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

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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Bibliografiske detaljer
Hovedforfatter:	Rebucci, Alessandro
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2003.
Serier:	IMF Working Papers; Working Paper ; No. 2003/073
Fag:	Estimation Multiple Or Simultaneous Equation Models WP
Online adgang:	Full text available on IMF

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