Panel Local Projection

This repository hosts an R package that accompanies

• Ziwei Mei, Liugang Sheng, Zhentao Shi (2023), "Nickell Bias in Panel Local Projection", arxiv:2302.13455.

It offers an R function to implement the panel local projection that includes two methods:

• The fixed effect (FE) estimator. This is the default estimator in most applied works, but we find that it incurs Nickell bias
• The split-panel jackknife (SPJ) estimator eliminates the asymptotical bias and delivers valid statistical inference.

devtools::install_github("zhentaoshi/panel-local-projection")
library("pLP")

Contributors

Ziwei Mei, Zhentao Shi, and Shen Shu

License

This work is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.