{
  "title": "On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications",
  "publication": "IMF Working Papers, April 1, 2003",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/on-the-heterogeneity-bias-of-pooled-estimators-in-stationary-var-specifications-16356",
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  "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).",
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    {
      "heading": "Summary and research question",
      "content": "- 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).\n- Also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations."
    },
    {
      "heading": "Main findings",
      "content": "- (i) Asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications.\n- (ii) In Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators.\n- (iii) When this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution."
    },
    {
      "heading": "Methodology highlights",
      "content": "- Analytical asymptotic study of FE bias under cross-sectional slope heterogeneity in stationary VARs.\n- Monte Carlo simulations to compare FE, MG, and a simple IV alternative across heterogeneity scenarios."
    },
    {
      "heading": "Subject and keywords",
      "content": "- Subject: Vector autoregression, Vector error correction models\n- Keywords: WP\n\n---\n\n Content in this bundle\n\n- On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications - WP/03/73\n  - On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications - WP/03/73 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications - WP/03/73 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/on-the-heterogeneity-bias-of-pooled-estimators-in-stationary-var-specifications-16356"
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    "[Markdown version](/en/publications/wp/issues/2016/12/30/on-the-heterogeneity-bias-of-pooled-estimators-in-stationary-var-specifications-16356/index.md)",
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    "Authors: Alessandro Rebucci",
    "Published: April 1, 2003",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451849486.001",
    "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).",
    "Also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations.",
    "(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.",
    "Analytical asymptotic study of FE bias under cross-sectional slope heterogeneity in stationary VARs.",
    "Monte Carlo simulations to compare FE, MG, and a simple IV alternative across heterogeneity scenarios.",
    "Subject: Vector autoregression, Vector error correction models",
    "Keywords: WP",
    "**On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications - WP/03/73**"
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