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 panel data model with group-specific effects and errors that are weakly cross sectionally dependent and serially correlated. (C) 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

Robust estimation under error cross section dependence

Moscone F;Tosetti E
2015

Abstract

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 panel data model with group-specific effects and errors that are weakly cross sectionally dependent and serially correlated. (C) 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/3722442
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