Information-aggregation bias

Marvin Goodfriend

No 91-06, Working Paper from Federal Reserve Bank of Richmond

Abstract: Aggregation in the presence of data processing lags distorts the information content of data, violating orthogonality restrictions that hold at the individual level. Though the phenomenon is general, it is illustrated here for the life cycle-permanent model. Cross-section and pooled-panel data induce information-aggregation bias akin to that in aggregate time series. Calculations show that information-aggregation can seriously bias tests of the life cycle model on aggregate time series, cross-section, and pooled-panel data.

Keywords: Consumption (Economics); time series analysis (search for similar items in EconPapers)
Date: 1991
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.richmondfed.org/publications/research/working_papers/1991/wp_91-6.cfm (text/html)
https://www.richmondfed.org/-/media/RichmondFedOrg ... /1991/pdf/wp91-6.pdf Full text (application/pdf)

Related works:
Journal Article: Information-Aggregation Bias (1992)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedrwp:91-06

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Paper from Federal Reserve Bank of Richmond Contact information at EDIRC.
Bibliographic data for series maintained by Christian Pascasio ().