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) in Monte Carlo simulations. The main results... READ MORE...

Publication date: April 2003
ISBN 9781451849486
$15.00

Add to Cart by clicking price of the language and format you'd like to purchase

Available Languages and Formats

Paperback

Publication date: April 2003

PDF

Publication date: April 2003

ePub

Publication date: April 2003

Mobi

Publication date: April 2003

English