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CONTEMPORARY AGGREGATION OVER N ECONOMIC UNITS
COMPARISON OF EXPECTATIONS OF MEANSQUARED ERRORS
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AEMSE aggregate data aggregate dependent variable aggregate model aggregate variables aggregation error aggregation problem analogous macro-model analysis assumption asymptotic variance canonical correlation coefficients Chapter comparison consistent estimator covariances defined derived due to aggregation economic efficiency of prediction EMSE's EMSE»s error component due error of prediction estimation of micro-coefficients exogenous variable explanatory variables first-order autoregression future period prediction Gauss-Markov theorem Hence identity matrix inequality lagged dependent variable least squares linear aggregation m,n mn macro macro-disturbance macro-prediction micro-dependent variables Micro-estimators micro-observations micro-parameters micro-regressions observations obtain OLS estimator OLS method OLS residual parameters pooled estimators positive predicting the aggregate Q and Q quasi-maximum likelihood random disturbance regression coefficients regressors relative efficiency relative magnitudes result sample and future sample period prediction sample statistics serial correlation specification squared canonical correlation squared error statistics sum of squared t-th Table takes the form tion values variance-covariance matrix