Estimating aggregate autoregressive processes when only macro data are available

DOI10.1016/J.ECONLET.2014.06.012MaRDI QIDQ485694zbMATH OpenOpenAlexFDO

Authors Eric Jondeau, Florian Pelgrin

Publication date 14 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.06.012

zbMATH Keywords

aggregationheterogeneityautoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cites work

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• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Aggregation in large dynamic panels
• Consistent autoregressive spectral estimates
• Contemporaneous aggregation of linear dynamic models in large economies
• Estimating aggregate autoregressive processes when only macro data are available
• Estimating long-run relationships from dynamic heterogeneous panels
• Heterogeneous dynamics, aggregation, and the persistence of economic shocks
• Linear Regression Limit Theory for Nonstationary Panel Data
• Long memory relationships and the aggregation of dynamic models
• Some Concepts of Dependence
• The Granular Origins of Aggregate Fluctuations
• The exact moments of the least squares estimator for the autoregressive model
• The network origins of aggregate fluctuations
• The polynomial aggregated AR(1) model*
• Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.
• Time series: theory and methods.

Cited in

(5)

• Effect of aggregation on estimators in AR(1) sequence
• Aggregation, Efficiency, and Cross-Section Regression
• Contemporaneous aggregation of linear dynamic models in large economies
• The polynomial aggregated AR(1) model*
• Estimating aggregate autoregressive processes when only macro data are available

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Uses Software

• longmemo

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