Publication:
Cointegration and aggregation

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1993-09
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Elsevier
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Abstract
This paper explores the conditions under which cointegration at the micro level implies cointegration at the macro level and vice versa. The aggregation conditions considered in this paper are in terms of common factors assumptions rather than the representative agent assumption, thereby allowing for a certain kind of heterogeneity among agents.
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Aggregation, Cointegration, Common factors
Bibliographic citation
Ricerche Economiche, September 1993, vol. 47, nº 3, p. 281-291