Lennart Empting, Saskia Öztürk, Simone Maxand, Konstantin Wagner
arXiv 8 Oct 2026 · Econometrics
arXiv:2610.11898 · PDF · Extracted main text
We develop inference for heterogeneous panel vector autoregressive (VAR) models and their structural impulse response functions, where the error terms are dependent in the cross-sectional and time dimensions (two-way dependence). For proxy-identified structural VARs, we first adapt mean-group estimation and construct a closed-form pooled identification. Considering the reduced-form VAR dynamics, residual covariances, and structural parameters, we derive a joint central limit theorem under joint limits in the cross-sectional and time dimensions. We then propose a recursive-design panel moving-block bootstrap that resamples the estimated error terms in (i) the temporal, (ii) the cross-sectional, or (iii) both dimensions jointly, and prove consistency of the joint panel-block scheme under two-way dependence. Simulations show coverage close to the nominal level for the joint scheme but severe undercoverage for cross-sectional resampling.
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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 | Pesaran, M. H. and R. P. Smith (1995) Estimating Long-Run Relationships from Dynamic Heterogeneous Panels | 1.000 | 5 | 5 | 100% |
| 2 | Herwartz, H. and S. Wang (2024) Statistical Identification in Panel Structural Vector Autoregressive Models based on Independence Criteria | 0.961 | 9 | 4 | 89% |
| 3 | Efron, B (1979) Bootstrap Methods: Another Look at the Jackknife | 0.928 | 4 | 3 | 100% |
| 4 | Kapetanios, G (2008) A Bootstrap Procedure for Panel Data Sets with many Cross-Sectional Units | 0.928 | 4 | 3 | 100% |
| 5 | Jentsch, C. and K. G. Lunsford (2022) Asymptotically Valid Bootstrap Inference for Proxy SVARs | 0.918 | 22 | 7 | 77% |
| 6 | Kilian, L (1998) Small-sample Confidence Intervals for Impulse Response Functions | 0.888 | 10 | 4 | 70% |
| 7 | Brüggemann, R., C. Jentsch, and C. Trenkler (2016) Inference in VARs with Conditional Heteroskedasticity of Unknown Form | 0.883 | 16 | 6 | 69% |
| 8 | Lütkepohl, H (2005) New Introduction to Multiple Time Series Analysis | 0.843 | 4 | 3 | 75% |
| 9 | Jentsch, C. and K. Lunsford (2019) The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Comment | 0.843 | 3 | 3 | 100% |
| 10 | Kilian, L. and H. Lütkepohl (2017) Structural Vector Autoregressive Analysis | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 85 scored citations.