On the dynamic shape of aggregated error correction models

DOI10.1016/0165-1889(88)90056-5zbMath0651.62104OpenAlexW2032582177MaRDI QIDQ1106605

Marco Lippi

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90056-5

zbMATH Keywords

aggregationcointegrationerror correctionARMAX macrorepresentationARMAX microequationsmacroequationsmacrorepresentationmacrovariablesmicroparametersmicrovariablesnonstationaytests of the rational expectations hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

Micro versus macro cointegration in heterogeneous panels ⋮ Aggregation of linear dynamic microeconomic models

Cites Work

• Linear transformations of vector ARMA processes
• Long memory relationships and the aggregation of dynamic models
• Distributed Lags, Aggregation and Compounding: Some Econometric Implications
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Co-Integration and Error Correction: Representation, Estimation, and Testing
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