EconPapers    
Economics at your fingertips  
 

Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression

James Stock and Mark Watson

No 323, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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 two) as the number of entities n increases. We provide a bias-adjusted HR estimator that is (nT)1/2 -consistent under any sequences (n, T) in which n and/or T increase to %u221E.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 two) as the number of entities n increases. We provide a bias-adjusted HR estimator that is (nT)1/2 -consistent under any sequences (n, T) in which n and/or T increase to %u221E.

JEL-codes: C23 C12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ict
Date: 2006-06
Note: TWP
References: View complete reference list from CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed

Published as Stock, James H. and Mark W. Watson. "Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression." Econometrica 76, 1 (2008): 155-174.

Downloads: (external link)
http://www.nber.org/papers/t0323.pdf (application/pdf)

Related works:
Journal Article: Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression (2008) Downloads
Working Paper: Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression (2008) Downloads
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:nbr:nberte:0323

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0323

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-10-06
Handle: RePEc:nbr:nberte:0323