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

► We estimate autocovariances using panel data with incidental trends. ► We consider double asymptotics under which both N and T tend to infinity. ► We show that the conventional autocovariance estimator suffers from bias. ► The magnitude of the bias is approximated by twice the long-run variance. ► We propose a bias-corrected estimator.