Before revision:  We consider a setting common to modern macroeconomic and financial models where many counties/regions/ macro-variables/ assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous micro-parameters estimated separately for each entity.
After revision:  We consider a setting common to modern macroeconomic and financial models where many counties/regions/ assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous micro-parameters estimated separately for each entity.