Robust standard error estimators for panel models: a unifying approach

Giovanni Millo

MPRA Paper from University Library of Munich, Germany

Abstract: The different robust estimators for the standard errors of panel models used in applied econometric practice can all be written and computed as combinations of the same simple building blocks. A framework based on high-level wrapper functions for most common usage and basic computational elements to be combined at will, coupling user-friendliness with flexibility, is integrated in the 'plm' package for panel data econometrics in R. Statistical motivation and computational approach are reviewed, and applied examples are provided.

Keywords: Panel data; covariance matrix estimators; R (search for similar items in EconPapers)
JEL-codes: C12 C23 C87 (search for similar items in EconPapers)
Date: 2014-07-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (5)

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