic shape of aggregated error correction models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 561-585.
  14. John Muellbauer, 1975. "Aggregation, Income Distribution and Consumer Demand," Review of Economic Studies, Oxford University Press, vol. 42(4), pages 525-543.
  15. Lewbel, Arthur, 1994. "Aggregation and Simple Dynamics," American Economic Review, American Economic Association, vol. 84(4), pages 905-18, September.
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