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

Résumé

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.

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Référence

Ayden Higgins et Koen Jochmans, « Inference in Dynamic Models for Panel Data Using The Moving Block Bootstrap », TSE Working Paper, n° 25-1620, février 2025.