Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

DOI10.1016/j.jeconom.2013.07.002zbMath1285.62107OpenAlexW3123350317MaRDI QIDQ2448412

Min Seong Kim, Yixiao Sun

Publication date: 30 April 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.07.002

zbMATH Keywords

adaptivenessoptimal bandwidthfixed-smoothing asymptotics\(F\)-approximationfixed-effects 2SLSincreasing-smoothing asymptoticspanel HAC estimatorspatiotemporal dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (12)

Bootstrap inference under cross‐sectional dependence ⋮ Autoregressive spatial spectral estimates ⋮ Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects ⋮ Heterogeneous panel data models with cross-sectional dependence ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data ⋮ A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions ⋮ Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach ⋮ Inference without smoothing for large panels with cross-sectional and temporal dependence ⋮ Determining individual or time effects in panel data models ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice

Uses Software

• Arc_Mat

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• GMM estimation with cross sectional dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• HAC estimation in a spatial framework
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
• Inference with dependent data using cluster covariance estimators
• Simple and powerful GMM over-identification tests with accurate size
• Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
• Economic distance and cross-country spillovers
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• How Much Should We Trust Differences-In-Differences Estimates?
• Simple Robust Testing of Regression Hypotheses
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• Robust Inference With Multiway Clustering
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators
• Consistent Estimates Based on Partially Consistent Observations
• A new semiparametric spatial model for panel time series

This page was built for publication: Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects