General Seminar - Ayden Higgins

Jackknife Inference for Fixed Effects Models 

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.