Small-sample inference with spatial HAC estimators

Sabrina Dorn and Peter Egger

Economics Letters, 2014, vol. 125, issue 2, 236-239

Abstract: This paper examines the small-sample performance of spatial HAC (SHAC) estimators of the standard errors on parameters. We find that, in small to moderately-sized datasets, the use of HAC estimators may be recommended only with a relatively large degree of cross-sectional interdependence.

Keywords: Spatial econometrics; HAC estimation; Robust estimation (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:2:p:236-239

DOI: 10.1016/j.econlet.2014.09.004

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