1. Economics and Consumer Behavior
2. See, eg GAO report number GAO-04-96, “Energy Markets: Effects of Mergers and Market Concentration in the US Petroleum Industry” (Washington, DC, US Government Accounting Office, 2004).
3. A more obvious problem with using the aggregated data is as follows: suppose that individuals’ incomes change in such a way that aggregate income does not (eg some changes in income are positive and some are negative, and they cancel each other out). Under these circumstances, the macro-regression would predict no change. However, if individual responses to income differ, aggregate demand predicted by the micro-regressions may indeed change.
4. This example summed over individuals. Aggregating over time is mathematically identical. Aggregating over commodities or more than one dimension is a generalisation and is discussed in Theil.