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Computing Median Unbiased Estimates in Macroeconometric Models

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  • Fair, Ray C

Abstract

A stochastic simulation model is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for the lagged dependent variable (LDV) coefficients in 18 equations of a macroeconometric model. The 2SLS bias for a coefficient, defined as the difference between the 2SLS estimate and the MU estimate, is on average smaller in absolute value than would be expected from Andrews' exact results for an equation with only a constant term, time trend, and LDV. The results also show that in a practical sense the estimated biases are not very large because they have little effect on the overall predictive accuracy of the model and on its multiplier properties. Copyright 1996 by John Wiley & Sons, Ltd.

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File URL: http://qed.econ.queensu.ca:80/jae/1996-v11.4/
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 11 (1996)
Issue (Month): 4 (July-Aug.)
Pages: 431-35

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Handle: RePEc:jae:japmet:v:11:y:1996:i:4:p:431-35

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Cited by:
  1. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Society for Computational Economics, vol. 31(1), pages 21-43, February.
  2. Kenneth Rogoff & Yu-chin Chen, 2002. "Commodity Currencies and Empirical Exchange Rate Puzzles," IMF Working Papers 02/27, International Monetary Fund.
  3. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.

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