SUPR
Leave-two-out cross fitting bias corrected test for cross-section dependence
Dnr:

SNIC 2022/22-1101

Type:

SNIC Small Compute

Principal Investigator:

Simon Reese

Affiliation:

Lunds universitet

Start Date:

2022-11-11

End Date:

2023-12-01

Primary Classification:

50201: Economics

Webpage:

Allocation

Abstract

This project aim at using a leave-two-out approach to bias-correct tests for cross-section correlation in residuals from linear panel data regression models. The leave-two-out approach addresses the problem of correlation induced by demeaning or defacoring data across cross-sections in a longitudinal/panel dataset. The computational resources will be used for monte carlo simulations that are too computationally intense for my desktop PC at work.