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| Author: | Garderen, K. J. van Lee, K. Pesaran, M. H. |
| Title: | Cross-sectional aggregation of non-linear models |
| Journal: | Journal of Econometrics
2000 : APR, VOL. 95:2, p. 285-331 |
| Index terms: | ECONOMETRICS ECONOMIC THEORY PRODUCTION NON-LINEAR MODELS |
| Language: | eng |
| Abstract: | This study investigates the problem of cross-sectional aggregation when the underlying micro-behavioral relations are characterized by general non-linear specifications. The study focuses on forecasting the aggregates and shows how an optimal aggregate model can be derived by minimizing the mean squared prediction errors conditional on the aggregate information. The study also derives model selection criteria for distinguishing aggregate and disaggregate models. |
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