Leave-two-out cross fitting bias corrected test for cross-section dependence
||Leave-two-out cross fitting bias corrected test for cross-section dependence|
||SNIC Small Compute|
||Simon Reese <email@example.com>|
||2022-11-11 – 2023-12-01|
This project aim at using a leave-two-out approach to bias-correct tests for cross-section correlation in residuals from linear panel data regression models. The leave-two-out approach addresses the problem of correlation induced by demeaning or defacoring data across cross-sections in a longitudinal/panel dataset.
The computational resources will be used for monte carlo simulations that are too computationally intense for my desktop PC at work.