Heteroskedasticity-robust Standard Errors for Fixed Effects Panel Data Regression

@inproceedings{Stock2006HeteroskedasticityrobustSE,
  title={Heteroskedasticity-robust Standard Errors for Fixed Effects Panel Data Regression},
  author={James H. Stock and Mark W. Watson},
  year={2006}
}
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 2) as the number of entities n increases. We provide a bias-adjusted HR estimator that is NVn-T-consistent under any sequences (n, T) in which n and/or T increase to cc. This… CONTINUE READING
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