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Linear aggregation with common trends and cycles

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  • Marcellino, Massimiliano

Abstract

We propose a general framework to study whether and how common trends and common cycles are still present when the original variables are linearly aggregated or only a subset of them is analysed. This is particularly important because of the adoption in empirical analysis of aggregated data on a limited number of variables.
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  • Marcellino, Massimiliano, 2000. "Linear aggregation with common trends and cycles," Research in Economics, Elsevier, vol. 54(2), pages 117-131, June.
    • Handle: RePEc:eee:reecon:v:54:y:2000:i:2:p:117-131
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