On the dynamic shape of aggregated error correction models

DOI10.1016/0165-1889(88)90056-5MaRDI QIDQ1106605zbMATH OpenOpenAlexFDO

Authors Marco Lippi

Publication date 1988

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(88)90056-5

zbMATH Keywords

aggregationcointegrationerror correctionARMAX macrorepresentationARMAX microequationsmacroequationsmacrorepresentationmacrovariablesmicroparametersmicrovariablesnonstationaytests of the rational expectations hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Cointegration and aggregation
• Local aggregation in a dynamic setting
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• scientific article; zbMATH DE number 3872515

Cites work

• scientific article; zbMATH DE number 3940576 (Why is no real title available?)
• scientific article; zbMATH DE number 3742449 (Why is no real title available?)
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Linear transformations of vector ARMA processes
• Long memory relationships and the aggregation of dynamic models

Cited in

(4)

• Aggregation of linear dynamic microeconomic models
• Micro versus macro cointegration in heterogeneous panels
• MODELING MACROECONOMIC SUBAGGREGATES: AN APPLICATION OF NONLINEAR COINTEGRATION
• Contemporaneous aggregation of linear dynamic models in large economies

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