Linear Aggregation with Common Trends and Cycles

Massimiliano Marcellino

No 160, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: We propose a general framework to study whether and how common trends and common cycles are still present when the original variables are linearly aggregated or only a subset of them is analysed. This is particularly important because of the adoption in empirical analysis of aggregated data on a limited number of variables.

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Journal Article: Linear aggregation with common trends and cycles (2000)
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