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Aggregation and the long run properties of economic time series

✍ Scribed by Gábor Kőrösi; László Lovrics; László Mátyás

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
493 KB
Volume
39
Category
Article
ISSN
0378-4754

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✦ Synopsis

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,

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