Standard Errors for Panel Data Models with Unknown Clusters

Jushan Bai, Sung Hoon Choi () and Yuan Liao

Papers from arXiv.org

Abstract: This paper develops a new standard-error estimator for linear panel data models. The proposed estimator is robust to heteroskedasticity, serial correlation, and cross-sectional correlation of unknown forms. The serial correlation is controlled by the Newey-West method. To control for cross-sectional correlations, we propose to use the thresholding method, without assuming the clusters to be known. We establish the consistency of the proposed estimator. Monte Carlo simulations show the method works well. An empirical application is considered.

Date: 2019-10, Revised 2020-05
New Economics Papers: this item is included in nep-ecm
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Journal Article: Standard errors for panel data models with unknown clusters (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1910.07406

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