Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends |
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| Authors: | Ryo Okui |
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| Affiliation: | a Institute of Economic Research, Kyoto University, Yoshida-Hommachi, Sakyo, Kyoto, 606-8501, Japan |
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| Abstract: | ![]()
We consider the estimation of autocovariances using panel data with incidental trends under double asymptotics. The conventional autocovariance estimator suffers from a bias whose value is approximated by twice the long-run variance. We propose a bias-corrected estimator. |
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| Keywords: | Autocovariance Bias correction Double asymptotics Incidental trend Panel data |
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