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  1. Aggregation in large dynamic panels
    Autor*in: Pesaran, M. Hashem; Chudik, Alexander
    Erschienen: 2011
    Verlag:  CESifo, Munich

    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Druck
    Schriftenreihe: CESifo working papers ; No. 3346 : Category 12, Empirical and theoretical methods
    Schlagworte: Panel; Aggregation; Vektor-autoregressives Modell; Faktorenanalyse; Theorie; Schätzung; Inflationsrate; Hysterese; Verbraucherpreisindex
    Weitere Schlagworte: (stw)Panel; (stw)Aggregation; (stw)VAR-Modell; (stw)Faktorenanalyse; (stw)Theorie; (stw)Schätzung; (stw)Inflationsrate; (stw)Hysterese; (stw)Verbraucherpreisindex; (stw)Aggregation; (stw)Deutschland; (stw)Frankreich; (stw)Italien; Arbeitspapier; Graue Literatur; Buch; Online-Publikation
    Umfang: 54 S., graph. Darst., 21 cm
    Bemerkung(en):

    Literaturangaben. - Zusätzliches Online-Angebot unter www.SSRN.com, www.RePEc.org und www.CESifo-group.org/wp
  2. Aggregation in large dynamic panels
    Autor*in: Pesaran, M. Hashem; Chudik, Alexander
    Erschienen: 2011
    Verlag:  CESifo, München

    This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following... mehr

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    Staats- und Universitätsbibliothek Bremen
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    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63 (3346)
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    This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated as N (the number of cross section units) increases. Certain distributional features of micro parameters are also identified from the aggregate function. The paper then establishes Granger's (1980) conjecture regarding the long memory properties of aggregate variables from .a very large scale dynamic, econometric model., and considers the time profiles of the effects of macro and micro shocks on the aggregate and disaggregate variables. Some of these findings are illustrated in Monte Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to which "observed" inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our findings suggest that dynamic heterogeneity as well as persistent common factors are needed for explaining the observed persistence of the aggregate inflation. -- aggregation ; large dynamic panels ; long memory ; weak and strong cross section dependence ; VAR models ; impulse responses ; factor models ; inflation persistence

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/46424
    Schriftenreihe: Array ; 3346
    Schlagworte: Panel; Aggregation; VAR-Modell; Faktorenanalyse; Theorie; Schätzung; Inflationsrate; Hysterese; Verbraucherpreisindex; Aggregation; Deutschland; Frankreich; Italien
    Umfang: Online-Ressource (PDF-Datei: 54 S., 486 KB), graph. Darst.
    Bemerkung(en):

    Parallel als Druckausg. erschienen
  3. Aggregation in large dynamic panels
    Autor*in: Pesaran, M. Hashem; Chudik, Alexander
    Erschienen: 2011
    Verlag:  Univ. of Cambridge, Dep. of Applied Economics, Faculty of Economics, Cambridge

    This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 123 (2011,18)
    Fernleihe:
    keine Fernleihe

     

    This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated as N (the number of cross section units) increases. Certain distributional features of micro parameters are also identified from the aggregate function. The paper then establishes Granger's (1980) conjecture regarding the long memory properties of aggregate variables from 'a very large scale dynamic, econometric model', and considers the time profiles of the effects of macro and micro shocks on the aggregate and disaggregate variables. Some of these findings are illustrated in Monte Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to which 'observed' inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our findings suggest that dynamic heterogeneity as well as persistent common factors are needed for explaining the observed persistence of the aggregate inflation.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 1810/241877
    Schriftenreihe: Cambridge working papers in economics ; 1118
    Schlagworte: Panel; Aggregation; VAR-Modell; Faktorenanalyse; Theorie; Schätzung; Inflationsrate; Hysterese; Verbraucherpreisindex; Aggregation; Deutschland; Frankreich; Italien
    Umfang: Online-Ressource (PDF-Datei: 54 S., 475,23 KB), graph. Darst.
  4. Aggregation in large dynamic panels
    Autor*in: Pesaran, M. Hashem; Chudik, Alexander
    Erschienen: 2011
    Verlag:  IZA, Bonn

    This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 4 (5478)
    Fernleihe:
    keine Fernleihe

     

    This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated as N (the number of cross section units) increases. Certain distributional features of micro parameters are also identified from the aggregate function. The paper then establishes Granger's (1980) conjecture regarding the long memory properties of aggregate variables from 'a very large scale dynamic, econometric model', and considers the time profiles of the effects of macro and micro shocks on the aggregate and disaggregate variables. Some of these findings are illustrated in Monte Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to which "observed" inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our findings suggest that dynamic heterogeneity as well as persistent common factors are needed for explaining the observed persistence of the aggregate inflation. -- aggregation ; large dynamic panels ; long memory ; weak and strong cross section dependence ; VAR models ; impulse responses ; factor models ; inflation persistence

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/46060
    Schriftenreihe: Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit ; 5478
    Schlagworte: Panel; Aggregation; VAR-Modell; Faktorenanalyse; Theorie; Schätzung; Inflationsrate; Hysterese; Verbraucherpreisindex; Aggregation; Deutschland; Frankreich; Italien
    Umfang: Online-Ressource (PDF-Datei: 54 S., 480,44 KB), grapph. Darst.