Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5060829 | Economics Letters | 2011 | 4 Pages |
Abstract
⺠We estimate autocovariances using panel data with incidental trends. ⺠We consider double asymptotics under which both N and T tend to infinity. ⺠We show that the conventional autocovariance estimator suffers from bias. ⺠The magnitude of the bias is approximated by twice the long-run variance. ⺠We propose a bias-corrected estimator.
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ryo Okui,