Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
From MaRDI portal
Publication:289174
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
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)
Related Items
ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING, X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, A robust test for serial correlation in panel data models, Alternative diff-in-diffs estimators with several pretreatment periods, Group structure detection for a high‐dimensional panel data model, Machine learning panel data regressions with heavy-tailed dependent data: theory and application, What is a standard error? (And how should we compute it?), Design-Based Ratio Estimators and Central Limit Theorems for Clustered, Blocked RCTs, The two-way Mundlak estimator, Testing for Unobserved Heterogeneity via k-means Clustering, A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data, Homogeneity and Sparsity Analysis for High-Dimensional Panel Data Models, Standard errors for panel data models with unknown clusters, Inferring causal impact using Bayesian structural time-series models, A Dirichlet process functional approach to heteroscedastic-consistent covariance estimation, Inference about clustering and parametric assumptions in covariance matrix estimation, Bootstrap inference for linear dynamic panel data models with individual fixed effects, Robust estimation under error cross section dependence, Inference with dependent data using cluster covariance estimators, Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects, Grouped effects estimators in fixed effects models, Asymptotic theory for clustered samples, A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions, Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach, Simple and trustworthy cluster-robust GMM inference, Inference in time series models using smoothed-clustered standard errors, Estimation of heterogeneous panels with systematic slope variations, Testing inference in heteroskedastic fixed effects models, Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence, Asymptotic theory and wild bootstrap inference with clustered errors, Placebo inference on treatment effects when the number of clusters is small, Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects, An incidental parameters free inference approach for panels with common shocks, Cluster-robust inference: a guide to empirical practice, FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS, Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap, Testing for sphericity in a fixed effects panel data model, THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Longitudinal data analysis using generalized linear models
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Mixing: Properties and examples
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
- Biases in Dynamic Models with Fixed Effects
- Serial Correlation and the Fixed Effects Model
- How Much Should We Trust Differences-In-Differences Estimates?
- UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
- Linear Regression Limit Theory for Nonstationary Panel Data
- Orthogonal Parameters and Panel Data
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large