We explore the effect of cross-sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks. The analysis is performed on data collected daily from individual fuel stations in the Spanish metropolitan areas of Madrid and Barcelona. While the standard OLS estimator is applied to an error correction model in the case of the aggregated time series, we use the mean group approaches developed by Pesaran and Smith (1995) and Pesaran (2006) to estimate the short- and long-run micro-relations under heterogeneity. We found remarkable differences between the results of estimations using aggregated and disaggregated data, which are highly robust to both datasets considered. Our findings could help to explain many of the results in the literature on this research topic. On the one hand, they suggest that the typical estimation with aggregated data clearly tends to overestimate the persistence of shocks. On the other hand, we show that aggregation may generate a loss of efficiency in econometric estimates that is sufficiently large to hide the existence of the “rockets and feathers” phenomenon. The authors wish to thank members of the Department of Economics at the University of Sheffield (UK) for their comments and suggestions during the research stay of Jordi Ripollés in fall 2013. Financial support from the European Union FEDER funds and the Spanish Ministry of Economy and Competitiveness (ECO2013-48496-C4-1-R; ECO2014-58975-P), and the Universitat Jaume I (P1-1B2012-59) are gratefully acknowledged.