Article ID Journal Published Year Pages File Type
5060829 Economics Letters 2011 4 Pages PDF
Abstract
► 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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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