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Macro-panels and reality

  • Cubadda, Gianluca
  • Hecq, Alain
  • Palm, Franz C.

VAR models with common cyclical features imply parsimonious univariate final equations, justifying the use of both time series aggregation, and homogenous panels with common factors and dynamic heterogeneity. However, conducting statistical inferences based on too restrictive models might be mis-leading.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4PW5XFY-3/1/5cf2aeddc43e9415c13173a4e1418853
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 3 (June)
Pages: 537-540

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:537-540
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Cubadda, Gianluca & Hecq, Alain, 2001. "On non-contemporaneous short-run co-movements," Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
  2. ZELLNER, Arnold & PALM, Franz, . "Time series analysis and simultaneous equation econometric models," CORE Discussion Papers RP -173, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo Group Munich.
  4. 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.
  5. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
  6. Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2006. "Common cyclical features analysis in VAR models with cointegration," Journal of Econometrics, Elsevier, vol. 132(1), pages 117-141, May.
  7. repec:fgv:epgrbe:v:47:n:2:a:1 is not listed on IDEAS
  8. Cubadda Gianluca & Hecq Alain & Palm Franz C., 2007. "Studying Co-movements in Large Multivariate Models Without Multivariate Modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  9. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  10. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
  11. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
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