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Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends

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  • Okui, Ryo
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Abstract

We consider the estimation of autocovariances using panel data with incidental trends under double asymptotics. The conventional autocovariance estimator suffers from a bias whose value is approximated by twice the long-run variance. We propose a bias-corrected estimator.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176511001066
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 112 (2011)
Issue (Month): 1 (July)
Pages: 49-52

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Handle: RePEc:eee:ecolet:v:112:y:2011:i:1:p:49-52

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Autocovariance Bias correction Double asymptotics Incidental trend Panel data;

References

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  1. Phillips, Peter C.B. & Sul, Donggyu, 2007. "Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 162-188, March.
  2. Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, 07.
  3. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  4. Okui, Ryo, 2010. "Asymptotically Unbiased Estimation Of Autocovariances And Autocorrelations With Long Panel Data," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1263-1304, October.
  5. Hahn, Jinyong & Moon, Hyungsik Roger, 2006. "Reducing Bias Of Mle In A Dynamic Panel Model," Econometric Theory, Cambridge University Press, vol. 22(03), pages 499-512, June.
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Cited by:
  1. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.

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