Bias-corrected estimation of panel vector autoregressions

Geert Dhaene and Koen Jochmans

Economics Letters, 2016, vol. 145, issue C, 98-103

Abstract: We derive a bias-corrected least-squares estimator for panel vector autoregressions with fixed effects. The estimator is straightforward to implement and is asymptotically unbiased under asymptotics where the number of time series observations and the number of cross-sectional observations grow at the same rate. This makes the estimator particularly well suited for most macroeconomic data sets.

Keywords: Bias correction; Fixed effects; Panel data; Vector autoregression (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Bias-corrected estimation of panel vector autoregressions (2016)
Working Paper: Bias-corrected estimation of panel vector autoregressions (2016)
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015)
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015)
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:98-103

DOI: 10.1016/j.econlet.2016.06.010

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