Linear Aggregation with Common Trends and Cycles
IGIER Working Paper No. 160
18 Pages Posted: 30 Mar 2000
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: 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
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