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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- 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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