کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096970 | 1376561 | 2010 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Micro versus macro cointegration in heterogeneous panels
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Micro versus macro cointegration in heterogeneous panels Micro versus macro cointegration in heterogeneous panels](/preview/png/5096970.png)
چکیده انگلیسی
We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and sufficient conditions for cointegration to hold in the aggregate relationship. We then analyze the case when cointegration does not carry through the aggregation process, and we investigate whether the violation of the formal conditions for perfect aggregation can still lead to an aggregate equation that is observationally equivalent to a cointegrated relationship. We derive a measure of the degree of noncointegration of the aggregate relationship and we explore its asymptotic properties. We propose a valid bootstrap approximation of the test. A Monte Carlo exercise evaluates size and power properties of the bootstrap test.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 155, Issue 1, March 2010, Pages 1-18
Journal: Journal of Econometrics - Volume 155, Issue 1, March 2010, Pages 1-18
نویسندگان
Lorenzo Trapani, Giovanni Urga,