Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058631 | Economics Letters | 2015 | 5 Pages |
Abstract
â¢Propose a variance estimator for fixed effects and mean group estimators in panels.â¢Robust to various forms of serial and cross sectional dependence in errors.â¢Useful in applied work for large N short T panels when little is known about the process generating the errors.â¢Shown to be consistent for N going to infinity, with T fixed.
We propose a robust, partial sample estimator for the covariance matrix of the fixed effects and mean group estimators of the slope coefficients in a short T Â panel data model with group-specific effects and errors that are weakly cross sectionally dependent and serially correlated.
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Authors
F. Moscone, Elisa Tosetti,