Jackknife Inference for Fixed Effects Models

Authors: Ayden Higgins

Year: 2026

econ.EM

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2026
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Abstract

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

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