Bias-corrected estimation of panel vector autoregressions

Geert Dhaene (1) , Koen Jochmans (2)

1 UCL - Université Catholique de Louvain = Catholic University of Louvain
2 ECON - Département d'économie (Sciences Po)

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.

Keywords: Bias Correction; Fixed Effects; Panel Data; Vector Autoregression

Domains: Humanities and Social Sciences; Economics and Finance

Geert Dhaene, Koen Jochmans. Bias-corrected estimation of panel vector autoregressions. Economics Letters, 2016, 145, pp.98 - 103. ⟨10.1016/j.econlet.2016.06.010⟩. ⟨hal-03392010⟩