Bias-corrected estimation of panel vector autoregressions

DOI10.1016/J.ECONLET.2016.06.010zbMath1400.62173OpenAlexW2430371650MaRDI QIDQ1670169

Koen Jochmans, Geert Dhaene

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://spire.sciencespo.fr/hdl:/2441/7si2u15cul9u5a44sevcgkbaa9

zbMATH Keywords

fixed effectspanel databias correctionvector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Time-specific average estimation of dynamic panel regressions ⋮ Bias corrections for two-step fixed effects panel data estimators

Cites Work

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• Estimating Vector Autoregressions with Panel Data
• Bias in dynamic panel models under time series misspecification
• Panel Vector Autoregressive Models: A Survey
• Biases in Dynamic Models with Fixed Effects
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Linear Regression Limit Theory for Nonstationary Panel Data
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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