Journal article
Standard errors for panel data models with unknown clusters
Journal of econometrics, Vol.240(2), pp.105004-15
03/01/2024
DOI: 10.1016/j.jeconom.2020.08.006
Abstract
This paper develops a new standard-error estimator for linear panel data models. The proposed estimator is robust to heteroskedasticity, serial correlation, and cross-sectional correlation of unknown forms. The serial correlation is controlled by the Newey–West method. To control for cross-sectional correlations, we propose to use the thresholding method, without assuming the clusters to be known. We establish the consistency of the proposed estimator. Monte Carlo simulations show the method works well. An empirical application is considered.
Details
- Title: Subtitle
- Standard errors for panel data models with unknown clusters
- Creators
- Jushan Bai - Columbia UniversitySung Hoon Choi - Rutgers, The State University of New JerseyYuan Liao - Rutgers, The State University of New Jersey
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.240(2), pp.105004-15
- DOI
- 10.1016/j.jeconom.2020.08.006
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Publisher
- Elsevier B.V
- Language
- English
- Date published
- 03/01/2024
- Academic Unit
- Economics
- Record Identifier
- 9984936837102771
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