Estimating aggregate autoregressive processes when only macro data are available |
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Authors: | Eric Jondeau Florian Pelgrin |
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Institution: | 1. Swiss Finance Institute and Faculty of Business and Economics (HEC Lausanne), University of Lausanne, CH 1015 Lausanne, Switzerland;2. EDHEC Business School, France |
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Abstract: | The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on either a parametric regression or a minimum distance approach for use when only macro data are available. Notably, both estimators allow us to recover some moments of the cross-sectional distribution of the autoregressive parameter. Both estimators perform very well in our Monte-Carlo experiment, even with finite samples. |
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Keywords: | C2 C13 |
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