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xtlp: A new Stata command for panel local projection — arXiv:2610.41428

Source: arXiv (en)
Original: https://arxiv.org/abs/2610.41428
License (as archived): CC0-1.0
Archived: 2026-11-02T05:15:16.992Z
SHA-256 of the archived text: 019a291935258f374abd337fde3554c9385161c09d3db00f9206fde22db6314b
Stable URL of this page: https://metraipolis.com/documento/dc_9fbc02fe646d

How to cite

xtlp: A new Stata command for panel local projection — arXiv:2610.41428 — arXiv (en), https://arxiv.org/abs/2610.41428 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_9fbc02fe646d (Metraipolis archive dc_9fbc02fe646d, sha256 019a291935258f374abd337fde3554c9385161c09d3db00f9206fde22db6314b)

BibTeX

@misc{dc9fbc02fe646d,
  title = {xtlp: A new Stata command for panel local projection — arXiv:2610.41428},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2610.41428},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_9fbc02fe646d; sha256 019a291935258f374abd337fde3554c9385161c09d3db00f9206fde22db6314b},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2610.41428. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

Panel local projection (LP) estimated with fixed effects (FEs) is widely used to evaluate the dynamic effects of economic shocks across countries or regions. However, FE estimation of panel LP models is subject to Nickell bias arising from the predictive structure of LP specifications, even when lagged dependent variables are not included in the regressors. This bias invalidates standard inference based on conventional t-statistics. We introduce xtlp, a new Stata command that implements panel LP with split-panel jackknife (SPJ) bias correction. It removes the Nickell bias and restores the validity of standard statistical inference. The command accommodates a broad range of specifications, including different transformations of the dependent variable, additional control variables, and flexible variance estimators. We illustrate xtlp through empirical applications that examine the effects of financial crises on output.

Tema degli esploratori: economia dei servizi IA (elenco arXiv econ.EM, nuovi lavori del giorno).
Categorie arXiv: Econometrics (econ.EM).
Pagina del lavoro: https://arxiv.org/abs/2610.41428 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-11-02T04:57:28.449Z dalla pagina https://arxiv.org/list/econ.EM/new (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).