This paper considers the cross-sectional aggregation of nonlinear decision rules derived from intertemporal optimization problems under uncertainty, examining in particular (i) the role of aggregation across decision rules of heterogeneous decision makers as a source of variation and persistence...

We provide evidence that higher moments of the relative price distribution improve out-of-sample forecasts of inflation. Further, we show how theoretically consistent higher moments can be calculated by expanding the seminal work by Theil (1967). Results presented here are of direct relevance to...

The paper describes and illustrates a method for generalizing the standard computation of period-to-period percentage change of total factor productivity (TFP) to computation of TFP based on a best k-times-differentiable model. A "model" is a k-times-differentiable functional form of a...

In this study we build two forecasting models to predict inflation for the Netherlands and for the euro area. Inflation is the yearly change of the Harmonised Index of Consumer Prices (HICP). The models provide point forecasts and prediction intervals for both the components of the HICP and the...

We consider the Bovespa economic index (Ibovespa) from January 1994 to the present. Starting directly from this high resolution data we study the statistical properties of the time evolution of the Ibovespa. In order to obtain price dynamics information we find the probability density function...

Recent developments in the aggregation of large cross section of linear time series processes provide a complete characterization of the link between the dynamic properties of the aggregate series and the shape and degree of heterogeneity of the coefficients of the micro time series (see Lippi...

Total factor productivity (TFP) computed as Solow-residuals could be subject to input-substitution bias for two reasons. First, the Cobb-Douglas (CD) production function restricts all input substitutions to one. Second, observed inputs generally differ from optimal inputs, so that inputs...