In this paper we provide a formal analysis of the effect of linear contemporaneous aggregation, in the sense of averaging, of ARMA processes driven by a common and an idiosyncratic shock, with random coefficients, as the number of microunits goes to infinity. Heterogeneity of the coefficients is described by means of a mild semiparametric specification of their probability distribution. The possibility of long memory and non-stationarity is fully characterized. The different implications, for aggregate behaviour, of the common and idiosyncratic shocks are presented in details. We propose an empirical application where we estimate the cross-sectional distribution of the parameters governing heterogeneous first-order autoregressive processes, based on a real data set. © 2003 Elsevier B.V. All rights reserved.

Contemporaneous aggregation of linear dynamic models in large economies / Zaffaroni, Paolo. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 120:1(2004), pp. 75-102. [10.1016/s0304-4076(03)00207-0]

Contemporaneous aggregation of linear dynamic models in large economies

ZAFFARONI, Paolo
2004

Abstract

In this paper we provide a formal analysis of the effect of linear contemporaneous aggregation, in the sense of averaging, of ARMA processes driven by a common and an idiosyncratic shock, with random coefficients, as the number of microunits goes to infinity. Heterogeneity of the coefficients is described by means of a mild semiparametric specification of their probability distribution. The possibility of long memory and non-stationarity is fully characterized. The different implications, for aggregate behaviour, of the common and idiosyncratic shocks are presented in details. We propose an empirical application where we estimate the cross-sectional distribution of the parameters governing heterogeneous first-order autoregressive processes, based on a real data set. © 2003 Elsevier B.V. All rights reserved.
2004
arma; common and idiosyncratic shocks; contemporaneous aggregation; long memory; non-stationarity
01 Pubblicazione su rivista::01a Articolo in rivista
Contemporaneous aggregation of linear dynamic models in large economies / Zaffaroni, Paolo. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 120:1(2004), pp. 75-102. [10.1016/s0304-4076(03)00207-0]
File allegati a questo prodotto
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/113851
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 88
  • ???jsp.display-item.citation.isi??? 84
social impact