Asymptotic properties of a robust variance matrix estimator for panel data when is large

Author:

Hansen Christian B.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference31 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. Computing robust standard errors for within-groups estimators;Arellano;Oxford Bulletin of Economics and Statistics,1987

3. Unequally spaced panel data regressions with AR(1) disturbances;Baltagi;Econometric Theory,1999

4. Bell, R.M., McCaffrey, D.F., 2002. Bias reduction in standard errors for linear regression with multi-stage samples. Mimeo RAND.

5. How much should we trust differences-in-differences estimates?;Bertrand;Quarterly Journal of Economics,2004

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