IDEAS home Printed from https://ideas.repec.org/p/cwl/cwldpp/1005.html

Estimates of the Bias of Lagged Dependent Variable Coefficient Estimates in Macroeconomic Equations

Author

Abstract

A stochastic-simulation method is proposed in this paper for obtaining median unbiased estimates of lagged dependent variable coefficients in macroeconomic models. Estimated biases for 13 equations of a macroeconomic model are computed. These biases are on average somewhat smaller in absolute bias than would be expected from Andrews' exact results for an equation with only a constant term, time trend, and lagged dependent variable, although they are larger than would be expected from Hurwicz's original estimates. 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.

Suggested Citation

  • Ray C. Fair, 1992. "Estimates of the Bias of Lagged Dependent Variable Coefficient Estimates in Macroeconomic Equations," Cowles Foundation Discussion Papers 1005, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:1005
    as

    Download full text from publisher

    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1005.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-1391, September.
    2. Orcutt, Guy H & Winokur, Herbert S, Jr, 1969. "First Order Autoregression: Inference, Estimation, and Prediction," Econometrica, Econometric Society, vol. 37(1), pages 1-14, January.
    3. Donald W.K. Andrews, 1991. "Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models," Cowles Foundation Discussion Papers 975, Cowles Foundation for Research in Economics, Yale University.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Donald W.K. Andrews & Hong-Yuan Chen, 1992. "Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series," Cowles Foundation Discussion Papers 1026, Cowles Foundation for Research in Economics, Yale University.
    2. Müller, Ulrich K. & Wang, Yulong, 2019. "Nearly weighted risk minimal unbiased estimation," Journal of Econometrics, Elsevier, vol. 209(1), pages 18-34.
    3. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
    4. Carlos A. Medel & Pablo M. Pincheira, 2016. "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 126-131, February.
    5. Timothy J. Vogelsang & Jingjing Yang, 2016. "Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 723-740, November.
    6. Robert Jung & Gerd Ronning & A. Tremayne, 2005. "Estimation in conditional first order autoregression with discrete support," Statistical Papers, Springer, vol. 46(2), pages 195-224, April.
    7. Skold, Karl Durwood, 1989. "The integration of alternative information systems: an application to the Hogs and Pigs report," ISU General Staff Papers 1989010108000010239, Iowa State University, Department of Economics.
    8. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
    9. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    10. Hashem Pesaran, M. & Yamagata, Takashi, 2008. "Testing slope homogeneity in large panels," Journal of Econometrics, Elsevier, vol. 142(1), pages 50-93, January.
    11. Oliver D. Bunn & Robert J. Shiller, "undated". "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.
    12. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
    13. Hisashi Tanizaki & Shigeyuki Hamori & Yoichi Matsubayashi, 2006. "On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods," Statistical Papers, Springer, vol. 47(1), pages 109-124, January.
    14. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 21-43, February.
    15. Hjalmarsson, Erik, 2018. "Maximal predictability under long-term mean reversion," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 269-282.
    16. Chortareas, Georgios & Kapetanios, George, 2009. "Getting PPP right: Identifying mean-reverting real exchange rates in panels," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 390-404, February.
    17. Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 424-448.
    18. Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97.
    19. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    20. Ray C. Fair, 1987. "VAR Models as Structural Approximations," Cowles Foundation Discussion Papers 856R, Cowles Foundation for Research in Economics, Yale University, revised Mar 1989.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1005. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Brittany Ladd (email available below). General contact details of provider: https://edirc.repec.org/data/cowleus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.