Bias-corrected estimation of panel vector autoregressions
View / Open Files
Authors
Dhaene, G
Jochmans, K
Publication Date
2016Journal Title
Economics Letters
ISSN
0165-1765
Publisher
Elsevier BV
Volume
145
Pages
98-103
Type
Article
This Version
AM
Metadata
Show full item recordCitation
Dhaene, G., & Jochmans, K. (2016). Bias-corrected estimation of panel vector autoregressions. Economics Letters, 145 98-103. https://doi.org/10.1016/j.econlet.2016.06.010
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
Identifiers
External DOI: https://doi.org/10.1016/j.econlet.2016.06.010
This record's URL: https://www.repository.cam.ac.uk/handle/1810/292304
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International
Licence URL: http://creativecommons.org/licenses/by-nc-nd/4.0/
Statistics
Total file downloads (since January 2020). For more information on metrics see the
IRUS guide.
Recommended or similar items
The current recommendation prototype on the Apollo Repository will be turned off on 03 February 2023. Although the pilot has been fruitful for both parties, the service provider IKVA is focusing on horizon scanning products and so the recommender service can no longer be supported. We recognise the importance of recommender services in supporting research discovery and are evaluating offerings from other service providers. If you would like to offer feedback on this decision please contact us on: support@repository.cam.ac.uk