Proyecciones locales en datos de panel: nuevo estimador MCO en diferencias acumuladas

Panel Local Projections without Fixed-Effects: A Cumulative-Difference OLS Estimator

Alfonso Ugarte

No 26/09, Working Papers from BBVA Bank, Economic Research Department

Abstract: Las propiedades teóricas de las proyecciones locales en datos de panel todavía se comprenden solo de manera parcial. Estudios recientes han demostrado que los estimadores de efectos fijos sufren de un sesgo de parámetros incidentales. Este artículo propone un nuevo estimador insesgado basado en MCO y diferencias acumuladas. Despite their popularity, the theoretical properties of panel local projections remain only partially understood. Recent work has shown that conventional fixed-effects estimators suffer from an incidental parameter bias. This paper proposes a new unbiased estimator based on pooled OLS and long-differences.

Keywords: Panel data; Panel data; Local projections; Local projections; Global; Global; Macroeconomic Analysis; Macroeconomic Analysis; Working Paper; Working Paper (search for similar items in EconPapers)
JEL-codes: C1 C13 C18 C33 C5 C51 C53 C8 C87 E44 F37 F47 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2026-06
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Persistent link: https://EconPapers.repec.org/RePEc:bbv:wpaper:2609

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