TY - BOOK ID - 84540134 TI - On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications PY - 2003 SN - 146237218X 145198846X 1281345717 9786613779281 1451895933 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Econometrics KW - Multiple or Simultaneous Equation Models: Models with Panel Data KW - Estimation KW - Simulation Methods KW - Time-Series Models KW - Dynamic Quantile Regressions KW - Dynamic Treatment Effect Models KW - Diffusion Processes KW - Multiple or Simultaneous Equation Models KW - Multiple Variables: General KW - Econometrics & economic statistics KW - Vector autoregression KW - Vector error correction models KW - Econometric models UR - https://www.unicat.be/uniCat?func=search&query=sysid:84540134 AB - 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. ER -