This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

to geographic aggregation. After reviewing the tradeoffs associated with more- and less-disaggregated analyses … of geographic aggregation. This analysis reveals that more-disaggregated analyses severely understate the extent to which …

The internet and other large textual databases contain billions of documents: is there useful information in the number …

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

exchange rate uncertainty. Based on this micro foundation an aggregation approach is presented. Under uncertainty, intervals of … where the aggregation of microeconomic real options effects under uncertainty are relevant, they may even be of a more …

significant and correctly signed class size effects increases the higher the level of aggregation used to measure class size. …

The consequences of aggregation, temporal or spatial, for the estimation of demand models are theoretically well … model at the most aggregated levels. Indeed, the results for quadratic adjustment costs confirm that aggregation along both …