Aggregation and the long run properties of economic time series

Gábor Kőrösi, László Lovrics, László Mátyás

Research output: Contribution to journalArticlepeer-review

Abstract (may include machine translation)

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.

Original languageEnglish
Pages (from-to)279-286
Number of pages8
JournalMathematics and Computers in Simulation
Volume39
Issue number3-4
DOIs
StatePublished - 24 Nov 1995
Externally publishedYes

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