Asymptotic properties of a robust variance matrix estimator for panel data when T is large
From MaRDI portal
Publication:289174
DOI10.1016/J.JECONOM.2006.10.009zbMATH Open1418.62461OpenAlexW2037081303MaRDI QIDQ289174FDOQ289174
Authors: Christian B. Hansen 
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
Recommendations
- The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
- Robust estimation under error cross section dependence
- A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
Cites Work
- Linear Regression Limit Theory for Nonstationary Panel Data
- Mixing: Properties and examples
- Econometric analysis of cross section and panel data.
- Biases in Dynamic Models with Fixed Effects
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Jackknife and analytical bias reduction for nonlinear panel models.
- 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
- How Much Should We Trust Differences-In-Differences Estimates?
- Title not available (Why is that?)
- Orthogonal Parameters and Panel Data
- Serial Correlation and the Fixed Effects Model
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
- UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
- Title not available (Why is that?)
Cited In (45)
- Bayesian estimation of cluster covariance matrices of unknown form
- Asymptotic theory for clustered samples
- Design-Based Ratio Estimators and Central Limit Theorems for Clustered, Blocked RCTs
- Wild Bootstrap and Asymptotic Inference With Multiway Clustering
- Inference in time series models using smoothed-clustered standard errors
- Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
- Small-Sample Methods for Cluster-Robust Variance Estimation and Hypothesis Testing in Fixed Effects Models
- Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
- Estimation of heterogeneous panels with systematic slope variations
- Simple and trustworthy cluster-robust GMM inference
- A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
- Inference about clustering and parametric assumptions in covariance matrix estimation
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- Inference with dependent data using cluster covariance estimators
- Alternative diff-in-diffs estimators with several pretreatment periods
- The two-way Mundlak estimator
- Cluster-robust inference: a guide to empirical practice
- 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
- Group structure detection for a high‐dimensional panel data model
- X-differencing and dynamic panel model estimation
- Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators
- A Dirichlet process functional approach to heteroscedastic-consistent covariance estimation
- 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
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Machine learning panel data regressions with heavy-tailed dependent data: theory and application
- Testing for sphericity in a fixed effects panel data model
- Asymptotically efficient model selection for panel data forecasting
- Inferring causal impact using Bayesian structural time-series models
- Grouped effects estimators in fixed effects models
- Standard errors for panel data models with unknown clusters
- Inference With Dyadic Data: Asymptotic Behavior of the Dyadic-Robust t -Statistic
- An incidental parameters free inference approach for panels with common shocks
- What is a standard error? (And how should we compute it?)
- A more credible approach to parallel trends
- A robust test for serial correlation in panel data models
- Fixed-\(b\) asymptotics for panel models with two-way clustering
- The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
- Bootstrap inference for linear dynamic panel data models with individual fixed effects
- Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach
- Testing inference in heteroskedastic fixed effects models
- Testing for Unobserved Heterogeneity via k-means Clustering
- Robust estimation under error cross section dependence
Uses Software
This page was built for publication: Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q289174)
