Bias-corrected estimation of panel vector autoregressions

DOI10.1016/J.ECONLET.2016.06.010MaRDI QIDQ1670169zbMATH OpenOpenAlexFDO

Authors Geert Dhaene, Koen Jochmans

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 datavector autoregressionbias correction

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5071101 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Bias in dynamic panel models under time series misspecification
• Biases in Dynamic Models with Fixed Effects
• Estimating Vector Autoregressions with Panel Data
• Linear Regression Limit Theory for Nonstationary Panel Data
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Panel vector autoregressive models: a survey
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(17)

• Bias-corrected estimation in dynamic panel data models with heteroscedasticity
• Correcting for omitted-variable and measurement-error bias in autoregressive model estimation with panel data
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• A note on parameter estimation of panel vector autoregressive models with intercorrelation
• A bias-corrected least squares estimator of dynamic panel models
• Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix
• Bias correction for within-group estimation of panel data models with fixed effects and sample selection
• Bias corrections for two-step fixed effects panel data estimators
• Time-specific average estimation of dynamic panel regressions
• Prior selection for panel vector autoregressions
• Approximate bias correction in econometrics
• Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
• Bias correction for time series factor models
• A note on bias-corrected estimation in dynamic panel data models
• A panel data approach to economic forecasting: the bias-corrected average forecast
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends

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