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The Role of Heterogeneous Demand for Temporal and Structural Aggregation Bias

Halvorsen, Bente; Larsen, Bodil M. - Statistisk Sentralbyrå, Government of Norway - 2008

Differences in estimated parameters depending on the frequency of aggregate data have been reported in several fields of economic research. Some differences are due to seasonal variations in demand, but temporal aggregation bias is reported even in seasonally adjusted models. These biases have...

Persistent link: https://www.econbiz.de/10004980792

Aggregation with price variation and heterogeneity across consumers

Halvorsen, Bente; Larsen, Bodil M. - 2006

In the aggregation literature, prices and price and income derivatives are often assumed not to vary across consumers. These assumptions may not be fulfilled: prices often vary and consumers are heterogeneous in the way they respond to price and income changes. In this paper we develop and...

Persistent link: https://www.econbiz.de/10011968259

Aggregation with price variation and heterogeneity across consumers

Halvorsen, Bente; Larsen, Bodil M. - Statistisk Sentralbyrå, Government of Norway - 2006

Persistent link: https://www.econbiz.de/10004980777

Chapter 68 Models of Aggregate Economic Relationships that Account for Heterogeneity

Blundell, Richard; Stoker, Thomas M. - In: Handbook of econometrics : volume 6A, (pp. 4609-4666). 2007

, consumption growth and wealth, and labor participation and wages. Each area involves treatment of heterogeneity and nonlinearity … at the individual level. Three types of heterogeneity are highlighted: heterogeneity in individual tastes, heterogeneity … in income and wealth risks, and heterogeneity in market participation. Work in each area is illustrated using results …

Persistent link: https://www.econbiz.de/10014024947

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman Rasmus - 1998

In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...

Persistent link: https://www.econbiz.de/10010309900

Mixed Frequency Structural Models: Estimation, and Policy Analysis

Foroni, Claudia; Marcellino, Massimiliano - 2013

In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems, introduces estimation bias and distorts the results of...

Persistent link: https://www.econbiz.de/10012143827

Mixed Frequency Structural VARs

Foroni, Claudia; Marcellino, Massimiliano - 2014

A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a...

Persistent link: https://www.econbiz.de/10012143839

Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles

Rotger, Gabriel Pons - School of Economics and Management, University of Aarhus - 2004

The effects of systematic sampling and temporal aggregation on the seasonal cycle model (see Miron, 1993) and the seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the sequential test for monthly seasonal unit roots of...

Persistent link: https://www.econbiz.de/10005440029

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Frederiksen, Per; Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008

In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er...

Persistent link: https://www.econbiz.de/10005440038

Temporal aggregaton of univariate linear time series models

Andrea, SILVESTRINI - Institut de Recherche Économique et Sociale (IRES), … - 2005

In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...

Persistent link: https://www.econbiz.de/10004984769