We study estimation and inference in panel data regression models when the regressors of interest are macro shocks …. In general, including lags as controls and then clustering over the cross-section leads to simple, robust inference. …

version of the model studied in Bonhomme et al. (2022). We show that inference is possible in this setting using a …

. Estimation and inference can, however, be carried out with the generalized method of moments (GMM) by suitably aggregating … assumptions are proposed in the literature - often lacking a thorough discussion of the implications for estimation and inference … conditions required to establish identification and consistency, derive the asymptotic properties, and carry out inference for …