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16 octobre 2019
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- 1910.07406
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Economics - EconometricsSujets proches
Blanks (Forms) Forms, blanks, etc Blank forms Papers Mistakes Economic theory Political economyCiter ce document
Jushan Bai et al., « Standard Errors for Panel Data Models with Unknown Clusters », arXiv - économie
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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.