Aggregation and the long run properties of economic time series
The aggregation problem is a well-known difficulty in macroeconometric modelling. It is frequently assumed in these models that the behaviour of economic agents is uniform. Thus the behaviour of a single agent characterizes the aggregate behaviour of the agents (representative agent). However, there may always be some “outliers”, some uncharacteristically behaving agents. Such outliers may well determine the time dynamics of the aggregate time series. The paper presents different Monte Carlo experiments to demonstrate this feature. This phenomenon may have an utmost significance in models assuming the cointegration of the variables.
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Volume (Year): 39 (1995)
Issue (Month): 3 ()
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- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Perron, Pierre & Phillips, Peter C. B., 1987.
"Does GNP have a unit root? : A re-evaluation,"
Elsevier, vol. 23(2), pages 139-145.
- Perron, P. & Phillips, P.C.B., 1986. "Does Gnp Have a Unit Root? a Reevaluation," Cahiers de recherche 8640, Universite de Montreal, Departement de sciences economiques.
- Rossana, Robert J & Seater, John J, 1992. "Aggregation, Unit Roots and the Time Series Structure on Manufacturing Real Wages," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 159-179, February.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Stock, James H. & Watson, Mark W., 1986. "Does GNP have a unit root?," Economics Letters, Elsevier, vol. 22(2-3), pages 147-151.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Choi, In, 1992. "Effects of data aggregation on the power of tests for a unit root : A simulation study," Economics Letters, Elsevier, vol. 40(4), pages 397-401, December. Full references (including those not matched with items on IDEAS)
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