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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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| Published in: | Economics letters 2011-07, Vol.112 (1), p.49-52 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c497t-5ae8ab9e964899f8e851d7f8444a475fe85365dd1f663047132ba416254096e63 |
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| cites | cdi_FETCH-LOGICAL-c497t-5ae8ab9e964899f8e851d7f8444a475fe85365dd1f663047132ba416254096e63 |
| container_end_page | 52 |
| container_issue | 1 |
| container_start_page | 49 |
| container_title | Economics letters |
| container_volume | 112 |
| creator | Okui, Ryo |
| description | 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. |
| doi_str_mv | 10.1016/j.econlet.2011.03.013 |
| format | article |
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► 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.</description><identifier>ISSN: 0165-1765</identifier><identifier>EISSN: 1873-7374</identifier><identifier>DOI: 10.1016/j.econlet.2011.03.013</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>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</subject><ispartof>Economics letters, 2011-07, Vol.112 (1), p.49-52</ispartof><rights>2011 Elsevier B.V.</rights><rights>Copyright Elsevier Science Ltd. Jul 2011</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c497t-5ae8ab9e964899f8e851d7f8444a475fe85365dd1f663047132ba416254096e63</citedby><cites>FETCH-LOGICAL-c497t-5ae8ab9e964899f8e851d7f8444a475fe85365dd1f663047132ba416254096e63</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,27901,27902,33200,33201</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeeecolet/v_3a112_3ay_3a2011_3ai_3a1_3ap_3a49-52.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Okui, Ryo</creatorcontrib><title>Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends</title><title>Economics letters</title><description>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.</description><subject>Autocovariance</subject><subject>Autocovariance Bias correction Double asymptotics Incidental trend Panel data</subject><subject>Bias correction</subject><subject>Covariance</subject><subject>Double asymptotics</subject><subject>Economic models</subject><subject>Estimating techniques</subject><subject>Estimation</subject><subject>Estimation bias</subject><subject>Incidental trend</subject><subject>Panel data</subject><subject>Stochastic processes</subject><subject>Studies</subject><subject>Trends</subject><issn>0165-1765</issn><issn>1873-7374</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqFUU1r3DAQNaWFbtP8hIDIpSe7kvVln0oITRsI9NKehVYaEy1eyZHkLfvvO5tdeuilAyOh4b3H6L2muWG0Y5Spz7sOXIoz1K6njHWUd5TxN82GDZq3mmvxttkgTrZMK_m--VDKjlLWj1pumuWuHPdLTTU4O89HssZtsAU8gVLD3taQIkkTsWtNLh1sDjY6KMRGf5nlDPMrrJApZbLYCDPxtlryO9RnEqILHmK1M6kZoi8fm3eTnQtcX-6r5tfD15_339unH98e7--eWidGXVtpYbDbEUYlhnGcBhgk83oahBBWaDnhmyvpPZuU4lRoxvutFUz1UtBRgeJXzaez7pLTy4q_MftQHMwzLpjWYgaNwlRQgcjbf5C7tOaIy5kRXVMDFoLkGeRyKiXDZJaM_uSjYdScUjA7c0nBnFIwlBtMAXmPZ16GBdxfEmC5dAIfDLeM9XgesV-p3IbTEHvBFqORvXmue9T6ctYC9O0QIJviAmAePmRw1fgU_rPNH89craY</recordid><startdate>20110701</startdate><enddate>20110701</enddate><creator>Okui, Ryo</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20110701</creationdate><title>Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends</title><author>Okui, Ryo</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c497t-5ae8ab9e964899f8e851d7f8444a475fe85365dd1f663047132ba416254096e63</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>Autocovariance</topic><topic>Autocovariance Bias correction Double asymptotics Incidental trend Panel data</topic><topic>Bias correction</topic><topic>Covariance</topic><topic>Double asymptotics</topic><topic>Economic models</topic><topic>Estimating techniques</topic><topic>Estimation</topic><topic>Estimation bias</topic><topic>Incidental trend</topic><topic>Panel data</topic><topic>Stochastic processes</topic><topic>Studies</topic><topic>Trends</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Okui, Ryo</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Economics letters</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Okui, Ryo</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends</atitle><jtitle>Economics letters</jtitle><date>2011-07-01</date><risdate>2011</risdate><volume>112</volume><issue>1</issue><spage>49</spage><epage>52</epage><pages>49-52</pages><issn>0165-1765</issn><eissn>1873-7374</eissn><abstract>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.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.econlet.2011.03.013</doi><tpages>4</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 2011-07, Vol.112 (1), p.49-52 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_874890404 |
| source | International Bibliography of the Social Sciences (IBSS); ScienceDirect Journals |
| 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 |
| title | Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends |
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