On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications /

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)...

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Detalhes bibliográficos
Autor principal: Rebucci, Alessandro
Formato: Periódico
Idioma:English
Publicado em: Washington, D.C. : International Monetary Fund, 2003.
coleção:IMF Working Papers; Working Paper ; No. 2003/073
Assuntos:
Acesso em linha:Full text available on IMF