A New Jackknife Variance Estimator for Time-Series and Panel Regressions

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Staff Reports

A New Jackknife Variance Estimator for Time-Series and Panel Regressions

Previous title: “A Jackknife Variance Estimator for Panel Regressions”

Number 1133
October 2024 Revised February 2026

JEL classification: C12, C13, C22, C23

Authors: Richard K. Crump, Nikolay Gospodinov, and Ignacio Lopez Gaffney

We introduce a new jackknife variance estimator for time-series and panel-data regressions. The novelty in our approach is that we first rotate the data using a particular choice of trigonometric basis functions. This rotation removes serial correlation in a broad class of time-series processes, including random walks, and enables the use of the conventional leave-one-out jackknife on the transformed space of the regressors and residuals. The procedure is tuning-parameter free and naturally adapts to the degree of persistence of the data. We prove the asymptotic validity of our variance estimator under general conditions and demonstrate excellent finite-sample properties in extensive simulation experiments, spanning a wide range of time-series and panel-data designs.

Full Article

Author Disclosure Statement(s)

Richard K. Crump
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “A Jackknife Variance Estimator for Panel Regressions,” joint with Nikolay Gospodinov and Ignacio Lopez Gaffney.

Nikolay Gospodinov
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “A Jackknife Variance Estimator for Panel Regressions,” joint with Richard Crump and Ignacio Lopez Gaffney.

Ignacio Lopez Gaffney
I declare that I have no relevant or material financial interests that relate to the research described in my paper entitled “A Jackknife Variance Estimator for Panel Regressions” joint with Richard Crump and Nikolay Gospodinov.

Suggested Citation:
Crump, Richard K., Nikolay Gospodinov, and Ignacio Lopez Gaffney. 2024. “A New Jackknife Variance Estimator for Time-Series and Panel Regressions.” Federal Reserve Bank of New York Staff Reports, no. 1133, revised February 2026. https://doi.org/10.59576/sr.1133

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