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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

Biases in consumer elasticities based on micro and aggregate data : an integrated framework and empirical evaluation

Denton, Frank T.; Mountain, Dean C. - 2015

Policy analysis frequently requires estimates of aggregate (or mean) consumer elasticities. However, estimates are often made incorrectly, based on elasticity calculations at mean income. We provide in this paper an overall integrated analytical framework that encompasses these biases and...

Persistent link: https://www.econbiz.de/10010498377

Measuring Consumer Welfare with Mean Demands

Schlee, Edward E. - 2005

preference heterogeneity, then then the estimated demand is really an average taken over households with different preferences …

Persistent link: https://www.econbiz.de/10014063292

How serious is the aggregation problem? : an empirical illustration

Halvorsen, Bente; Larsen, Bodil M. - In: Applied economics 45 (2013) 25/27, pp. 3786-3794

Persistent link: https://www.econbiz.de/10010345859

Testing multivariate economic restrictions using quantiles : the example of Slutsky negative semidefiniteness

Dette, Holger; Hoderlein, Stefan; Neumeyer, Natalie - In: Journal of econometrics 191 (2016) 1, pp. 129-144

Persistent link: https://www.econbiz.de/10011594650

Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...

Persistent link: https://www.econbiz.de/10013471326

Measuring the effect of oil prices on wheat futures prices

Cartwright, Phillip A.; Riabko, Natalija - In: Research in international business and finance 33 (2015), pp. 355-369

Persistent link: https://www.econbiz.de/10011325850

What are the benefits of high-frequency data for fixed effects panel models?

Ghanem, Dalia; Smith, Aaron D. - In: Journal of the Association of Environmental and … 8 (2021) 2, pp. 199-234

Persistent link: https://www.econbiz.de/10012610578

Conditionally efficient estimation of long-run relationships using mixed-frequency time series

Miller, J. Isaac - In: Econometric reviews 35 (2016) 5/7, pp. 1142-1171

Persistent link: https://www.econbiz.de/10011591156

Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Chudik, Alexander; Georgiadis, Georgios - 2019

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10012058985

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