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|c 5.00 USD
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|z 9781451849486
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Rebucci, Alessandro.
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|a On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications /
|c Alessandro Rebucci.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2003.
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|a 1 online resource (45 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|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.
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|a Mode of access: Internet
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|a Estimation
|2 imf
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|a Multiple Or Simultaneous Equation Models
|2 imf
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|a WP
|2 imf
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| 830 |
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|a IMF Working Papers; Working Paper ;
|v No. 2003/073
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2003/073/001.2003.issue-073-en.xml
|z IMF e-Library
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