Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large

DOI10.1016/j.jeconom.2006.10.009zbMath1418.62461MaRDI QIDQ289174

Publication date: 27 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.10.009

zbMATH Keywords

robust; covariance matrix; autocorrelation; panel; heteroskedasticity

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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