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dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.contributor.authorChudik, Alexanderen_US
dc.date.accessioned2011-06-14en_US
dc.date.accessioned2011-06-28T13:54:01Z-
dc.date.available2011-06-28T13:54:01Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:101:1-201104113515en_US
dc.identifier.urihttp://hdl.handle.net/10419/46060-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherIZA Bonnen_US
dc.relation.ispartofseriesDiscussion paper series // Forschungsinstitut zur Zukunft der Arbeit 5478en_US
dc.subject.jelC43en_US
dc.subject.jelE31en_US
dc.subject.ddc330en_US
dc.subject.keywordaggregationen_US
dc.subject.keywordlarge dynamic panelsen_US
dc.subject.keywordlong memoryen_US
dc.subject.keywordweak and strong cross section dependenceen_US
dc.subject.keywordVAR modelsen_US
dc.subject.keywordimpulse responsesen_US
dc.subject.keywordfactor modelsen_US
dc.subject.keywordinflation persistenceen_US
dc.subject.stwPanelen_US
dc.subject.stwAggregationen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwTheorieen_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwInflationsrateen_US
dc.subject.stwHysteresisen_US
dc.subject.stwLebenshaltungsindexen_US
dc.subject.stwAggregationen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwFrankreichen_US
dc.subject.stwItalienen_US
dc.titleAggregation in large dynamic panelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn66205587Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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