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Asymptotically Unbiased Estimation Of Autocovariances And Autocorrelations With Long Panel Data

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  • Okui, Ryo

Abstract

An important reason for analyzing panel data is to observe the dynamic nature of an economic variable separately from its time-invariant unobserved heterogeneity. This paper examines how to estimate the autocovariances of a variable separately from its time-invariant unobserved heterogeneity. When both cross-sectional and time series sample sizes tend to infinity, we show that the within-group autocovariances are consistent, although they are severely biased when the time series length is short. The biases have the leading term that converges to the long-run variance of the individual dynamics. This paper develops methods to estimate the long-run variance in panel data settings and to alleviate the biases of the within-group autocovariances based on the proposed long-run variance estimators. Monte Carlo simulations reveal that the procedures developed in this paper effectively reduce the biases of the estimators for small samples.

Suggested Citation

  • 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.
  • Handle: RePEc:cup:etheor:v:26:y:2010:i:05:p:1263-1304_99
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    Cited by:

    1. Okui, Ryo, 2009. "Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2897-2909.
    2. Ryo Okui & Takahide Yanagi, 2014. "Panel Data Analysis with Heterogeneous Dynamics," KIER Working Papers 906, Kyoto University, Institute of Economic Research.
    3. 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.
    4. Okui, Ryo, 2011. "Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends," Economics Letters, Elsevier, vol. 112(1), pages 49-52, July.
    5. repec:bla:jecrev:v:68:y:2017:i:3:p:283-304 is not listed on IDEAS
    6. Timothy J. Vogelsang & Jingjing Yang, 2016. "Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 723-740, November.
    7. repec:eee:ecolet:v:165:y:2018:i:c:p:21-27 is not listed on IDEAS

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