It is shown how one can effectively use cross-section data in modelling the change over time in aggregate consumption expenditure of a heterogeneous population. The starting point of our aggregation analysis is a dynamic behavioral relation on the household level. Based on certain hypotheses on...

It is shown how one can effectively use microdata in modelling the change over time in an aggregate (e.g. mean consumption expenditure) of a large and heterogeneous population. The starting point of our aggregation analysis is a specification of explanatory variables on the micro-level....

Our paper introduces a new estimation method for arbitrary temporal heterogeneity in panel data models. The paper provides a semiparametric method for estimating general patterns of cross-sectional specific time trends. The methods proposed in the paper are related to principal component...

This work deals with a generalization of the Total Least Squares method in the context of the functional linear model. We first propose a smoothing splines estimator of the functional coefficient of the model without noise in the covariates and we obtain an asymptotic result for this estimator....

Non-parametric data envelopment analysis (DEA) estimators based on linear programming methods have been widely applied in analyses of productive efficiency. The distributions of these estimators remain unknown except in the simple case of one input and one output, and previous bootstrap methods...

This paper deals with different concepts of income elasticities of demand for a heterogenous population and the relationship between individual and aggregate elasticities is analyzed. In general, the aggregate elasticity is not equal to the mean of individual elasticities. The difference depends...

Functional principal component analysis (FPCA) based on the Karhunen-Loève decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not...

We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate...

The aggregate Frisch elasticity of labor supply has played a key role in business cycle analysis. This paper develops a statistical aggregation procedure which allows for worker heterogeneity in observables and unobservables and is applicable to an individual labor supply function with...