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Heteroskedasticity-robust standard errors for fixed effects panel data regression

HHeteroskedasticity-robust standard errors for fixed effects

Número de Cutter-SanbornS864hEntrada «Stoc» → 864 · marca de obra “h”

Heteroskedasticity-robust standard errors for fixed effects panel data regression

de James H. Stock

"The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees of freedom adjustment), applied to the fixed effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than two) as the number of entities n increases. We provide a bias-adjusted HR estimator that is (nT)1/2 -consistent under any sequences (n, T) in which n and/or T increase to. The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees of freedom adjustment), applied to the fixed effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than two) as the number of entities n increases. We provide a bias-adjusted HR estimator that is (nT)1/2 -consistent under any sequences (n, T) in which n and/or T increase to "--National Bureau of Economic Research web site.