Nickell bias in panel local projection: Financial crises are worse than you think
中文摘要
采用固定效应 (FE) 的面板局部投影 (LP) 方法被广泛用于评估金融危机在各国的经济后果。本文指出一个根本性的方法论问题：即使回归元中不含滞后被解释变量，由于预测方程固有的动态结构，面板固定效应估计量中仍存在 Nickell 偏误。该 Nickell 偏误会使基于 t 统计量的标准推断程序失效。我们提出分裂面板刀切 (SPJ) 估计量，作为一种简单、易于实施且有效的解决方案，以消除偏误并恢复有效的统计推断。我们重新考察了四项关于金融危机影响的具有影响力的实证研究，发现相对于 SPJ 估计值，FE 方法低估了金融危机的经济损失。复制文件可在 https://metricshilab.github.io/panel-lp-replication/ 获取，其中包含 R 和 Stata 程序包的链接。
Abstract
Panel local projection (LP) with fixed-effects (FE) is widely adopted for evaluating the economic consequences of financial crises across countries. This paper highlights a fundamental methodological issue: the presence of the Nickell bias in the panel FE estimator due to inherent dynamic structures of predictive specifications, even if the regressors have no lagged dependent variables. The Nickell bias invalidates the standard inferential procedure based on the t -statistic. We propose a split-panel jackknife (SPJ) estimator as a simple, easy-to-implement, and yet effective solution to eliminate the bias and restore valid statistical inference. We revisit four influential empirical studies on the impact of financial crises, and find that the FE method underestimates the economic losses of financial crises relative to the SPJ estimates. Replication files are available at https://metricshilab.github.io/panel-lp-replication/, with links to R and Stata packages.