Split-Panel Jackknife Estimation of Fixed-Effect Models

By Geert Dhaene, Koen Jochmans. 2015

385 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1d98b264ef297cdf63ad2abe76fc3f08eb2a65e7

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In Economics and Econometrics

Citations in the corpus

Leave‐Out Estimation of Variance Components (2018, positive): “This problem is also shown to extend to recently proposed jackknife adaptations (Hahn and Newey, 2004; Dhaene and Jochmans, 2015) designed for long panels.”
Bias and consistency in three-way gravity models (2019, methodology): “4 Bias Corrections for the Three-way Gravity Model We now present two methods for correcting the bias in estimates: a jackknife method based on the split-panel jackknife of Dhaene and Jochmans (2015) and an analytical correction based on the expansion shown in Proposition 3.”
DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS (2017, methodology): “For the second version of the profile objective function in Equation (4), we write L N T (β) = min f SN T (β, f ), where SN T (β, f ) = 1 N T Tr ⎡⎣(λ0 f 0′ + K∑ k=1 ( β0k −βk ) Xk + e ) Mf ( λ0 f 0′ + K∑ k=1 ( β0k −βk ) Xk + e )′⎤⎦ .”
Bias Corrections for Probit and Logit Models with Two-way Fixed Effects (2016, methodology): “The commands implement the analytical and jackknife corrections of Hahn and Newey (2004) and Fernandez-Val (2009), and the split-panel correction of Dhaene and Jochmans (2015). We do not describe these corrections in detail, because they are very similar to the ones described above for twoway models”
Fixed Effects Estimation of Large-TPanel Data Models (2018, methodology): “Dhaene & Jochmans (2015b) introduced the split-sample jackknife to panel models with individual effects.”
Homogeneity pursuit in panel data models: Theory and application (2018, methodology): “For DGP 4, the estimators are bias-corrected by using the half-panel jackknife method of Dhaene and Jochmans (2015).”
Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors (2015, neutral): “Similar arguments also underlie forecasting using a large number of regressors popularized recently in econometrics by Stock and Watson (2002) and Forni et al. (2005). A necessary condition for the CCE mean group (CCEMG) estimator to be valid in the case of ARDL panel data models is that the number ”
Individual and time effects in nonlinear panel models with large N , T (2013, methodology): “This method is based on the split panel jackknife (SPJ) of Dhaene and Jochmans (2010) applied to the two dimensions of the panel.(5) To describe it, let θ̃N,T/2 be the average of the 2 split jackknife estimators that leave out the first and second halves of the time periods, and let θ̃N/2,T be the a”
Quantiles via moments (2019, methodology): “This result shows that the leading terms in the biases of γ̂ and q̂ (τ) are proportional to 1/T and these can be eliminated using a jackknife bias correction (see Hahn and Newey, 2004, Dhaene and Jochmans, 2015, and Fernández-Val and Weidner, 2016). The bias-corrected estimates of γ and q(τ) can the”
Smoothed quantile regression for panel data (2015, positive): “We also examine the half-panel jackknife method originally proposed by Dhaene and Jochmans (2009) to the FE-SQR estimator .”