Bias-corrected estimation of panel vector autoregressions

Geert Dhaene and Koen Jochmans

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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)
Date: 2016-06
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03392010
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Citations: View citations in EconPapers (3)

Published in Economics Letters, 2016, 145, pp.98 - 103. ⟨10.1016/j.econlet.2016.06.010⟩

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Related works:
Journal Article: 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:hal:journl:hal-03392010

DOI: 10.1016/j.econlet.2016.06.010

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