On the properties of various estimators for fiscal reaction functions

On the properties of various estimators for fiscal reaction functions /

This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions-that is, relationships between the primary fiscal balance and its determinants, including public debt a...

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Online Access: Full text (MCPHS users only)
Main Authors: Celasun, Oya (Author), Shik Kang, Joong (Author)
Format: Electronic eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, IMF Institute, 2006
Series:IMF working paper ; WP/06/182.
Subjects:
Fiscal policy > Econometric models.
Finance, Public.
Local Note:ProQuest Ebook Central

MARC

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245 1 0 |a On the properties of various estimators for fiscal reaction functions /  |c prepared by Oya Celasun and Joong Shik Kang. 
260 |a [Washington, D.C.] :  |b International Monetary Fund, IMF Institute,  |c 2006. 
300 |a 1 online resource (27 pages). 
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490 1 |a IMF working paper,  |x 2227-8885 ;  |v WP/06/182 
504 |a Includes bibliographical references. 
505 0 |a Contents -- I. INTRODUCTION -- II. BIASES OF ORDINARY-LEAST-SQUARES (OLS) AND LEAST-SQUARES-WITH-DUMMY VARIABLES (LSDV) ESTIMATORS: ANALYTICAL SOLUTIONS -- III. MONTE CARLO EXPERIMENTS -- IV. CONCLUSION -- References 
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520 |a This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions-that is, relationships between the primary fiscal balance and its determinants, including public debt and the output gap. A previously unexplored methodological issue in these estimations is that lagged debt is not a strictly exogenous variable, which biases the LSDV estimator in short panels. We derive the bias analytically to understand its determinants and run Monte Carlo simulations to assess its likely size in empirical work. We find the bias to be smaller than the bias of the LSDV estimator in a comparable autoregressive dynamic panel model and show the LSDV method to outperform a number of alternatives in estimating fiscal reaction functions. 
533 |a Electronic reproduction.  |b [S.l.] :  |c HathiTrust Digital Library,  |d 2010.  |5 MiAaHDL 
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650 0 |a Fiscal policy  |x Econometric models. 
650 0 |a Finance, Public. 
700 1 |a Shik Kang, Joong,  |e author. 
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776 0 8 |i Print version:  |a Celasun, Oya.  |t On the properties of various estimators for fiscal reaction functions.  |d [Washington, D.C.] : International Monetary Fund, ©2006  |w (OCoLC)169960017 
830 0 |a IMF working paper ;  |v WP/06/182. 
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