Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
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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- Peter C.B. Phillips & Donggyu Sul, 2003.
"Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence,"
Cowles Foundation Discussion Papers
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- Phillips, Peter & Sul, Donggyu, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Working Papers 177, Department of Economics, The University of Auckland.
- Peter C.B. Phillips & Donggyu Sul, 2004. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Yale School of Management Working Papers ysm428, Yale School of Management.
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- Donald W.K. Andrews, 1988.
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877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
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- Jinyong Hahn & Hyungsik Roger Moon, 2004.
"Reducing Bias of MLE in a Dynamic Panel Model,"
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- 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.
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