Pesaran, M Hashem; Pierse, Richard G; Kumar, Mohan S - In: Econometrica 57 (1989) 4, pp. 861-88
This paper focuses on whether to use macro or micro equations to predict aggregate variables. The Grunfeld-Griliches prediction criterion is generalized to allow for contemporaneous covariances across the micro equations and for parametric restrictions on the disaggregate equations. An...