Aggregation and the Long Run Behaviour of Economic Time Series

The aggregation problem is a well—known difficulty in macroeconometric modelling. It is frequently assumed in these models that the behaviour of economic agents is uniform. Thus the behaviour of a single agent characterizes the aggregate behaviour of the agents (representative agent). However, there may always be some "outliers", some uncharacteristically behaving agents. Such outliers may well determine the time dynamics of the aggregate time series. The paper presents different Monte Carlo experiments to demonstrate this feature. This phenomenon may have an utmost significance in models assuming the cointegration of the variables.


Issue Date:
Oct 01 1993
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
18
Series Statement:
Working Paper No. 12/93




 Record created 2018-01-30, last modified 2018-01-31

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