Publication Type

Working Paper

Version

publishedVersion

Publication Date

1-2017

Abstract

In this paper we propose a jackknife method to determine individual and time e⁄ects in linear panel data models. We rst show that when both the serial and cross-sectional correlation among the idiosyncratic error terms are weak, our jackknife method can pick up the correct model with probability approaching one (w.p.a.1). In the presence of moderate or strong degree of serial correlation, we modify our jackknife criterion function and show that the modied jackknife method can also select the correct model w.p.a.1. We conduct Monte Carlo simulations to show that our new methods perform remarkably well in nite samples. We apply our methods to study (i) the crime rates in North Carolina, (ii) the determinants of saving rates across countries, and (iii) the relationship between guns and crime rates in the U.S.

Keywords

Consistency, Cross-validation, Dynamic panel, Information Criterion, Jackknife, Individual e⁄ect, Time e⁄ect.

Discipline

Econometrics

Research Areas

Econometrics

First Page

1

Last Page

58

Additional URL

http://www.mysmu.edu/faculty/ljsu/Publications/Determination_Fixed_Effects20170106.pdf

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