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from VAR estimates. The extent of this “missing persistence bias” decreases with the level of aggregation, yet convergence … vary systematically with levels of aggregation should be examined with care since the differential speeds may disappear …
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from VAR estimates. The extent of this "missing persistence bias" decreases with the level of aggregation, yet convergence … persistence measures that vary systematically with levels of aggregation should be examined with care since the differential …
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still remains significant at high levels of aggregation. Because the bias rises with disaggregation, findings of …
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The dynamic response of aggregate variables to shocks is one of the central concerns of applied macroeconomics. The main measurement procedure for these dynamics consists of estimating an ARMA or VAR (VARs, for short). In non- or semi-structural approaches, the characterization of dynamics stops...
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still remains significant at high levels of aggregation. Because the bias rises with disaggregation, findings of …
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