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

DOI10.1016/J.ECONLET.2011.03.013zbMATH Open1217.62136OpenAlexW2081264667MaRDI QIDQ553875FDOQ553875

Authors: 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

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zbMATH Keywords

panel dataautocovariancebias correctiondouble asymptoticsincidental trend

Mathematics Subject Classification ID

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

Cites Work

• Bias reduction for dynamic nonlinear panel models with fixed effects
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Panel data models with interactive fixed effects
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• On Consistent Estimates of the Spectrum of a Stationary Time Series

Cited In (5)

• 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
• Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• Panel data analysis with heterogeneous dynamics

Uses Software

• Ox

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