{"id":8768,"date":"2021-12-08T11:19:10","date_gmt":"2021-12-08T10:19:10","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-this-shock-is-different-estimation-and-inference-in-misspecified-two-way-fixed-effects-panel-regressions\/"},"modified":"2021-12-08T11:19:10","modified_gmt":"2021-12-08T10:19:10","slug":"lunchseminar-in-economics-this-shock-is-different-estimation-and-inference-in-misspecified-two-way-fixed-effects-panel-regressions","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/lunchseminar-in-economics-this-shock-is-different-estimation-and-inference-in-misspecified-two-way-fixed-effects-panel-regressions\/","title":{"rendered":"Lunchseminar in Economics: This Shock is Different &#8211; Estimation and Inference in Misspecified Two-Way Fixed Effects Panel Regressions"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p><strong>Abstract<\/strong><\/p><p>We investigate the properties of the linear Two-way Fixed Effects (FE) estimator for panel data when the underlying Data Generating Process (DGP) of all observed variables is left completely unspecified. The FE estimator is consistent for some pseudo-true value and characterize the corresponding asymptotic distribution. We show that the rate of convergence is determined by the degree of model misspecification, and that the asymptotic distribution can be non-normal. Furthermore, we argue that uniform non-conservative inference is impossible in this setup, and propose a novel Autoregressive Double Adaptive Wild (AdaWild) bootstrap procedure applicable for a large class of DGPs. Our bootstrap procedure is easy to compute, and Monte Carlo simulations show that it performs well. We use data from U.S. manufacturing industries to illustrate the benefits of our procedure.<\/p><p><\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"","protected":false},"author":0,"featured_media":8769,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2022-05-18 13:00:00","event_end_date":"2022-05-18 14:00:00","event_speaker_name":"Art\u016bras Juodis, University of Amsterdam, NL","event_speaker_link":"","event_is_online":false,"event_location":"Campus Kirchberg,\r\n6, rue Richard Coudenhove-Kalergi\r\nL-1359 LUXEMBOURG\r\nBuilding B\r\nRoom 02\r\n\r\n","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[306],"events-type":[],"organisation":[138,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - 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