ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA

DOI10.1017/S0266466609990582zbMath1197.62157OpenAlexW2018184023MaRDI QIDQ4933580

Ryo Okui

Publication date: 14 October 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990582

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (7)

Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends ⋮ Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators ⋮ Panel data analysis with heterogeneous dynamics ⋮ Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean ⋮ A simple nearly unbiased estimator of cross‐covariances

Uses Software

• Ox

Cites Work

• Estimating Vector Autoregressions with Panel Data
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• Panel Data Econometrics
• Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes
• 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
• Microeconometrics
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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