HAC estimation in spatial panels

Francesco Moscone and Elisa Tosetti

Economics Letters, 2012, vol. 117, issue 1, 60-65

Abstract: We propose a HAC estimator for the covariance matrix of the fixed effects estimator in a panel data model with unobserved fixed effects and errors that are both serially and spatially correlated.

Keywords: Panels; HAC estimator; Spatial dependence; Serial dependence (search for similar items in EconPapers)
JEL-codes: C10 C31 C33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:60-65

DOI: 10.1016/j.econlet.2012.04.006

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