Inference in dynamic models for panel data using the moving block bootstrap
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866916610270298112 |
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| author | Higgins, Ayden Jochmans, Koen |
| author_facet | Higgins, Ayden Jochmans, Koen |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_08311 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Inference in dynamic models for panel data using the moving block bootstrap Higgins, Ayden Jochmans, Koen Econometrics 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. |
| title | Inference in dynamic models for panel data using the moving block bootstrap |
| topic | Econometrics |
| url | https://arxiv.org/abs/2502.08311 |