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Macro-panels and reality

Gianluca Cubadda (), Alain Hecq () and Franz Palm

Economics Letters, 2008, vol. 99, issue 3, 537-540

Abstract: VAR models with common cyclical features imply parsimonious univariate final equations, justifying the use of both time series aggregation, and homogenous panels with common factors and dynamic heterogeneity. However, conducting statistical inferences based on too restrictive models might be mis-leading.

Date: 2008
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