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Inference in Dynamic Models for Panel Data Using The Moving Block Bootstrap

Author

Listed:
  • Ayden Higgins

    (University of Exeter)

  • Koen Jochmans

    (TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

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.

Suggested Citation

  • Ayden Higgins & Koen Jochmans, 2025. "Inference in Dynamic Models for Panel Data Using The Moving Block Bootstrap," Working Papers hal-04947761, HAL.
    • Handle: RePEc:hal:wpaper:hal-04947761
    Note: View the original document on HAL open archive server: https://hal.science/hal-04947761v1
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    References listed on IDEAS

    as
    1. Alexander Chudik & M. Hashem Pesaran & Jui‐Chung Yang, 2018. "Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 816-836, September.
    2. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
    3. Ayden Higgins & Koen Jochmans, 2024. "Bootstrap Inference for Fixed‐Effect Models," Econometrica, Econometric Society, vol. 92(2), pages 411-427, March.
    4. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
    5. Vaart,A. W. van der, 2000. "Asymptotic Statistics," Cambridge Books, Cambridge University Press, number 9780521784504, January.
    6. Hansen, Bruce E., 1991. "Strong Laws for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 7(2), pages 213-221, June.
    7. Gonçalves, Sílvia & Kaffo, Maximilien, 2015. "Bootstrap inference for linear dynamic panel data models with individual fixed effects," Journal of Econometrics, Elsevier, vol. 186(2), pages 407-426.
    8. Giuseppe Cavaliere & Sílvia Gonçalves & Morten Ørregaard Nielsen & Edoardo Zanelli, 2024. "Bootstrap Inference in the Presence of Bias," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(548), pages 2908-2918, October.
    9. Geert Dhaene & Koen Jochmans, 2015. "Split-panel Jackknife Estimation of Fixed-effect Models," Review of Economic Studies, Oxford University Press, vol. 82(3), pages 991-1030.
    10. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, Decembrie.
    11. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bootstrap; Dynamic model; Fixed effects; Inference; Asymptotic bias;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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