ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
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Publication:4933580
Recommendations
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- Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
- Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
Cites work
- ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Biases in Dynamic Models with Fixed Effects
- Difference in difference meets generalized least squares: higher order properties of hypotheses tests
- Dynamic Aspects of Earning Mobility
- Estimating Vector Autoregressions with Panel Data
- Estimation of Dynamic Models with Error Components
- Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
- Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Linear Regression Limit Theory for Nonstationary Panel Data
- Microeconometrics
- Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Panel Data Econometrics
- SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Cited in
(8)- A simple nearly unbiased estimator of cross-covariances
- 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
- Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
- HAC Covariance Matrix Estimation in Quantile Regression
- Panel data analysis with heterogeneous dynamics
- Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
- Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
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