Estimating aggregate autoregressive processes when only macro data are available

Details

Serval ID
serval:BIB_48210CB4FB8A
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Estimating aggregate autoregressive processes when only macro data are available
Journal
Economics Letters
Author(s)
Jondeau E., Pelgrin F.
ISSN
0165-1765
Publication state
Published
Issued date
09/2014
Peer-reviewed
Oui
Volume
124
Number
3
Pages
341-347
Language
english
Abstract
The aggregation of individual random AR(1) models generally leads to an AR(infinity) process. We provide two consistent estimators of aggregate dynamics based on either a parametric regression or a minimum distance approach for use when only macro data are available. Notably, both estimators allow us to recover some moments of the cross-sectional distribution of the autoregressive parameter. Both estimators perform very well in our Monte-Carlo experiment, even with finite samples.
Keywords
Autoregressive process, Aggregation, Heterogeneity
Web of science
Create date
18/08/2017 10:29
Last modification date
21/08/2019 6:12
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