IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v39y1995i3p279-286.html
   My bibliography  Save this article

Aggregation and the long run properties of economic time series

Author

Listed:
  • Kőrösi, Gábor
  • Lovrics, László
  • Mátyás, László

Abstract

The aggregation problem is a well-known difficulty in macroeconometric modelling. It is frequently assumed in these models that the behaviour of economic agents is uniform. Thus the behaviour of a single agent characterizes the aggregate behaviour of the agents (representative agent). However, there may always be some “outliers”, some uncharacteristically behaving agents. Such outliers may well determine the time dynamics of the aggregate time series. The paper presents different Monte Carlo experiments to demonstrate this feature. This phenomenon may have an utmost significance in models assuming the cointegration of the variables.

Suggested Citation

  • Kőrösi, Gábor & Lovrics, László & Mátyás, László, 1995. "Aggregation and the long run properties of economic time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 279-286.
    • Handle: RePEc:eee:matcom:v:39:y:1995:i:3:p:279-286
    DOI: 10.1016/0378-4754(94)00071-6
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378475494000716
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/0378-4754(94)00071-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Perron, Pierre & Phillips, Peter C. B., 1987. "Does GNP have a unit root? : A re-evaluation," Economics Letters, Elsevier, vol. 23(2), pages 139-145.
    2. Rossana, Robert J & Seater, John J, 1992. "Aggregation, Unit Roots and the Time Series Structure on Manufacturing Real Wages," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 159-179, February.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    5. Stock, James H. & Watson, Mark W., 1986. "Does GNP have a unit root?," Economics Letters, Elsevier, vol. 22(2-3), pages 147-151.
    6. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    7. Choi, In, 1992. "Effects of data aggregation on the power of tests for a unit root : A simulation study," Economics Letters, Elsevier, vol. 40(4), pages 397-401, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Geetha Mayadunne & Merran Evans & Brett Inder, 1995. "An Empirical Investigation of Shock Persistence in Economic Time Series," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 145-156, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Bardsen, G. & Klovland, J.T., 1990. "Finding The Rigth Nominal Anchor: The Cointegration Of Money, Credit And Nominal Income In Norway," The Warwick Economics Research Paper Series (TWERPS) 350, University of Warwick, Department of Economics.
    3. Jose Sanchez-Fung, 1999. "Efficiency of the black market for foreign exchange and PPP: the case of the Dominican Republic," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 173-176.
    4. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
    5. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    6. Brada, Josef C. & Kutan, Ali M., 2001. "The convergence of monetary policy between candidate countries and the European Union," Economic Systems, Elsevier, vol. 25(3), pages 215-231, September.
    7. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
    8. Apostolos Serletis, 2007. "Is There an East-West Split in North American Natural Gas Markets?," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 6, pages 59-72, World Scientific Publishing Co. Pte. Ltd..
    9. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
    10. Edison, Hali J. & Pauls, B. Dianne, 1993. "A re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 165-187, April.
    11. Edison, Hali J. & Fisher, Eric O'N, 1991. "A long-run view of the European monetary system," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 53-70, March.
    12. Peijie Wang, 2001. "Property and the economy in the short-term and the long-run," Applied Economics, Taylor & Francis Journals, vol. 33(3), pages 327-337.
    13. Josef Brada, Ali M. Kutan, 2002. "Balkan and Mediterranean Candidates for European Union Membership: The Convergence of Their Monetary Policy with That of the European Central Bank," Eastern European Economics, Taylor & Francis Journals, vol. 40(4), pages 31-44, July.
    14. Michelle Casario, 1996. "North American Free Trade Agreement Bilateral Trade Effects," Contemporary Economic Policy, Western Economic Association International, vol. 14(1), pages 36-47, January.
    15. Leon Shilton, 2000. "Random Walks and the Cointegration of the ACLI and NCREIF," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(3), pages 435-465.
    16. McCrae, Michael, et al, 2002. "Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 355-380, August.
    17. Graciela Moguillansky, 1994. "Factores Determinantes de las Exportaciones Industriales Brasileñas durante la Década de 1980," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 31(92), pages 3-26.
    18. Denbaly, Mark & Vroomen, Harry, 1991. "Elasticities of Fertilizer Demands for Corn in the Short and the Long Run: A Cointegrated and Error-Correcting System," Staff Reports 278575, United States Department of Agriculture, Economic Research Service.
    19. Hung, Juann H., 1997. "The exchange rate's impact on overseas profits of U.S. multinationals," Journal of Economics and Business, Elsevier, vol. 49(5), pages 439-458.
    20. Takashi Oga, 2021. "Intertemporal Cointegration Model: A New Approach to the Lead–Lag Relationship Between Cointegrated Time Series," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 27-53, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:39:y:1995:i:3:p:279-286. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.