Aggregation and Cointegration

The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but what happens if their behaviour is heterogeneous? This paper examines the properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals.


Issue Date:
Dec 01 1996
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267922
Language:
English
Total Pages:
36
Series Statement:
Working Paper 20/96




 Record created 2018-02-06, last modified 2018-02-07

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