Aggregating Rational Expectations Models in thePresence of Unobserved Micro Heterogeneity

Our paper addresses the correction of the aggregation bias in linear rational expectations modelswhen there is some unobserved micro-parameter heterogeneity and only macro data are available.Starting from Lewbel (1994), we propose two new consistent estimators, which rely on aexible parametric specication of the cross-sectional parameter distributions and account forthe dependence across coefficients inherent in such models. A Monte-Carlo study reveals thatthe nite-sample and asymptotic properties of the proposed estimators correct the aggregationbias found with the maximum-likelihood and generalized-method-of-moments approaches.[...]

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Year of publication:	2009-08-01
Authors:	Jondeau, Eric ; Pelgrin, Florian
Institutions:	Swiss Finance Institute <Zürich>
Subject:	Heterogenität \| Aggregation \| Erwartungswert \| Expected Value \| Lineares Modell

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1 Introduction
2 The Dynamics of Micro-units
3 Aggregation and Correction for Heterogeneity
3.1 Aggregate dynamics
3.2 Rewriting the aggregate dynamics
3.3 The unrestricted approach
3.4 The parametric estimator
3.5 The minimum distance estimator
4 Monte Carlo Simulations
5 Application
6 Conclusion
Appendices
6.1 Appendix 1: Derivation of the reduced form of a linearrational expectations model
6.2 Appendix 2: Proof of Proposition 1.
6.3 Appendix 3: Proof of Lemma 1
6.4 Appendix 4: Proof of Proposition 2
6.5 Appendix 5: Proof of Lemma 2
6.6 Appendix 6: Proof of Lemma 3
References
Captions

Persistent link: https://www.econbiz.de/10005868578