Aggregation and Cointegration

Gabor Korosi, Ritchard Longmire and Laszlo Matyas

No 267922, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but what happens if their behaviour is heterogeneous? This paper examines the properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals.

Keywords: Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 36
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267922

DOI: 10.22004/ag.econ.267922

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