Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/300456 
Year of Publication: 
2024
Series/Report no.: 
Staff Report No. 1090
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree of signal-tonoise of aggregate shocks. We show that the regression scores feature strong cross-sectional dependence and a known autocorrelation structure induced only by leads of the regressor. In general, including lags as controls and then clustering over the cross-section leads to simple, robust inference.
Subjects: 
panel data
local projections
impulse responses
aggregate shocks
inference
heterogeneity
JEL: 
C32
C33
C38
C51
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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