Cointegration and aggregation

DOI10.1016/0035-5054(93)90031-WMaRDI QIDQ4306532zbMATH OpenOpenAlexFDO

Authors Jesús Gonzalo

Publication date 15 March 1995

Published in Ricerche Economiche (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0035-5054(93)90031-w

zbMATH Keywords

aggaregationcointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Implications of seeing economic variables through an aggregation window
• Micro versus macro cointegration in heterogeneous panels
• Linear aggregation in cointegrated systems
• On the dynamic shape of aggregated error correction models
• Common stochastic trends and aggregation in heterogeneous panels

Cited in

(10)

• On the dynamic shape of aggregated error correction models
• Aggregation of linear dynamic microeconomic models
• Cointegration of long span saving and investment
• Estimating long-run relationships from dynamic heterogeneous panels
• Micro versus macro cointegration in heterogeneous panels
• Cointegration and Dynamic Simultaneous Equations Model
• Common stochastic trends and aggregation in heterogeneous panels
• Linear aggregation in cointegrated systems
• Cointegration in a historical perspective
• Cointegration of output, capital, labor, and energy

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