This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in …) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data …

-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

learning algorithms. We focus on potential estimation bias due to prediction errors by the machine learning algorithm …. Unfolding the causes of bias, we point out important differences from classical measurement errors. Particularly, bias of either … direction is possible. We derive a strategy to alleviate the bias, under the typical setting that the feature is correctly …

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in …) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data …