Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends

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. ► We estimate autocovarianc...

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Bibliographic Details
Published in:Economics letters 2011-07, Vol.112 (1), p.49-52
Main Author: Okui, Ryo
Format: Article
Language:English
Subjects:
Autocovariance
Autocovariance Bias correction Double asymptotics Incidental trend Panel data
Bias correction
Covariance
Double asymptotics
Economic models
Estimating techniques
Estimation
Estimation bias
Incidental trend
Panel data
Stochastic processes
Studies
Trends
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Summary: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. ► We estimate autocovariances using panel data with incidental trends. ► We consider double asymptotics under which both N and T tend to infinity. ► We show that the conventional autocovariance estimator suffers from bias. ► The magnitude of the bias is approximated by twice the long-run variance. ► We propose a bias-corrected estimator.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2011.03.013