The polynomial aggregated AR(1) model

Terence Tai Leung Chong

Econometrics Journal, 2006, vol. 9, issue 1, 98-122

Abstract: This paper develops a new kind of aggregation model. We extend the work of Linden (1999) to allow the AR coefficient to be drawn from a polynomial density function. The polynomial density incorporates a wealth of multi-modal density functions as special cases. Given the aggregate data, we provide estimation methods for the coefficients and the order of the polynomial density. A test for the functional form of the polynomial is provided. We apply the model to the consumption data of the G7 industrial countries and recover the individual attributes of the consumption behaviour in those countries. Copyright Royal Economic Society 2006

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:9:y:2006:i:1:p:98-122

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