COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS

DOI10.1017/S0266466607070041zbMath1441.62789MaRDI QIDQ4562557

Lorenzo Trapani, Giovanni Urga, Štěpána Lazarová

Publication date: 21 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

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 (1)

Micro versus macro cointegration in heterogeneous panels

Cites Work

• Estimating long-run relationships from dynamic heterogeneous panels
• Implications of seeing economic variables through an aggregation window
• Cointegration and aggregation
• Linear Regression Limit Theory for Nonstationary Panel Data
• ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES

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