Cross-sectional Aggregation of Non-linear Models
This paper considers the problem of cross-sectional aggregation when the underlying micro behavioural relations are characterised by general non-linear specifications. It focuses on forecasting the aggregates, and shows how an optimal aggregate model can be derived by minimising the mean squared prediction errors conditional on the aggregate information. It also derives model selection criteria for distinguishing between aggregate and disaggregate models when the primary object of the analysis is forecasting the aggregates, and establishes the consistency of the model selection criteria in large samples. In the case of standard non-linear micro relations with additive specifications, boot-strap techniques are considered to correct for small sample bias of the proposed model selection criteria. The paper also contains an empirical application where log-linear production functions are estimated for the UK economy disaggregated by eight industrial sectors and at the aggregate level for 1954-1995.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, December.
- 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.
- Robert J. Barro, 2013.
"Inflation and Economic Growth,"
Annals of Economics and Finance,
Society for AEF, vol. 14(1), pages 121-144, May.
- M. H. Pesaran & R. G. Pierse & M. S. Kumar, 1988.
"Econometric Analysis of Aggregation in the Context of Linear Prediction Models,"
UCLA Economics Working Papers
485, UCLA Department of Economics.
- Pesaran, M Hashem & Pierse, Richard G & Kumar, Mohan S, 1989. "Econometric Analysis of Aggregation in the Context of Linear Prediction Models," Econometrica, Econometric Society, vol. 57(4), pages 861-88, July.
- Lawrence J. Christiano & Martin Eichenbaum, 1990.
"Current real business cycle theories and aggregate labor market fluctuations,"
Discussion Paper / Institute for Empirical Macroeconomics
24, Federal Reserve Bank of Minneapolis.
- Christiano, Lawrence J & Eichenbaum, Martin, 1992. "Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations," American Economic Review, American Economic Association, vol. 82(3), pages 430-50, June.
- Lawrence J. Christiano & Martin Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Working Paper Series, Macroeconomic Issues 90, Federal Reserve Bank of Chicago.
- Brown, Bryan W. & Mariano, Roberto S., 1989. "Predictors in Dynamic Nonlinear Models: Large-Sample Behavior," Econometric Theory, Cambridge University Press, vol. 5(03), pages 430-452, December.
- Arthur Lewbel, 1992. "Aggregation with Log-Linear Models," Review of Economic Studies, Oxford University Press, vol. 59(3), pages 635-642.
- Aigner, Dennis J & Goldfeld, Stephen M, 1974. "Estimation and Prediction from Aggregate Data when Aggregates are Measured More Accurately than Their Components," Econometrica, Econometric Society, vol. 42(1), pages 113-34, January.
- Pesaran, M. & Pierse, R.G. & Lee, K.C., 1992.
"Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods,"
Cambridge Working Papers in Economics
9219, Faculty of Economics, University of Cambridge.
- Pesaran, M Hashem & Pierse, Richard G & Lee, Kevin C, 1994. "Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 11-21, January.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
- Granger, C. W. J., 1987. "Implications of Aggregation with Common Factors," Econometric Theory, Cambridge University Press, vol. 3(02), pages 208-222, April.
- Stoker, Thomas M, 1984. "Completeness, Distribution Restrictions, and the Form of Aggregate Functions," Econometrica, Econometric Society, vol. 52(4), pages 887-907, July.
- John Muellbauer, 1975. "Aggregation, Income Distribution and Consumer Demand," Review of Economic Studies, Oxford University Press, vol. 42(4), pages 525-543.
- Stoker, Thomas M, 1986. "Simple Tests of Distributional Effects on Macroeconomic Equations," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 763-95, August.
- N. Gregory Mankiw & David Romer & David N. Weil, 1990.
"A Contribution to the Empirics of Economic Growth,"
NBER Working Papers
3541, National Bureau of Economic Research, Inc.
- Rossana, Robert J, 1995. "Technology Shocks and Cointegration in Quadratic Models of the Firm," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(1), pages 5-17, February.
- Arthur Lewbel, 1989. "Exact Aggregation and a Representative Consumer," The Quarterly Journal of Economics, Oxford University Press, vol. 104(3), pages 621-633.
- Ando, Albert, 1971. "On a Problem of Aggregation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 306-11, June.
- Granger, C.W.J. & Pesaran, H., 1996. "A Decision_Theoretic Approach to Forecast Evaluation," Cambridge Working Papers in Economics 9618, Faculty of Economics, University of Cambridge.
When requesting a correction, please mention this item's handle: RePEc:cam:camdae:9803. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jake Dyer)
If references are entirely missing, you can add them using this form.