Robust standard errors for panel regressions with cross–sectional dependence
| dc.creator | Hoechle, Daniel | |
| dc.date | 2017-04-01T19:43:28Z | |
| dc.date.accessioned | 2026-07-09T05:53:19Z | |
| dc.description | I present a new Stata program, xtscc, that estimates pooled ordinary least-squares/weighted least-squares regression and fixed-effects (within) regression models with Driscoll and Kraay (Review of Economics and Statistics 80: 549–560) standard errors. By running Monte Carlo simulations, I compare the finite-sample properties of the cross-sectional dependence–consistent Driscoll–Kraay estimator with the properties of other, more commonly used covariance matrix estimators that do not account for cross-sectional dependence. The results indicate that Driscoll–Kraay standard errors are well calibrated when cross-sectional dependence is present. However, erroneously ignoring cross-sectional correlation in the estimation of panel models can lead to severely biased statistical results. I illustrate the xtscc program by considering an application from empirical nance. Thereby, I also propose a Hausman-type test for fixed effects that is robust to general forms of cross-sectional and temporal dependence. | |
| dc.identifier | Other:st0128 | |
| dc.identifier | doi:10.22004/ag.econ.119278 | |
| dc.identifier | https://ageconsearch.umn.edu/record/119278/files/sjart_st0128.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/119278 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/569660 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/119278 | |
| dc.title | Robust standard errors for panel regressions with cross–sectional dependence | |
| dc.type | Text |