On the heterogeneity bias of pooled estimators in stationary VAR specifications /

On the heterogeneity bias of pooled estimators in stationary VAR specifications /

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Bibliographic Details
Author / Creator:	Rebucci, Alessandro, author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2003.
Description:	1 online resource (44 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/03/73 IMF working paper ; WP/03/73.
Subject:	Estimation theory. Autoregression (Statistics) Time-series analysis. Probabilities. Risk -- Econometric models. Probability Autoregression (Statistics) Estimation theory. Probabilities. Risk -- Econometric models. Time-series analysis.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496806

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Research Department.
ISBN:	1451895933 9781451895933 1281345717 9781281345714 9786613779281 6613779288
Notes:	Includes bibliographical references (pages 42-44). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations. The main results are: (i) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications; (ii) in Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution.
Other form:	Print version: Rebucci, Alessandro. On the heterogeneity bias of pooled estimators in stationary VAR specifications. [Washington, D.C.] : International Monetary Fund, ©2003
Standard no.:	10.5089/9781451895933.001

Description
Summary:	This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations. The main results are: (i) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications; (ii) in Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution.
Physical Description:	1 online resource (44 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references (pages 42-44).
ISBN:	1451895933 9781451895933 1281345717 9781281345714 9786613779281 6613779288
ISSN:	2227-8885 ;