We consider the issue of cross sectional aggregation in nonstationary, heterogeneous panels where each unit cointegrates. We first derive the asymptotic properties of the aggregate estimate, and a necessary and sufficient condition for cointegration to hold in the aggregate relationship. We also...

We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and su¢ cient conditions for cointegration to hold in the aggregate relationship. We then analyze...