The moving blocks bootstrap for panel linear regression models with individual fixed effects
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Publication:3100981
DOI10.1017/S0266466610000630zbMATH Open1344.62002OpenAlexW2022401541MaRDI QIDQ3100981FDOQ3100981
Authors: Sílvia Gonçalves 
Publication date: 22 November 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466610000630
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Asymptotic properties of parametric estimators (62F12) Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Cites Work
- GMM estimation with cross sectional dependence
- The jackknife and the bootstrap for general stationary observations
- Stochastic Limit Theory
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Panel data models with interactive fixed effects
- t-Statistic Based Correlation and Heterogeneity Robust Inference
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Second-order correctness of the blockwise bootstrap for stationary observations
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Cross-Section Regression with Common Shocks
- Consistency of the stationary bootstrap under weak moment conditions
- Bootstrap Standard Error Estimates for Linear Regression
Cited In (25)
- On the effects of macroprudential policies on growth-at-risk
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- Tests for skewness and kurtosis in the one-way error component model
- Block bootstrapping for a panel mean break test
- Bootstrapping factor models with cross sectional dependence
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- Inference without smoothing for large panels with cross-sectional and temporal dependence
- Tests for the existence of group effects and interactions for two-way models with dependent errors
- Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence
- Asymptotic theory and wild bootstrap inference with clustered errors
- A bootstrap procedure for panel data sets with many cross-sectional units
- Bootstrap Inference for Panel Data Quantile Regression
- Nonparametric testing for smooth structural changes in panel data models
- Uniform inference in linear panel data models with two-dimensional heterogeneity
- Higher-Order Expansions and Inference for Panel Data Models
- On bootstrapping panel factor series
- A robust test for serial correlation in panel data models
- Bootstrap inference for linear dynamic panel data models with individual fixed effects
- Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach
- A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
- Binary response models for heterogeneous panel data with interactive fixed effects
- Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
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