Estimating aggregate autoregressive processes when only macro data are available

DOI10.1016/J.ECONLET.2014.06.012zbMATH Open1303.62046OpenAlexW3125572137MaRDI QIDQ485694FDOQ485694

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

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zbMATH Keywords

aggregationheterogeneityautoregressive process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Time series: theory and methods.
• Linear Regression Limit Theory for Nonstationary Panel Data
• Consistent autoregressive spectral estimates
• Some Concepts of Dependence
• Estimating long-run relationships from dynamic heterogeneous panels
• Title not available (Why is that?)
• Long memory relationships and the aggregation of dynamic models
• The exact moments of the least squares estimator for the autoregressive model
• Title not available (Why is that?)
• Contemporaneous aggregation of linear dynamic models in large economies
• Aggregation in large dynamic panels
• Title not available (Why is that?)
• The network origins of aggregate fluctuations
• The Granular Origins of Aggregate Fluctuations
• Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.
• Heterogeneous dynamics, aggregation, and the persistence of economic shocks
• Estimating aggregate autoregressive processes when only macro data are available
• The polynomial aggregated AR(1) model*
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS

Cited In (5)

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

Uses Software

• longmemo

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