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Bias-corrected estimation of panel vector autoregressions

Geert Dhaene and Koen Jochmans

Sciences Po publications from Sciences Po

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: 2016-06
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Economics Letters, 2016, vol. 145, pp.98-103

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Related works:
Journal Article: Bias-corrected estimation of panel vector autoregressions (2016) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2016) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2016) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015) Downloads
Working Paper: Bias-corrected estimation of panel vector autoregressions (2015) Downloads
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