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Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short run dynamics of a fully parametric cointegrated system formulated in continuous time.The model allows the stationary disturbances to be generated by a stochastic di erential...

Persistent link: https://www.econbiz.de/10011090524

Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals.We show that the model estimated by Gardeazabal, Reg´ulez and V´azquez (International Economic Review, 1997) is not identified and demonstrate how...

Persistent link: https://www.econbiz.de/10011090961

On the Axiomatic Characterization of "Who is a J?"

Dimitrov, D.A.; Sung, S.C. - Tilburg University, Center for Economic Research - 2003

Recent work by Kasher and Rubinstein (1997) considers the problem of group identification from a social choice perspective.These authors provide an axiomatic characterization of a liberal aggregator whereby the group consist of those and only those individuals each of which views oneself a...

Persistent link: https://www.econbiz.de/10011091125

Hierarchical Estimation as Basis for Hierarchical Forecasting

Strijbosch, L.W.G.; Heuts, R.M.J.; Moors, J.J.A. - Tilburg University, Center for Economic Research - 2006

aggregation of items, followed by fractioning, lead to more accurate estimates of individual demand?Thirdly, a more practical …

Persistent link: https://www.econbiz.de/10011091178

Bayesian Integration of Large Scale SNA Data Frameworks with an Application to Guatemala

Magnus, Jan R.; Van Tongeren, J.W. - Tilburg University, Center for Economic Research - 2011

also the impact of aggregation of the basic data. We introduce the concept of `tentative' estimates that are close to …

Persistent link: https://www.econbiz.de/10011091521

Aggregation without the Aggravation? Nonparametric Analysis of the Representative Consumer

Cherchye, L.J.H.; Crawford, I.; de Rock, B.; Vermeulen, … - Tilburg University, Center for Economic Research - 2011

Abstract: In the tradition of Afriat (1967), Diewert (1973) and Varian (1982), we provide a revealed preference characterisation of the representative consumer. Our results are simple and complement those of Gorman (1953, 1961), Samuelson (1956) and others. They can also be applied to data very...

Persistent link: https://www.econbiz.de/10011091961

Granger Causality and the Sampling of Economic Processes

McCrorie, J.R.; Chambers, M.J. - Tilburg University, Center for Economic Research - 2004

problem of spurious Granger causality relationships that can arise from temporal aggregation.We outline the distortional e …, we demonstrate the importance of incorporating exact temporal aggregation restrictions on the discrete time data.We do … this by conducting causality tests in discrete time models that: (a) impose the temporal aggregation restrictions exactly …

Persistent link: https://www.econbiz.de/10011092014