Computing median unbiased estimates in macroeconometric models
提出一种随机模拟方法，用于在宏观计量经济模型中获取中位数无偏估计，并基于18个方程的计算结果评估了2SLS偏差的大小及其对模型预测精度和乘数性质的影响。
A stochastic simulation procedure is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for 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.