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On the properties of various estimators for fiscal reaction functions 1 edition

On the properties of various estimators for fiscal reaction functions
Oya Celasun

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On the properties of various estimators for fiscal reaction functions
prepared by Oya Celasun and Joong Shik Kang.

Published 2006 by International Monetary Fund, Research Dept. in [Washington, D.C.] .
Written in English.

About the Book

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.

Edition Notes

Caption title.

"July 2006."

Includes bibliographical references (p. 26-27).

Also available on the World Wide Web.

Series
IMF working paper -- WP/06/182

The Physical Object

Pagination
27 p. ;
Number of pages
27

ID Numbers

Open Library
OL19374666M

History Created December 9, 2009 · 3 revisions Download catalog record: RDF / JSON

December 3, 2010 Edited by Open Library Bot Added subjects from MARC records.
February 4, 2010 Edited by WorkBot add more information to works
December 9, 2009 Created by WorkBot add works page