Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends

DOI10.1016/j.econlet.2011.03.013zbMath1217.62136OpenAlexW2081264667MaRDI QIDQ553875

Ryo Okui

Publication date: 28 July 2011

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.03.013

zbMATH Keywords

panel databias correctiondouble asymptoticsautocovarianceincidental trend

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ 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

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Panel Data Models With Interactive Fixed Effects

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