Estimating aggregate autoregressive processes when only macro data are available

Eric Jondeau and Florian Pelgrin

Economics Letters, 2014, vol. 124, issue 3, 341-347

Abstract: The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on either a parametric regression or a minimum distance approach for use when only macro data are available. Notably, both estimators allow us to recover some moments of the cross-sectional distribution of the autoregressive parameter. Both estimators perform very well in our Monte-Carlo experiment, even with finite samples.

Keywords: Autoregressive process; Aggregation; Heterogeneity (search for similar items in EconPapers)
JEL-codes: C13 C2 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Working Paper: Estimating Aggregate Autoregressive Processes When Only Macro Data are Available (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:3:p:341-347

DOI: 10.1016/j.econlet.2014.06.012

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