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

Ryo Okui

Economics Letters, 2011, vol. 112, issue 1, 49-52

Abstract: 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.

Keywords: Autocovariance; Bias; correction; Double; asymptotics; Incidental; trend; Panel; data (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176511001066
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:1:p:49-52

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().