Linear Aggregation with Common Trends and Cycles

IGIER Working Paper No. 160

18 Pages Posted: 30 Mar 2000

See all articles by Massimiliano Giuseppe Marcellino

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Date Written: September 1999

Abstract

We propose a general framework to study whether and how common trends and common cycles are still present when the original variables are linearly aggregated or only a subset of them is analysed. This is particularly important because of the adoption in empirical analysis of aggregated data on a limited number of variables.

JEL Classification: C22, C43

Suggested Citation

Marcellino, Massimiliano, Linear Aggregation with Common Trends and Cycles (September 1999). IGIER Working Paper No. 160, Available at SSRN: https://ssrn.com/abstract=201769 or http://dx.doi.org/10.2139/ssrn.201769

Massimiliano Marcellino (Contact Author)

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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