Aggregation and the long run properties of economic time series

Gábor Kőrösi, László Lovrics and Laszlo Matyas ()
Authors registered in the RePEc Author Service: Gabor Korosi

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 39, issue 3, 279-286

Abstract: The aggregation problem is a well-known difficulty in macroeconometric modelling. It is frequently assumed in these models that the behaviour of economic agents is uniform. Thus the behaviour of a single agent characterizes the aggregate behaviour of the agents (representative agent). However, there may always be some “outliers”, some uncharacteristically behaving agents. Such outliers may well determine the time dynamics of the aggregate time series. The paper presents different Monte Carlo experiments to demonstrate this feature. This phenomenon may have an utmost significance in models assuming the cointegration of the variables.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:39:y:1995:i:3:p:279-286

DOI: 10.1016/0378-4754(94)00071-6

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