Bias-corrected estimation of panel vector autoregressions

被引：3
|
作者：
Dhaene, Geert [1 ]
Jochmans, Koen [2 ]
机构：
[1] Katholieke Univ Leuven, Dept Econ, Naamsestr 69, B-3000 Leuven, Belgium
[2] Sci Po, Dept Econ, 28 Rue St Peres, F-75007 Paris, France
来源：
ECONOMICS LETTERS | 2016年 / 145卷
关键词：
Bias correction; Fixed effects; Panel data; Vector autoregression; FISCAL-POLICY; TIME-SERIES; INVESTMENT; COUNTRIES; GROWTH; MODEL;
D O I：
10.1016/j.econlet.2016.06.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：98 / 103
页数：6
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