still remains significant at high levels of aggregation. Because the bias rises with disaggregation, findings of … aggregating across microeconomic units reduces the bias (the limit of which is illustrated by Rotemberg's widely used linear … to shocks is biased upward by more than 80 percent. While the bias is not as extreme for labor demand and prices, it …

from VAR estimates. The extent of this "missing persistence bias" decreases with the level of aggregation, yet convergence … justify approximating aggregate dynamics with linear models, their presence exacerbates the bias. We propose a method to …The missing persistence bias is relevant for macroeconomists on many grounds. First, when calibrating or estimating …

justification for approximating aggregate dynamics with linear models, their presence exacerbate the bias. Since in practice …