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

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 112
Issue: 1
Pages: 49-52

Authors (1)

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:112:y:2011:i:1:p:49-52
Journal Field
General
Author Count
1
Added to Database
2026-01-26