HAC estimation in spatial panels

DOI10.1016/J.ECONLET.2012.04.006MaRDI QIDQ1925850zbMATH OpenOpenAlexFDO

Authors Francesco Moscone, Elisa Tosetti

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://bura.brunel.ac.uk/handle/2438/7746

zbMATH Keywords

HAC estimatorpanelsserial dependencespatial dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotics for linear processes
• Finite Sample Econometrics
• GMM estimation with cross sectional dependence
• HAC estimation in a spatial framework
• scientific article; zbMATH DE number 1324089 (Why is no real title available?)
• Inference with dependent data using cluster covariance estimators
• Spatial Price Competition: A Semiparametric Approach

Cited in

(5)

• Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation
• HAC estimation in a spatial framework
• Robust estimation under error cross section dependence
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix

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