Robust estimation under error cross section dependence

F. Moscone and Elisa Tosetti

Economics Letters, 2015, vol. 133, issue C, 100-104

Abstract: We propose a robust, partial sample estimator for the covariance matrix of the fixed effects and mean group estimators of the slope coefficients in a short T panel data model with group-specific effects and errors that are weakly cross sectionally dependent and serially correlated.

Keywords: Panels; Weak cross section dependence; Fixed effects estimator; Mean group estimator (search for similar items in EconPapers)
JEL-codes: C10 C31 C33 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176515002153
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:133:y:2015:i:c:p:100-104

DOI: 10.1016/j.econlet.2015.05.020

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().