We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct...

We provide key insights on expectation formation based on the Bloomberg economic survey: around two thirds of professional forecasters provide GDP forecasts that are temporally consistent, meaning that quarterly forecasts add up to the annual. Temporally consistent forecasts are not more...

Aggregate measures of real GDP growth obtained from the GDP by Industry Accounts often differ from the featured measure of real GDP growth obtained from the National Income and Product Accounts (NIPAs). We find that differences in source data account for most of the difference in aggregate real...

Explanations of procyclical productivity play a key role in a variety of business-cycle models. Most of these models, however, explain this procyclicality within a representative-firm paradigm. This procedure is misleading. We decompose aggregate productivity changes into several terms, each of...

This paper presents an (S,s) model for automobile consumption and estimates it using a data set of US households. The model allows for unobserved heterogeneity in both the target level and the band width, takes into account the possibility of a zero desired level, constrains the band to be non...

Standard models of aggregate demand treat money and credit asymmetrically; money is given a special status, while loans, bonds, and other debt instruments are lumped together in a "bond market" and suppressed by Walras' Law. This makes bank liabilities central to the monetary transmission...

How can low consumer spending cause an inefficient recession or recovery? We propose a real theory of aggregate demand shortages that does not rely on nominal rigidities. In our theory, an economy can be demand constrained when, i) productivity in the consumption goods sector can be improved or...

This paper attempts to reconcile the contradictory findings in the debate over school resources and school effectiveness by highlighting the role of aggregation in the presence of omitted variables bias. While data aggregation for well-specified linear models yields unbiased parameter estimates,...

A forecast produced by an econometric model is a weighted aggregate of predetermined variables in the model. In many models the number of predetermined variables used is very large, often exceeding the number of observations. A method is proposed in this paper for testing an econometric model as...

The basic premise of this paper is that understanding aggregate dynamics requires considering that agents are heterogeneous and that they do not adjust continuously to the shocks they perceive. We provide a general characterization of lumpy behavior at the microeconomic level in terms of an...

We present a picture of the labor market, one with large flows of jobs and workers, and matching. We develop a consistent approach to the interaction among those flows and the stocks of unemployed workers and vacant jobs, and to the determination of wages. We estimate the matching function,...

This paper examines the quantitative importance of temporal aggregation bias in distorting parameter estimates and hypothesis tests. Our strategy is to consider two empirical examples in which temporal aggregation bias has the potential to account for results which are widely viewed as being...

This econometric study seeks to determine the most important factors of aggregate demand in Egypt so as to provide insight into how this developing nation can grow economically in the coming years. The Ordinary Least Squares estimation method was used in order to estimate nominal GDP for the...

This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is...

In this paper, we show that a concept of aggregation can hold in large network games with linear best replies. Breaking up large networks into smaller subnetworks, which can be replaced by representative players, leads to a coarse-grained description of strategic interactions. This method of...

We investigate how individuals think groups should aggregate members’ ordinal preferences -that is, how they interpret “the will of the people.” In an experiment, we elicit revealed attitudes toward ordinal preference aggregation and classify subjects according to the rules they apparently...

Proper measurement and aggregation of trade costs is of paramount importance for sound academic and policy analysis of the determinants - particularly those of policy - of economic outcomes. The international trade profession has witnessed significant new developments, both on the theoretical...

The modern Condorcet jury theorem states that under weak conditions, when voters have common interests, elections will aggregate information when the population is large, in any equilibrium. Here, we study the performance of large elections with population uncertainty. We find that the modern...

In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...

An agent has access to multiple information sources, each of which provides information about a different attribute of an unknown state. Information is acquired continuously---where the agent chooses both which sources to sample from, and also how to allocate attention across them---until an...

The paper demonstrates the general difficulty of inferring the structure of adjustment costs from aggregated, including industry data, except in the unlikely case that costs are symmetric and quadratic at the micro level. The implications of this difficulty for cross-national comparisons of...

The evidence presented in this paper indicates that changes in government spending, transfers and taxes can have substantial effects on aggregate demand. The estimates also indicate that the promise of future social security benefits significantly reduces private saving. Each of the basic...

This article summarizes our views on the role of an "aggregation bias" in explaining the PPP Puzzle, in response to the several papers recently written in reaction to our initial contribution. We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and...

Previous tests of the permanent income hypothesis (PIH) have focused on either nondurables or durables expenditures in isolation. This paper studies consumer purchases of nondurables and durables as the outcome of a single optimization problem.It is shown that the presence of adjustment costs of...

Recently, Imbs et. al. (2002) have claimed that much of the purchasing power parity puzzle can be explained by aggregation bias'. This paper re-examines aggregation bias. First, it clarifies the meaning of aggregation bias and its applicability to the PPP puzzle. Second, the size of the bias' is...

The 90s have witnessed a revival in economists' interest and hope of explaining" aggregate and microeconomic investment behavior. New theories, better econometric" procedures, and more detailed panel data sets are behind this movement. Much of the progress" has occurred at the level of...

We study a monopolist that uses the following scheme to gauge market traction for its common-value, excludible product. The monopolist offers its product at a given price, and each potential consumer decides whether to buy it. The contributions are collected. The product is supplied only if the...

This paper takes seriously that the quasilinear utility model is an approximation. We interpret approximation error as arising because individuals are satisficers. We investigate the consequences of individual satisficng for modelling aggregate demand, providing an approximate aggregation...

We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information—the betweenness property that is both necessary and sufficient for information aggregation. The characterization provides...

We propose a novel conceptual approach to transparently characterizing credit market outcomes in economies with multi-dimensional borrower heterogeneity. Based on characterizations of securities' implicit demand for bank equity capital, we obtain closed-form expressions for the composition of...

In this paper we propose a novel approach to obtain the predictive density of global GDP growth. It hinges upon a bottom-up probabilistic model that estimates and combines single countries' predictive GDP growth densities, taking into account cross-country interdependencies. Specifically,we...

This paper applies recent advances in machine learning to a long-standing macroeconomics question by using density peaks clustering to improve estimation of aggregate price indexes. To measure a price index that properly accounts for consumer welfare, it is important to consider the effect of...

We extract aggregate demand and supply shocks for the US economy from real-time survey data on inflation and real GDP growth using a novel identification scheme. Our approach exploits non-Gaussian features of macroeconomic forecast revisions and imposes minimal theoretical assumptions. After...

In an environment with dispersed information, how much can agents learn from past endogenous aggregate outcomes such as prices or output? We show that, in a rational expectations equilibrium, two possible regimes can arise endogenously: a perfect revealing regime and a confounding regime. The...

The current Energy Market is not yet ready for the integration of the Smart Grid context. Concepts such as Demand Response and Distributed Generation, namely renewable energy resources, are not yet included in current business models in order to the system flow properly. Therefore, the authors...

We define the nagging predictor, which, instead of using bootstrapping to produce a series of i.i.d. predictors, exploits the randomness of neural network calibrations to provide a more stable and accurate predictor than is available from a single neural network run. Convergence results for the...

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a high-frequency series. Based on the theory of...