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"Computing Median Unbiased Estimates in Macroeconometric Models," Journal of Applied Econometrics, 1996.

Paper: pdf file Abstract
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.

Comments
This paper discusses how stochastic simulation can be used to obtain median unbiased estimates in macroeconometric models. The US model is used for the applications. The material in Chapter 7, Section 7.4, and Chapter 8, Section 8.3, in 1994#2 is based on this paper.