ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA

DOI10.1017/S0266466609990582zbMATH Open1197.62157OpenAlexW2018184023MaRDI QIDQ4933580FDOQ4933580

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

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• 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
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Estimating Vector Autoregressions with Panel Data
• Microeconometrics
• Panel Data Econometrics
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• Dynamic Aspects of Earning Mobility
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS
• Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes

Cited In (8)

• 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
• A simple nearly unbiased estimator of cross‐covariances
• 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

Uses Software

• Ox

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