CARE Seminar: Richard Crump, NY Fed

Speaker

Richard Crump, NY Fed

Biography

Richard Crump is a financial research advisor in Capital Markets and a member of the Research Group’s Workforce and Recruiting Committee. His research interests are in Econometric Theory and Financial Economics. He holds a Ph.D. in Economics and an M.A. in Statistics from the University of California at Berkeley, along with a B.S. in Economics from MIT. Prior to graduate school he worked as an Associate in the US Economic Research Group and the Global Markets Research Group at Goldman Sachs.

Journal Affiliations
Journal of Empirical Finance, Journal of Business and Economic Statistics, American Economic Journal: Macroeconomics (associate editor, all)

Title

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: panel data models, strong time-series and cross-sectional dependence, cluster-robust variance estimation, trigonometric basis functions, leave-one-out jackknife

JEL Classification: C12, C13, C22, C23