On the heterogeneity bias of pooled estimators in stationary VAR specifications /
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12496806 |
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| 100 | 1 | |a Rebucci, Alessandro, |e author. |0 http://id.loc.gov/authorities/names/no2002006529 | |
| 245 | 1 | 0 | |a On the heterogeneity bias of pooled estimators in stationary VAR specifications / |c Alessandro Rebucci. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2003. | ||
| 300 | |a 1 online resource (44 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/03/73 | |
| 504 | |a Includes bibliographical references (pages 42-44). | ||
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| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
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| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Estimation theory. |0 http://id.loc.gov/authorities/subjects/sh85044957 | |
| 650 | 0 | |a Autoregression (Statistics) |0 http://id.loc.gov/authorities/subjects/sh85010465 | |
| 650 | 0 | |a Time-series analysis. |0 http://id.loc.gov/authorities/subjects/sh85135430 | |
| 650 | 0 | |a Probabilities. |0 http://id.loc.gov/authorities/subjects/sh85107090 | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 2 | |a Probability |0 https://id.nlm.nih.gov/mesh/D011336 | |
| 650 | 6 | |a Théorie de l'estimation. | |
| 650 | 6 | |a Autorégression (Statistique) | |
| 650 | 6 | |a Série chronologique. | |
| 650 | 6 | |a Probabilités. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 7 | |a probability. |2 aat | |
| 650 | 7 | |a Autoregression (Statistics) |2 fast |0 (OCoLC)fst00824203 | |
| 650 | 7 | |a Estimation theory. |2 fast |0 (OCoLC)fst00915531 | |
| 650 | 7 | |a Probabilities. |2 fast |0 (OCoLC)fst01077737 | |
| 650 | 7 | |a Risk |x Econometric models. |2 fast |0 (OCoLC)fst01098121 | |
| 650 | 7 | |a Time-series analysis. |2 fast |0 (OCoLC)fst01151190 | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 776 | 0 | 8 | |i Print version: |a Rebucci, Alessandro. |t On the heterogeneity bias of pooled estimators in stationary VAR specifications. |d [Washington, D.C.] : International Monetary Fund, ©2003 |w (OCoLC)52130797 |
| 830 | 0 | |a IMF working paper ; |v WP/03/73. |0 http://id.loc.gov/authorities/names/no89010263 | |
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