Computing Robust Standard Errors for Within-Groups Estimators

Manuel Arellano

Oxford Bulletin of Economics and Statistics, 1987, vol. 49, issue 4, 431-34

Abstract: The purpose of this note is to explain how to use standard packages to calculate heteroskedasticity and serial c orrelation consistent standard errors for within-groups estimators of a linear regression model from panel data. The within-groups estimat or is calculated as the least squares estimator in a transformed mult ivariate regression with cross-equation linear restrictions. The Whit e standard errors obtained in this way are the desired ones. Copyright 1987 by Blackwell Publishing Ltd

Date: 1987
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