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On the effects of aggregating cointegrated variables over time

Müller, Christian - Sonderforschungsbereich 373, Quantifikation und … - 2002

aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … cointegration analysis seems to be robust against various aggregation strategies. …

Persistent link: https://www.econbiz.de/10010983765

Ergodic Chaos and Aggregate Stability: A Deterministic Discrete-Choice Model of Wealth Distribution Dynamics

Kamihigashi, Takashi - Research Institute for Economics and Business … - 2012

This paper studies wealth distribution dynamics in a small open economy with a continuum of consumers indexed by initial wealth. Each of them solves a discrete-choice problem whose optimal policy function exhibits ergodic chaos. We show that for any initial distribu- tion of wealth given by a...

Persistent link: https://www.econbiz.de/10010559467

Unemployment and Mortality: Evidence from the PSID

Halliday, Timothy J. - Department of Economics, University of Hawaii-Manoa - 2012

underscores the need to arrive at a better understanding of the aggregation mechanism linking the micro and macro studies. …

Persistent link: https://www.econbiz.de/10010561732

Risikoaggregation unter Beachtung der Abhängigkeiten zwischen Risiken

Schröder, Regina Wencke - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10004850968

The plutocratic bias in the CPI: Evidence from Spain.

Ruiz-Castillo, Javier; Ley, Eduardo; Izquierdo, Mario - FEDEA

Persistent link: https://www.econbiz.de/10005727175

Aggregation, the skill premium, and the two-level production function

León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - European Central Bank - 2011

We examine the two-level nested Constant Elasticity of Substitution production function where both capital and labor are disaggregated in two classes. We propose a normalized system estimation method to retrieve estimates of the inter- and intra-class elasticities of substitution and...

Persistent link: https://www.econbiz.de/10009371718

Aggregation and Labor Supply Elasticities

Kneip, Alois; Merz, Monika; Storjohann, Lidia - Forschungsbasierte Infrastruktureinrichtung … - 2013

statistical aggregation procedure which allows forworker heterogeneity in observables and unobservables and is applicable to an …

Persistent link: https://www.econbiz.de/10010896261

One-Year Volatility of Reserve Risk in a Multivariate Framework

Appert-Raullin, Yannick; Devineau, Laurent; Pichevin, … - HAL - 2013

The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...

Persistent link: https://www.econbiz.de/10010899719

Production Functions Behaving Badly - Reconsidering Fisher and Shaikh

Fredholm, Thomas; Zambelli, Stefano - Dipartimento di Economia e Management, Università … - 2013

We reconsider Anwar Shaikh’s critique of the neoclassical theory of growth and distribution based on its use of aggregate production functions. This is done by reconstructing and extending Franklin M. Fisher’s 1971 computer simulations, which Shaikh used to support his critique. Together...

Persistent link: https://www.econbiz.de/10010691591

The Economics and Mathematics of Aggregation: Formal Models of Efficient Group Behavior

Chiappori, P. A.; Ekeland, Ivar - In: Foundations and Trends(R) in Microeconomics 5 (2009) 1–2, pp. 1-151

The goal of this article is to provide a general characterization of group behavior in a market environment. A crucial feature of our approach is that we do not restrict the form of individual preferences or the nature of individual consumptions; we allow for public as well as private...

Persistent link: https://www.econbiz.de/10010693746