A Jackknife Variance Estimator for Panel Regressions

RePEc Short ID: pcr107
ORCID iD: 0000-0002-7958-1818

Crump, Richard K.; Gospodinov, Nikolay; Lopez Gaffney, Ignacio

doi:10.59576/sr.1133

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A Jackknife Variance Estimator for Panel Regressions

Abstract: We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as the conventional leave-one-out jackknife variance estimator on a transformed space of the regressors and residuals using orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable finite-sample properties in a series of simulation experiments. We also illustrate how our method can be used for jackknife bias-correction in a variety of time-series settings.

Keywords: leave-one-out jackknife; Panel data model; strong time-series and cross-sectional dependence; cluster-robust variance estimation; trigonometric basis functions;

JEL Classification: C12; C13; C22; C23;

https://doi.org/10.59576/sr.1133