Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression

James H. Stock and Mark Watson

Scholarly Articles from Harvard University Department of Economics

Abstract: The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. We provide a bias-adjusted HR estimator that is √nT-consistent under any sequences (n T ) in which n and/or T increase to ∞. This estimator can be extended to handle serial correlation of fixed order.

Date: 2008
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Citations: View citations in EconPapers (269)

Published in Econometrica

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Related works:
Journal Article: Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression (2008)
Working Paper: Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:28461843

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