arXiv 19 Oct 2026 · Econometrics
arXiv:2610.26427 · PDF · Extracted main text
Panel local projections are widely used to estimate impulse responses in policy analysis. This paper examines the properties of the fixed-effect estimator and various bias-correction methods in panel local projections, focusing on settings with autoregressive control variables. We analyze the bias and variance of these estimators while allowing for persistence in both the target and control variables. Our theoretical findings indicate that the half-panel jackknife has desirable bias-reducing properties beyond the stationary setup. For empirical researchers, we recommend using bias-correction-adjusted standard errors to account for the sampling uncertainty associated with the half-panel jackknife estimator, regardless of the time-series dimension of the data.
appendix boundary found by appendix_command · 44% 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 | Romer, Christina D. and Romer, David H (2017) New Evidence on the Aftermath of Financial Crises in Advanced Countries | 0.693 | 10 | 1 | 100% |
| 2 | Cerra, Valerie and Saxena, Sweta Chaman (2008) Growth Dynamics: The Myth of Economic Recovery | 0.693 | 5 | 1 | 100% |
| 3 | Edward P. Herbst and Benjamin K. Johannsen (2024) Bias in Local Projections | 0.686 | 34 | 1 | 97% |
| 4 | Ziwei Mei and Liugang Sheng and Zhentao Shi (2026) Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think | 0.681 | 39 | 1 | 95% |
| 5 | Antonio F. Galvao and Kengo Kato (2014) Estimation and Inference for Linear Panel Data Models Under Misspecification When Both n and T Are Large | 0.659 | 21 | 1 | 86% |
| 6 | G. Dhaene and K. Jochmans (2015) Split-Panel Jackknife Estimation of Fixed-Effect Models self | 0.644 | 10 | 1 | 80% |
| 7 | S. Nickell (1981) Biases in Dynamic Models with Fixed Effects | 0.644 | 4 | 1 | 100% |
| 8 | G. Everaert (2026) Incidental Parameters Bias in Panel Local Projections: Non-Monotone Horizon Pattern and Correction | 0.644 | 4 | 1 | 100% |
| 9 | Montiel Olea, José Luis and Plagborg-Møller, Mikkel (2021) Local Projection Inference Is Simpler and More Robust Than You Think | 0.644 | 4 | 1 | 100% |
| 10 | A. Juodis (2026) This Shock Is Different: Estimation and Inference in Misspecified Two-Way Fixed Effects Panel Regressions self | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 41 scored citations.