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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Year of publication:	2011
Authors:	Okui, Ryo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 1, p. 49-52
Publisher:	Elsevier
Keywords:	Autocovariance Bias correction Double asymptotics Incidental trend Panel data

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009146111