Aggregation and cointegration

TitleAggregation and cointegration
Publication TypeMiscellaneous
AuthorsKőrösi, G., R. Longmire, and L. Mátyás

The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but what happens if their behaviour is heterogeneous? This paper examines the properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals.

Department of Economics and Business