The Resource On the heterogeneity bias of pooled estimators in stationary VAR specifications, Alessandro Rebucci

On the heterogeneity bias of pooled estimators in stationary VAR specifications, Alessandro Rebucci

Label
On the heterogeneity bias of pooled estimators in stationary VAR specifications
Title
On the heterogeneity bias of pooled estimators in stationary VAR specifications
Statement of responsibility
Alessandro Rebucci
Creator
Contributor
Author
Subject
Language
eng
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
Member of
Action
digitized
Cataloging source
OCLCE
Illustrations
illustrations
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 no.03/73
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
WP/03/73
Label
On the heterogeneity bias of pooled estimators in stationary VAR specifications, Alessandro Rebucci
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 42-44)
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn647183329
Dimensions
unknown
Extent
1 online resource (44 pages)
File format
one file format
Form of item
online
Isbn
9781281345714
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
http://library.link/vocab/recordID
.b37170934
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • (OCoLC)647183329
  • imf1281345717
System details
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.

Library Locations

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      -38.195656 144.304955
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