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Bias-corrected estimation of panel vector autoregressions

Author

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  • Geert Dhaene

    (UCL - Université Catholique de Louvain = Catholic University of Louvain)

  • Koen Jochmans

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

Abstract

We derive a bias-corrected least-squares estimator for panel vector autoregressions with fixed effects. The estimator is straightforward to implement and is asymptotically unbiased under asymptotics where the number of time series observations and the number of cross-sectional observations grow at the same rate. This makes the estimator particularly well suited for most macroeconomic data sets.

Suggested Citation

  • Geert Dhaene & Koen Jochmans, 2016. "Bias-corrected estimation of panel vector autoregressions," SciencePo Working papers Main hal-03392010, HAL.
    • Handle: RePEc:hal:spmain:hal-03392010
    DOI: 10.1016/j.econlet.2016.06.010
    Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03392010
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    References listed on IDEAS

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    Cited by:

    1. Ba Chu & Shafiullah Qureshi, 2020. "Predicting the COVID-19 pandemic in Canada and the US," Economics Bulletin, AccessEcon, vol. 40(3), pages 2565-2585.

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    More about this item

    Keywords

    Bias Correction; Fixed Effects; Panel Data; Vector Autoregression;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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