Arturas Juodis, Ovidijus Stauskas, Sander Tromp
arXiv 25 Sep 2026 · Econometrics
arXiv:2609.31442 · PDF · Extracted main text
We study recursive-design wild bootstrap inference for dynamic panel data models with unobserved common factors estimated by Common Correlated Effects. In the large N,T setting, the bootstrap reproduces the biased limiting distribution in pure autoregressive models, but fails to capture all bias and factor-estimation variance components in models with additional regressors, particularly under weak exogeneity. We trace this failure to holding regressors fixed across bootstrap replications. We propose to combine bootstrap procedure with available bias-correction methods to conduct adjusted inference. Monte Carlo evidence shows substantial improvements over conventional strategies of using bias-correction paired with cross-sectional bootstrap methods.
appendix boundary found by appendix_command · 13% 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 | De Vos, Ignace and Everaert, Gerdie (2021) Bias-corrected common correlated effects pooled estimation in dynamic panels | 1.000 | 19 | 5 | 100% |
| 2 | Joakim Westerlund and Jean-Pierre Urbain (2015) Cross-sectional averages versus principal components | 1.000 | 5 | 5 | 100% |
| 3 | Juodis, Artūras (2022) A regularization approach to common correlated effects estimation self | 0.946 | 13 | 5 | 85% |
| 4 | Moon, Hyungsik Roger and Weidner, Martin (2017) Dynamic linear panel regression models with interactive fixed effects | 0.928 | 4 | 4 | 100% |
| 5 | Gon calves, S\'ilvia and Kaffo, Maximilien (2015) Bootstrap inference for linear dynamic panel data models with individual fixed effects | 0.794 | 20 | 5 | 50% |
| 6 | Juodis, Artūras and Karabiyik, Hande and Westerlund, Joakim (2021) On the robustness of the pooled CCE estimator self | 0.750 | 19 | 4 | 42% |
| 7 | Pesaran, M.H (2006) Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | 0.741 | 32 | 6 | 41% |
| 8 | Alexander Chudik and M. Hashem Pesaran (2015) Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors | 0.737 | 4 | 3 | 50% |
| 9 | Higgins, Ayden and Jochmans, Koen (2024) Bootstrap Inference for Fixed-Effect Models | 0.737 | 4 | 3 | 50% |
| 10 | Artūras Juodis and Simon Reese (2026) Five lessons for applied researchers from twenty years of common correlated effects estimation self | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 50 scored citations.