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Contribution empirique au probleme d'agregation de fonctions autoregressives: Le cas de la politique de distribution de dividendes
Author(s) -
Chateau JeanPierre D.
Publication year - 1975
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315101
Subject(s) - mathematics , econometrics , agrégation , economics , statistics , humanities , philosophy , biology , platelet , immunology
This paper deals with the aggregation problem of autoregressive functions. The macrocoefficients of the simplified specification are separated into three components, namely, a true value, an aggregation bias, and an implicit sampling error. Relative importance of these components is studied by using empirical data on a sample of 40 Canadian firms. The notion of aggregation gain of Grunfeld and Griliches is also examined.