Robust estimation under error cross section dependence

DOI10.1016/J.ECONLET.2015.05.020MaRDI QIDQ529792zbMATH OpenOpenAlexFDO

Authors Elisa Tosetti, Francesco Moscone

Publication date 9 June 2017

Published in Economics Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.econlet.2015.05.020

zbMATH Keywords

panelsfixed effects estimatormean group estimatorweak cross section dependence

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to economics (62P20)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Estimating long-run relationships from dynamic heterogeneous panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• GMM estimation with cross sectional dependence
• HAC estimation in a spatial framework
• HAC estimation in spatial panels
• Inference with dependent data using cluster covariance estimators
• Large panels with common factors and spatial correlation
• Nonparametric spectrum estimation for spatial data
• Panel data models with interactive fixed effects
• Robust inference with multiway clustering
• Spatial Price Competition: A Semiparametric Approach

Cited in

(9)

• Inference on modelling cross-sectional dependence for a varying-coefficient model
• Robust estimation and moment selection in dynamic fixed-effects panel data models
• Mean group estimation in presence of weakly cross-correlated estimators
• Equilibrated residual error estimates are p-robust
• scientific article; zbMATH DE number 5580917 (Why is no real title available?)
• Robustness of Zero Crossing Estimator
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Exponent of cross-sectional dependence for residuals
• Application of M-Estimators to Cross-Section Effect Models

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