Aggregation of linear dynamic microeconomic models

DOI10.1016/S0304-4068(98)00060-3MaRDI QIDQ1300375zbMATH OpenOpenAlexWikidataFDO

Authors Mario Forni, Marco Lippi

Publication date 1 September 1999

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4068(98)00060-3

zbMATH Keywords

aggregationdynamic factor modelheterogeneitylinear stochastic processrepresentative agent

Mathematics Subject Classification ID

Economic growth models (91B62) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Local aggregation in a dynamic setting
• Contemporaneous aggregation of linear dynamic models in large economies
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• A framework for aggregation theories
• On the dynamic shape of aggregated error correction models

Cites work

• Aggregation with Log-Linear Models
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration and aggregation
• Completeness, Distribution Restrictions, and the Form of Aggregate Functions
• Discrete Approximations to Continuous Time Distributed Lags in Econometrics
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Funds, Factors, and Diversification in Arbitrage Pricing Models
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• Individual Income, Incomplete Information, and Aggregate Consumption
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Linear transformations of vector ARMA processes
• Long memory relationships and the aggregation of dynamic models
• On the dynamic shape of aggregated error correction models
• The Use of Cross-Section Data to Characterize Macro Functions
• Topics in structural VAR econometrics

Cited in

(18)

• Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
• Macro foundations of micro-economics
• Aggregation in economies with search frictions
• On the Marčenko-Pastur law for linear time series
• Contemporaneous aggregation of linear dynamic models in large economies
• The aggregation of dynamic relationships caused by incomplete information
• Micro versus macro cointegration in heterogeneous panels
• scientific article; zbMATH DE number 3878628 (Why is no real title available?)
• scientific article; zbMATH DE number 3954599 (Why is no real title available?)
• Theory and practice in optimal aggregation of linear models: application of W. D. Fisher's method to input-output models
• Implications of seeing economic variables through an aggregation window
• On aggregation and its implications for aggregate behaviour
• scientific article; zbMATH DE number 2072544 (Why is no real title available?)
• Heterogeneous dynamics, aggregation, and the persistence of economic shocks
• If the representative agent is used, should he be believed? Aggregation, welfare and the role of microfoundations in quantitative economic policy
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• A cobweb model with local externalities
• Local aggregation in a dynamic setting

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