01929cas a2200277 a 4500 AALejournalIMF002318 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451849486 1018-5941 BD-DhAAL BD-DhAAL Rebucci, Alessandro. On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications / Alessandro Rebucci. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (45 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Estimation imf Multiple Or Simultaneous Equation Models imf WP imf IMF Working Papers; Working Paper ; No. 2003/073 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/073/001.2003.issue-073-en.xml IMF e-Library