The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Aggregation (Econometrics)

  • Thomas M. Stoker
Reference work entry


The econometrics of aggregation is about modelling the relationship between individual (micro) behaviour and aggregate (macro) statistics, so that data from both levels can be used for estimation and inference about economic parameters. Practical models must address three types of individual heterogeneity – in income and preferences, in wealth and income risk, and in market participation. This entry discusses recent solutions to these problems in the context of demand analysis, consumption modelling and labour supply. Also discussed is work that uses aggregation structure to solve microeconometric estimation problems, and work that addresses whether macroeconomic interactions provide approximate solutions to aggregation problems.


Aggregate demand models Aggregation (econometrics) Aggregation factors Approximate aggregation Calibration Computable stochastic growth models Constant relative risk aversion Demand models Exact aggregation Gorman, W. (Terence) Household demand models Identification Income-risk insurance Individual heterogeneity Industrial organization Law of demand Mills ratio Reservation wage Selection effects Theil, H. Uncorrelated transfers 

JEL Classifications

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Thomas M. Stoker
    • 1
  1. 1.