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The Role of Heterogeneous Demand for Temporal and Structural Aggregation Bias
Halvorsen, Bente; Larsen, Bodil M. - Statistisk Sentralbyrå, Government of Norway - 2008
Differences in estimated parameters depending on the frequency of aggregate data have been reported in several fields of economic research. Some differences are due to seasonal variations in demand, but temporal aggregation bias is reported even in seasonally adjusted models. These biases have...
Persistent link: https://www.econbiz.de/10004980792
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Aggregation with price variation and heterogeneity across consumers
Halvorsen, Bente; Larsen, Bodil M. - 2006
In the aggregation literature, prices and price and income derivatives are often assumed not to vary across consumers. These assumptions may not be fulfilled: prices often vary and consumers are heterogeneous in the way they respond to price and income changes. In this paper we develop and...
Persistent link: https://www.econbiz.de/10011968259
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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
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Aggregation with price variation and heterogeneity across consumers
Halvorsen, Bente; Larsen, Bodil M. - Statistisk Sentralbyrå, Government of Norway - 2006
In the aggregation literature, prices and price and income derivatives are often assumed not to vary across consumers. These assumptions may not be fulfilled: prices often vary and consumers are heterogeneous in the way they respond to price and income changes. In this paper we develop and...
Persistent link: https://www.econbiz.de/10004980777
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Temporal aggregation and causality in multiple time series models
Breitung, Jörg; Swanson, Norman Rasmus - 1998
In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...
Persistent link: https://www.econbiz.de/10010309900
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Mixed Frequency Structural Models: Estimation, and Policy Analysis
Foroni, Claudia; Marcellino, Massimiliano - 2013
In this paper we show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems, introduces estimation bias and distorts the results of...
Persistent link: https://www.econbiz.de/10012143827
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Mixed Frequency Structural VARs
Foroni, Claudia; Marcellino, Massimiliano - 2014
A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a...
Persistent link: https://www.econbiz.de/10012143839
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Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
Gupta, Rangan; Komen, Kibii - Department of Economics, Faculty of Economic and … - 2008
The literature on causality takes contradictory stands regarding the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. Using the relationship between a nominal target and the instrument used to achieve it, as an example, we show...
Persistent link: https://www.econbiz.de/10005076200
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Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens...
Tserkezos, Dikaios - Department of Economics, University of Crete - 2013
Several tests for nonlinear causality are available on the literature. In this paper we investigate the effects of temporal aggregation and systematic sampling using some well known linear and nonlinear Granger causality tests. The conducted Monte Carlo simulation experiments and the empirical...
Persistent link: https://www.econbiz.de/10010815151
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Testing for Seasonal Unit Roots with Temporally Aggregated Time Series
Rotger, Gabriel Pons - School of Economics and Management, University of Aarhus
The temporal aggregation effect on seasonal unit roots and its implications for seasonal unit root testing are discussed. The aggregation effect allows to test with any HEGY-type method for integration at the harmonic frequencies through the Nyquist frequency of properly temporally aggregated...
Persistent link: https://www.econbiz.de/10005198789