05139oam 22013334 450 991095981420332120250426110948.0978661382098397814623114601462311466978145272390714527239079781282447783128244778597814519890071451989008(CKB)3360000000443137(EBL)3014410(SSID)ssj0000942992(PQKBManifestationID)11566060(PQKBTitleCode)TC0000942992(PQKBWorkID)10975057(PQKB)11110740(OCoLC)712989266(IMF)WPIEE2006182(MiAaPQ)EBC3014410(IMF)WPIEA2006182WPIEA2006182(EXLCZ)99336000000044313720020129d2006 uf 0engur|n|---|||||txtccrOn the Properties of Various Estimators for Fiscal Reaction Functions /Oya Celasun, Joong Kang1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (29 p.)IMF Working Papers"July 2006."9781451864427 1451864426 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/182Fiscal policyEconometric modelsFinance, PublicBondsimfDebt ManagementimfDebtimfDebts, PublicimfEconometric modelsimfEconometrics & economic statisticsimfEconometricsimfEconomic theoryimfEstimation techniquesimfEstimationimfFiscal PolicyimfFiscal policyimfFiscal stanceimfGeneral Financial Markets: General (includes Measurement and Data)imfInvestment & securitiesimfInvestments: BondsimfMacroeconomicsimfMacroeconomics: ProductionimfNational Deficit SurplusimfOutput gapimfPanel Data ModelsimfProduction and Operations ManagementimfProductionimfPublic debtimfPublic finance & taxationimfPublic FinanceimfSovereign DebtimfSpatio-temporal ModelsimfFiscal policyEconometric models.Finance, Public.BondsDebt ManagementDebtDebts, PublicEconometric modelsEconometrics & economic statisticsEconometricsEconomic theoryEstimation techniquesEstimationFiscal PolicyFiscal policyFiscal stanceGeneral Financial Markets: General (includes Measurement and Data)Investment & securitiesInvestments: BondsMacroeconomicsMacroeconomics: ProductionNational Deficit SurplusOutput gapPanel Data ModelsProduction and Operations ManagementProductionPublic debtPublic finance & taxationPublic FinanceSovereign DebtSpatio-temporal ModelsCelasun Oya1816281Kang Joong1449952DcWaIMFBOOK9910959814203321On the Properties of Various Estimators for Fiscal Reaction Functions4372204UNINA