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Micro versus macro cointegration in heterogeneous panels


Trapani, Lorenzo; Urga, Giovanni


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-263045

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Abstract We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and sufficient conditions for cointegration to hold in the aggregate relationship. We then analyze the case when cointegration does not carry through the aggregation process, and we investigate whether the violation of the formal conditions for perfect aggregation can still lead to an aggregate equation that is observationally equivalent to a cointegrated relationship. We derive a measure of the degree of noncointegration of the aggregate relationship and we explore its asymptotic properties. We propose a valid bootstrap approximation of the test. A Monte Carlo exercise evaluates size and power properties of the bootstrap test.
Thesaurusschlagwörter aggregation
Klassifikation Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Freie Schlagwörter Heterogeneous panels; Cointegration; Spurious regression; Bootstrap
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 1-18
DOI http://dx.doi.org/10.1016/j.jeconom.2009.07.005
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)