|
|
|
|
Title: |
Aggregation and the Endogeneity Problem |
| Author: |
Shin,
Jeong-Shik |
| Author
Affiliation: |
Korea Energy
Econ Inst |
| Source: |
International Economic Journal, Spring 1987, v. 1, no. 1, pp. 57-65 |
|
Publication Date: |
Spring 1987 |
|
Abstract: |
This paper investigates the combined
effects of the aggregation and endogeneity problems when there exists a
correlation between explanatory variables and the error term in the
micro equation. Comparing OLS estimates on the basis of an
asymptotic-square-bias criterion, the analysis indicates that aggregate
equations are in general subject to less endogeneity due to the
synchronization effect. The trade-off between aggregation and
endogeneity biases is examined and the conditions under which the
aggregate equation is superior to the micro equation are derived in
terms of the relative sizes of parameters. |
|
