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")
Ziwei Mei, Zhentao Shi, and Shen Shu
This work is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
