Jackknife Inference for Fixed Effects Models

Ayden Higgins

Papers from arXiv.org

Abstract: This paper develops a general method of inference for fixed effects models which is (i) automatic, (ii) computationally inexpensive, (iii) tuning parameter-free, and (iv) highly model agnostic. Specifically, we show how to combine a collection of subsample estimators into a jackknife $t$-statistic, from which hypothesis tests, confidence intervals, and $p$-values are readily obtained.

Date: 2026-02, Revised 2026-04
New Economics Papers: this item is included in nep-dcm and nep-ecm
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