VAR models with common cyclical features imply parsimonious univariate final equations, justifying the use of both time series aggregation, and homogenous panels with common factors and dynamic heterogeneity. However, conducting statistical inferences based on too restrictive models might be mis-leading
Cubadda, G., Hecq, A., Palm, F. (2008). Macro-panels and reality. ECONOMICS LETTERS, 99(3), 537-540 [10.1016/j.econlet.2007.09.046].
Macro-panels and reality
CUBADDA, GIANLUCA;
2008-01-01
Abstract
VAR models with common cyclical features imply parsimonious univariate final equations, justifying the use of both time series aggregation, and homogenous panels with common factors and dynamic heterogeneity. However, conducting statistical inferences based on too restrictive models might be mis-leadingFile in questo prodotto:
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