arXiv 12 Feb 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2502.08311 · PDF · DOI · OpenAlex · Extracted main text
Inference in linear panel data models is complicated by the presence of fixed effects when (some of) the regressors are not strictly exogenous. Under asymptotics where the number of cross-sectional observations and time periods grow at the same rate, the within-group estimator is consistent but its limit distribution features a bias term. In this paper we show that a panel version of the moving block bootstrap, where blocks of adjacent cross-sections are resampled with replacement, replicates the limit distribution of the within-group estimator. Confidence ellipsoids and hypothesis tests based on the reverse-percentile bootstrap are thus asymptotically valid without the need to take the presence of bias into account.
appendix boundary found by appendix_command · 33% of the source is main text. Read the extracted text to check this.
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 | Gon calves, S (2011) The moving blocks bootstrap for panel linear regression models with individual effects | 0.737 | 3 | 2 | 100% |
| 2 | Künsch, H. R (1989) The jackknife and the bootstrap for general stationary observations | 0.737 | 3 | 2 | 100% |
| 3 | Nickell, S (1981) Biases in dynamic models with fixed effects | 0.644 | 2 | 2 | 100% |
| 4 | Gon calves, S. and M. Kaffo (2015) Bootstrap inference for linear dynamic panel data models with individual fixed effects | 0.585 | 3 | 1 | 100% |
| 5 | Higgins, A. and K. Jochmans (2024) Bootstrap inference for fixed-effect models self | 0.511 | 2 | 1 | 100% |
| 6 | Arellano, M (2003) Panel Data Econometrics | 0.405 | 1 | 1 | 100% |
| 7 | Arellano, M. and S. Bond (1991) Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations | 0.405 | 1 | 1 | 100% |
| 8 | Arellano, M. and J. Hahn (2007) Understanding bias in nonlinear panel models: Some recent developments | 0.405 | 1 | 1 | 100% |
| 9 | Cavaliere, G., S. Gon calves, M. . Nielsen, and E. Zanelli (2024) Bootstrap inference in the presence of bias | 0.405 | 1 | 1 | 100% |
| 10 | Chudik, A., M. H. Pesaran, and J.-C. Yang (2018) Half-panel jackknife fixed-effects estimation of linear panels with weakly exogenous regressors | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 23 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Jackknife Inference for Fixed Effects Models | 0.737 | 3 | 2 |
| 2 | Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects | 0.644 | 2 | 2 |
| 3 | 2507.16462 | 0.511 | 2 | 1 |