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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Staff Report No. 1090
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
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.
Schlagwörter: 
panel data
local projections
impulse responses
aggregate shocks
inference
heterogeneity
JEL: 
C32
C33
C38
C51
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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