arXiv 26 Mar 2018 · Econometrics · publishedJournal of Econometrics (2019) · 27 citations (OpenAlex)
arXiv:1803.09452 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical distributions. We then investigate the asymptotic properties of our estimators using double asymptotics and propose split-panel jackknife bias correction and inference based on the cross-sectional bootstrap. We illustrate the usefulness of our procedures by studying the deviation dynamics of the law of one price. Monte Carlo simulations confirm that the proposed bias correction is effective and yields valid inference in small samples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | G. Dhaene and K. Jochmans (2015) Split-panel jackknife estimation of fixed effects models | 1.000 | 9 | 3 | 100% |
| 2 | A. W. van der Vaart and J. A. Wellner (1996) Weak Convergence and Empirical Process | 0.941 | 6 | 3 | 83% |
| 3 | M. J. Crucini, M. Shintani, and T. Tsuruga (2015) Noisy information, distance and law of one price dynamics across us cities | 0.874 | 6 | 2 | 100% |
| 4 | A. F. Galvao and K. Kato (2014) Estimation and inference for linear panel data models under misspecification when both $n$ and $T$ are large | 0.737 | 4 | 3 | 50% |
| 5 | J. Gil-Pelaez (1951) Note on the inversion theorem | 0.737 | 3 | 3 | 67% |
| 6 | J. Wendel (1961) The non-absolute convergence of Gil-Pelaez' inversion integral | 0.737 | 3 | 3 | 67% |
| 7 | M. H. Pesaran and R. Smith (1995) Estimating long-run relationships from dynamic heterogeneous panels | 0.737 | 3 | 2 | 100% |
| 8 | A. W. van der Vaart (1998) Asymptotic Statistics | 0.644 | 5 | 2 | 40% |
| 9 | I. Botosaru and Y. Sasaki (2018) Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics | 0.644 | 2 | 2 | 100% |
| 10 | I. Fernández-Val and J. Lee (2013) Panel data models with nonadditive unobserved heterogeneity: Estimation and inference | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 59 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | INFERENCE ON A DISTRIBUTION FROM NOISY DRAWS | 0.843 | 3 | 3 |
| 2 | Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes$^*$ | 0.644 | 3 | 2 |
| 3 | Factor-Augmented Panel Regressions and Variance-Weighted Treatment Effects | 0.405 | 1 | 1 |