Bias-corrected estimation of panel vector autoregressions
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Publication Date
2016-08Journal 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.
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/
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