Standard errors for panel data models with unknown clusters

DOI10.1016/j.jeconom.2020.08.006arXiv1910.07406OpenAlexW3092271348WikidataQ114666099 ScholiaQ114666099MaRDI QIDQ6199637

Sung Hoon Choi, Jushan Bai, Yuan Liao

Publication date: 21 March 2024

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

Full work available at URL: https://arxiv.org/abs/1910.07406

zbMATH Keywords

serial correlationpanel datathresholdingheteroskedasticityclustered standard errorscross-sectional correlation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Automatic Lag Selection in Covariance Matrix Estimation
• Panel Data Econometrics
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression

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