Fiche du document
- handle: 10670/1.0i9ijp
- hal: hal-03392010
- doi: 10.1016/j.econlet.2016.06.010
- SCIENCESPO: 2441/7si2u15cul9u5a44sevcgkbaa9
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.econlet.2016.06.010
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/hdl/2441/7si2u15cul9u5a44sevcgkbaa9
info:eu-repo/semantics/OpenAccess
Mots-clés
Bias Correction Fixed Effects Panel Data Vector Autoregression C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C33 - Panel Data Models • Spatio-temporal ModelsSujets proches
Hours (Time) Funds Funding Bias Finance, commerce, confiscations, etcCiter ce document
Geert Dhaene et al., « Bias-corrected estimation of panel vector autoregressions », Archive ouverte de Sciences Po (SPIRE), ID : 10.1016/j.econlet.2016.06.010
Métriques
Partage / Export
Résumé
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.