Bias-corrected estimation of panel vector autoregressions
Accepted version
Peer-reviewed
Repository URI
Repository DOI
Change log
Authors
Dhaene, G
Jochmans, Koen https://orcid.org/0000-0002-3090-3003
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.
Description
Keywords
Bias correction, Fixed effects, Panel data, Vector autoregression
Journal Title
Economics Letters
Conference Name
Journal ISSN
0165-1765
1873-7374
1873-7374
Volume Title
145
Publisher
Elsevier BV