COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS

tep na Lazarov , Lorenzo Trapani and Giovanni Urga

Econometric Theory, 2007, vol. 23, issue 01, pages 89-105

Abstract: In nonstationary heterogeneous panels where the number of units is finite and where each unit cointegrates, a large number of conditions needs to be satisfied for cointegration to be preserved in the aggregate relationship. In reality, the conditions most likely will not hold. This paper takes a closer look at what happens when the conditions are violated. In this case, the question of whether an aggregate relationship is observationally equivalent to a cointegrating equation is of particular interest. We derive a measure of the degree of noncointegration of the aggregate estimates, and we explore its asymptotic properties.

Date: 2007

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466607070041 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:23:y:2007:i:01:p:89-105_07

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().