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xtlp: A new Stata command for panel local projection

Shen, Shu et al.
arXiv (All) · Papers
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econometrics
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 lag
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