Robust Standard Error Estimation in Fixed-effects Panel Models * Gábor Kézdi

@inproceedings{Kzdi2005RobustSE,
  title={Robust Standard Error Estimation in Fixed-effects Panel Models * G{\'a}bor K{\'e}zdi},
  author={G{\'a}bor K{\'e}zdi and J. K. Hahn and Steven Levitt and Shinichi Sakata},
  year={2005}
}
This paper focuses on standard error estimation in Fixed-Effects panel models if there is serial correlation in the error process. Applied researchers have often ignored the problem, probably because major statistical packages do not estimate robust standard errors in FE models. Not surprisingly, this can lead to severe bias in the standard error estimates, both in hypothetical and real-life situations. The paper gives a systematic overview of the different standard error estimators and the… CONTINUE READING
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