Macro-panels and reality
Gianluca Cubadda (),
Alain Hecq () and
Economics Letters, 2008, vol. 99, issue 3, 537-540
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.
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Working Paper: Macro-panels and Reality (2007)
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