Agrégation de processus autorégressifs d'ordre 1

Esmeralda Gonçalves and Christian Gourieroux

Annals of Economics and Statistics, 1988, issue 12, 127-149

Abstract: The aim of this paper is the aggregation of AR (1) processes. We determine the dynamic models satisfied by the aggregated series and we characterize all the series which may be interpreted as such an aggregate. We study more carefully the case of a bêta heterogeneity distribution. In particular we propose an homogeneity test and we discuss the sign of the heterogeneity bias.

Date: 1988
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Working Paper: Agrégation de processus autoregressifs d'ordre 1 (1987)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1988:i:12:p:127-149

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