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Bias-corrected estimation of panel vector autoregressions

Accepted version
Peer-reviewed

Type

Article

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Authors

Dhaene, G 

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

Volume Title

145

Publisher

Elsevier BV