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Asymptotic properties of a robust variance matrix estimator for panel data when T is large

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Cited by:

  1. Jonah B. Gelbach & Doug Miller, 2009. "Robust Inference with Multi-way Clustering," Working Papers 226, University of California, Davis, Department of Economics.
  2. Breitung, Jörg & Salish, Nazarii, 2021. "Estimation of heterogeneous panels with systematic slope variations," Journal of Econometrics, Elsevier, vol. 220(2), pages 399-415.
  3. Packalen, Mikko & Wirjanto, Tony S., 2012. "Inference about clustering and parametric assumptions in covariance matrix estimation," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 1-14, January.
  4. Federico Bugni & Ivan Canay & Azeem Shaikh & Max Tabord-Meehan, 2022. "Inference for Cluster Randomized Experiments with Non-ignorable Cluster Sizes," Papers 2204.08356, arXiv.org, revised Apr 2024.
  5. James Harrigan & Haiyan Deng, 2010. "China's Local Comparative Advantage," NBER Chapters, in: China's Growing Role in World Trade, pages 109-133, National Bureau of Economic Research, Inc.
  6. Berg, Nathan & Gabel, Todd, 2010. "New Reform Strategies and Welfare Participation in Canada," MPRA Paper 26591, University Library of Munich, Germany.
  7. Elif Guneren Genc & Ozlem Deniz Basar, 2017. "The Impact of OECD Countries¡¯ Macroeconomic Factors on Turkey¡¯s Foreign Trade," Research in World Economy, Research in World Economy, Sciedu Press, vol. 8(1), pages 24-36, June.
  8. Dmitry Arkhangelsky & Susan Athey & David A. Hirshberg & Guido W. Imbens & Stefan Wager, 2021. "Synthetic Difference-in-Differences," American Economic Review, American Economic Association, vol. 111(12), pages 4088-4118, December.
  9. Breinlich, Holger & Corradi, Valentina & Rocha, Nadia & Ruta, Michele & Silva, J.M.C. Santos & Zylkin, Tom, 2021. "Machine learning in international trade research - evaluating the impact of trade agreements," LSE Research Online Documents on Economics 114379, London School of Economics and Political Science, LSE Library.
  10. Burgess, Simon & Wilson, Deborah & Worth, Jack, 2013. "A natural experiment in school accountability: The impact of school performance information on pupil progress," Journal of Public Economics, Elsevier, vol. 106(C), pages 57-67.
  11. A. Colin Cameron & Douglas L. Miller, 2010. "Robust Inference with Clustered Data," Working Papers 318, University of California, Davis, Department of Economics.
  12. Nikolov, Plamen & Adelman, Alan, 2019. "Do private household transfers to the elderly respond to public pension benefits? Evidence from rural China," The Journal of the Economics of Ageing, Elsevier, vol. 14(C).
  13. Christian Almer & Ralph Winkler, 2012. "The Effect of Kyoto Emission Targets on Domestic CO2 Emissions: A Synthetic Control Approach," Diskussionsschriften dp1202, Universitaet Bern, Departement Volkswirtschaft.
  14. Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur, 2016. "Inference in High-Dimensional Panel Models With an Application to Gun Control," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 590-605, October.
  15. Christopher L. Foote, 2007. "Space and time in macroeconomic panel data: young workers and state-level unemployment revisited," Working Papers 07-10, Federal Reserve Bank of Boston.
  16. Yijuan Chen & Juergen Meinecke, 2012. "Do Healthcare Report Cards Cause Providers To Select Patients And Raise Quality Of Care?," Health Economics, John Wiley & Sons, Ltd., vol. 21(S1), pages 33-55, June.
  17. Caponi Vincenzo & Kayahan Burc & Plesca Miana, 2010. "The Impact of Aggregate and Sectoral Fluctuations on Training Decisions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-37, October.
  18. Hansen, Christian & Liao, Yuan, 2019. "The Factor-Lasso And K-Step Bootstrap Approach For Inference In High-Dimensional Economic Applications," Econometric Theory, Cambridge University Press, vol. 35(3), pages 465-509, June.
  19. Timothy Conley & Silvia Gonçalves & Christian Hansen, 2018. "Inference with Dependent Data in Accounting and Finance Applications," Journal of Accounting Research, Wiley Blackwell, vol. 56(4), pages 1139-1203, September.
  20. Weidner, Martin & Zylkin, Thomas, 2021. "Bias and consistency in three-way gravity models," Journal of International Economics, Elsevier, vol. 132(C).
  21. Hansen, Bruce E. & Lee, Seojeong, 2019. "Asymptotic theory for clustered samples," Journal of Econometrics, Elsevier, vol. 210(2), pages 268-290.
  22. Ildefonso Mendez & Gema Zamarro, 2018. "The intergenerational transmission of noncognitive skills and their effect on education and employment outcomes," Journal of Population Economics, Springer;European Society for Population Economics, vol. 31(2), pages 521-560, April.
  23. Yong Bao, 2024. "Estimating Linear Dynamic Panels with Recentered Moments," Econometrics, MDPI, vol. 12(1), pages 1-48, January.
  24. Jordan I. Siegel & Barbara Zepp Larson, 2009. "Labor Market Institutions and Global Strategic Adaptation: Evidence from Lincoln Electric," Management Science, INFORMS, vol. 55(9), pages 1527-1546, September.
  25. Gonçalves, Sílvia & Kaffo, Maximilien, 2015. "Bootstrap inference for linear dynamic panel data models with individual fixed effects," Journal of Econometrics, Elsevier, vol. 186(2), pages 407-426.
  26. Serhan Cevik & Fedor Miryugin, 2023. "Rogue Waves: Climate Change and Firm Performance," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(1), pages 29-59, March.
  27. Denis Chetverikov & Elena Manresa, 2022. "Spectral and post-spectral estimators for grouped panel data models," Papers 2212.13324, arXiv.org, revised Dec 2022.
  28. Kim, Min Seong & Sun, Yixiao, 2013. "Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 177(1), pages 85-108.
  29. Jungmo Yoon & Antonio F. Galvao, 2020. "Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects," Quantitative Economics, Econometric Society, vol. 11(2), pages 579-608, May.
  30. Richard Baldwin & James Harrigan, 2011. "Zeros, Quality, and Space: Trade Theory and Trade Evidence," American Economic Journal: Microeconomics, American Economic Association, vol. 3(2), pages 60-88, May.
  31. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2011. "Robust Inference With Multiway Clustering," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 238-249, April.
  32. Peter Z. Schochet, 2018. "Design-Based Estimators for Average Treatment Effects for Multi-Armed RCTs," Journal of Educational and Behavioral Statistics, , vol. 43(5), pages 568-593, October.
  33. Fernandes, Marcelo & Vieira Filho, Jose Gil, 2020. "The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(2), March.
  34. Liu, Xia, 2023. "Tourism development, environmental regulations, and natural resource management: Evidence from G20 countries," Resources Policy, Elsevier, vol. 86(PA).
  35. Guido W. Imbens & Jeffrey M. Wooldridge, 2009. "Recent Developments in the Econometrics of Program Evaluation," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 5-86, March.
  36. Rok Spruk & Mitja Kovac, 2018. "Inefficient Growth," Review of Economics and Institutions, Università di Perugia, vol. 9(2).
  37. Laurent Bergé, 2018. "Efficient estimation of maximum likelihood models with multiple fixed-effects: the R package FENmlm," DEM Discussion Paper Series 18-13, Department of Economics at the University of Luxembourg.
  38. James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen, 2017. "Bootstrap And Asymptotic Inference With Multiway Clustering," Working Paper 1386, Economics Department, Queen's University.
  39. Sun, Yu & Yan, Karen X., 2019. "Inference on Difference-in-Differences average treatment effects: A fixed-b approach," Journal of Econometrics, Elsevier, vol. 211(2), pages 560-588.
  40. Cassandra M. Guarino & Michelle Maxfield & Mark D. Reckase & Paul N. Thompson & Jeffrey M. Wooldridge, 2015. "An Evaluation of Empirical Bayes’s Estimation of Value-Added Teacher Performance Measures," Journal of Educational and Behavioral Statistics, , vol. 40(2), pages 190-222, April.
  41. Hagemann, Andreas, 2019. "Placebo inference on treatment effects when the number of clusters is small," Journal of Econometrics, Elsevier, vol. 213(1), pages 190-209.
  42. Mayer, Alexander, 2022. "On the local power of some tests of strict exogeneity in linear fixed effects models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 49-74.
  43. Yuya Sasaki & Yulong Wang, 2022. "Non-Robustness of the Cluster-Robust Inference: with a Proposal of a New Robust Method," Papers 2210.16991, arXiv.org, revised Dec 2022.
  44. Halse, Askill H., 2016. "More for everyone: The effect of local interests on spending on infrastructure," European Journal of Political Economy, Elsevier, vol. 43(C), pages 41-56.
  45. Liang Peng & Rainer Schulz, 2013. "Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 310-340, August.
  46. David Powell, 2016. "Synthetic Control Estimation Beyond Case Studies Does the Minimum Wage Reduce Employment?," Working Papers WR-1142, RAND Corporation.
  47. Mikosch, Heiner & Sturm, Jan-Egbert, 2012. "Has the EMU reduced wage growth and unemployment? Testing a model of trade union behavior," European Journal of Political Economy, Elsevier, vol. 28(1), pages 27-37.
  48. Juodis, Artūras & Sarafidis, Vasilis, 2022. "An incidental parameters free inference approach for panels with common shocks," Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
  49. Max Cytrynbaum, 2020. "Blocked Clusterwise Regression," Papers 2001.11130, arXiv.org.
  50. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2021. "Wild Bootstrap and Asymptotic Inference With Multiway Clustering," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 505-519, March.
  51. Djogbenou, Antoine A. & MacKinnon, James G. & Nielsen, Morten Ørregaard, 2019. "Asymptotic theory and wild bootstrap inference with clustered errors," Journal of Econometrics, Elsevier, vol. 212(2), pages 393-412.
  52. Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata, 2018. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper 1019, Institute of Social and Economic Research, Osaka University.
  53. Sarafidis, Vasilis & Yamagata, Takashi, 2010. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence," MPRA Paper 25182, University Library of Munich, Germany.
  54. Gilpatric, Scott M. & Vossler, Christian A. & Liu, Lirong, 2015. "Using competition to stimulate regulatory compliance: A tournament-based dynamic targeting mechanism," Journal of Economic Behavior & Organization, Elsevier, vol. 119(C), pages 182-196.
  55. Wooldridge, Jeffrey M., 2023. "What is a standard error? (And how should we compute it?)," Journal of Econometrics, Elsevier, vol. 237(2).
  56. MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023. "Cluster-robust inference: A guide to empirical practice," Journal of Econometrics, Elsevier, vol. 232(2), pages 272-299.
  57. Belman, Dale. & Wolfson, Paul J., 2016. "What does the minimum wage do in developing countries? : A review of studies and methodologies," ILO Working Papers 994893283402676, International Labour Organization.
  58. Guowei Cui & Milda NorkutÄ— & Vasilis Sarafidis & Takashi Yamagata, 2022. "Two-stage instrumental variable estimation of linear panel data models with interactive effects [Eigenvalue ratio test for the number of factors]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 340-361.
  59. Gong, Di & Jiang, Tao & Li, Zhao & Wu, Weixing, 2022. "Optimal loan contracting under policy uncertainty: Theory and international evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  60. Jon H. Fiva & Askill Halse & Daniel M. Smith, 2018. "Local Candidates and Distributive Politics under Closed-list Proportional Representation," CESifo Working Paper Series 7039, CESifo.
  61. David Roodman & James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2019. "Fast and wild: Bootstrap inference in Stata using boottest," Stata Journal, StataCorp LP, vol. 19(1), pages 4-60, March.
  62. Mr. Serhan Cevik & João Tovar Jalles, 2020. "This Changes Everything: Climate Shocks and Sovereign Bonds," IMF Working Papers 2020/079, International Monetary Fund.
  63. Ahn, Jungkyu, 2024. "Options illiquidity in an over-the-counter market," International Review of Financial Analysis, Elsevier, vol. 94(C).
  64. Guowei Cui & Vasilis Sarafidis & Takashi Yamagata, 2023. "IV estimation of spatial dynamic panels with interactive effects: large sample theory and an application on bank attitude towards risk," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 124-146.
  65. Dutta, Anupam & Knif, Johan & Kolari, James W. & Pynnonen, Seppo, 2018. "A robust and powerful test of abnormal stock returns in long-horizon event studies," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 1-24.
  66. Ladislava Grochová & Luboš Střelec, 2013. "Heteroskedasticity, temporal and spatial correlation matter," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2151-2155.
  67. Thomas Hutzschenreuter & Julian Horstkotte, 2013. "Performance effects of top management team demographic faultlines in the process of product diversification," Strategic Management Journal, Wiley Blackwell, vol. 34(6), pages 704-726, June.
  68. Olatunji Abdul Shobande, 2021. "Decomposing the Persistent and Transitory Effect of Information and Communication Technology on Environmental Impacts Assessment in Africa: Evidence from Mundlak Specification," Sustainability, MDPI, vol. 13(9), pages 1-12, April.
  69. Rho, Seunghwa & Vogelsang, Timothy J., 2021. "Inference in time series models using smoothed-clustered standard errors," Journal of Econometrics, Elsevier, vol. 224(1), pages 113-133.
  70. Vikström, Johan, 2009. "Cluster sample inference using sensitivity analysis: the case with few groups," Working Paper Series 2009:15, IFAU - Institute for Evaluation of Labour Market and Education Policy.
  71. Sriya Iyer & Chander Velu & Melvyn Weeks, 2014. "Divine Competition: Religious Organisations and Service Provision in India," Cambridge Working Papers in Economics 1409, Faculty of Economics, University of Cambridge.
  72. Frank Davenport, 2017. "Estimating standard errors in spatial panel models with time varying spatial correlation," Papers in Regional Science, Wiley Blackwell, vol. 96, pages 155-177, March.
  73. Dale Belman & Paul Wolfson & Kritkorn Nawakitphaitoon, 2015. "Who Is Affected by the Minimum Wage?," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 54(4), pages 582-621, October.
  74. Farrukh, Bekpulatov & Younis, Ijaz & Longsheng, Cheng, 2023. "The impact of natural resource management, innovation, and tourism development on environmental sustainability in low-income countries," Resources Policy, Elsevier, vol. 86(PB).
  75. Waldkirch Andreas & Tekin-Koru Ayça, 2010. "North American Integration and Canadian Foreign Direct Investment," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 10(1), pages 1-40, August.
  76. Bai, Jushan & Choi, Sung Hoon & Liao, Yuan, 2024. "Standard errors for panel data models with unknown clusters," Journal of Econometrics, Elsevier, vol. 240(2).
  77. Ossi Korkeamäki, 2011. "The Finnish payroll tax cut experiment revisited, or where did the money go?," ERSA conference papers ersa11p898, European Regional Science Association.
  78. Colin F. Camerer & Gideon Nave & Alec Smith, 2019. "Dynamic Unstructured Bargaining with Private Information: Theory, Experiment, and Outcome Prediction via Machine Learning," Management Science, INFORMS, vol. 65(4), pages 1867-1890, April.
  79. Christopher F. Parmeter & Jaren C. Pope, 2013. "Quasi-experiments and hedonic property value methods," Chapters, in: John A. List & Michael K. Price (ed.), Handbook on Experimental Economics and the Environment, chapter 1, pages 3-66, Edward Elgar Publishing.
  80. Vogelsang, Timothy J., 2012. "Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects," Journal of Econometrics, Elsevier, vol. 166(2), pages 303-319.
  81. Simon Sturn, 2014. "Macroeconomic policy in recessions and unemployment hysteresis," Applied Economics Letters, Taylor & Francis Journals, vol. 21(13), pages 914-917, September.
  82. Robertson, Donald & Sarafidis, Vasilis, 2015. "IV estimation of panels with factor residuals," Journal of Econometrics, Elsevier, vol. 185(2), pages 526-541.
  83. Bester, C. Alan & Hansen, Christian B., 2016. "Grouped effects estimators in fixed effects models," Journal of Econometrics, Elsevier, vol. 190(1), pages 197-208.
  84. Girma, Sourafel & Paton, David, 2011. "The impact of emergency birth control on teen pregnancy and STIs," Journal of Health Economics, Elsevier, vol. 30(2), pages 373-380, March.
  85. Fernandes, Marcelo & Vieira Filho, Jose Gil, 2019. "The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(2).
  86. A. Colin Cameron & Douglas L. Miller, 2010. "Robust Inference with Clustered Data," Working Papers 107, University of California, Davis, Department of Economics.
  87. Robert F. Phillips, 2022. "Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias," Papers 2212.14075, arXiv.org, revised Jul 2024.
  88. David Powell, 2017. "Inference with Correlated Clusters," Working Papers WR-1137-1, RAND Corporation.
  89. Ildefonso Mendez & Isabel Cutillas, 2014. "Has immigration affected Spanish presidential elections results?," Journal of Population Economics, Springer;European Society for Population Economics, vol. 27(1), pages 135-171, January.
  90. Simon Wiederhold, 2012. "The Role of Public Procurement in Innovation: Theory and Empirical Evidence," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 43.
  91. Mitja Kovac & Salvini Datta & Rok Spruk, 2021. "Pharmaceutical Product Liability, Litigation Regimes, and the Propensity to Patent: An Empirical Firm-Level Investigation," SAGE Open, , vol. 11(2), pages 21582440211, April.
  92. Chirok Han & Hyoungjong Kim, 2023. "Heteroskedasticity‐Robust Standard Errors for Dynamic Panel Data Models with Fixed Effects," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(5), pages 1135-1155, October.
  93. Hutzschenreuter, Thomas & Horstkotte, Julian, 2013. "Managerial services and complexity in a firm’s expansion process: An empirical study of the impact on the growth of the firm," European Management Journal, Elsevier, vol. 31(2), pages 137-151.
  94. Álvarez, Inmaculada C. & Barbero, Javier & Zofío, José L., 2017. "A Panel Data Toolbox for MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 76(i06).
  95. Olarte Bacares, Carlos Augusto, 2013. "Impact of urban public transport enhancements on crime rate: a diff-diff analysis for the case of Transmilenio," MPRA Paper 53967, University Library of Munich, Germany, revised 10 Jan 2014.
  96. Nikolov Plamen & Adelman Alan, 2018. "Short-Run Health Consequences of Retirement and Pension Benefits: Evidence from China," Forum for Health Economics & Policy, De Gruyter, vol. 21(2), pages 1-27, December.
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  98. Uchôa, Carlos F.A. & Cribari-Neto, Francisco & Menezes, Tatiane A., 2014. "Testing inference in heteroskedastic fixed effects models," European Journal of Operational Research, Elsevier, vol. 235(3), pages 660-670.
  99. Nathan Berg & Todd Gabel, 2015. "Did Canadian welfare reform work? The effects of new reform strategies on social assistance participation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(2), pages 494-528, May.
  100. Simon Hartmann & Rok Spruk, 2023. "The impact of unilateral BIT terminations on FDI: Quasi-experimental evidence from India," The Review of International Organizations, Springer, vol. 18(2), pages 259-296, April.
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  102. Jorge González Chapela, 2018. "Physical Work Intensity and the Split Workday: Theory and Evidence from Spain," Journal of Labor Research, Springer, vol. 39(3), pages 329-353, September.
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  128. Stéphane Bonhomme & Elena Manresa, 2015. "Grouped Patterns of Heterogeneity in Panel Data," Econometrica, Econometric Society, vol. 83(3), pages 1147-1184, May.
  129. Kazuhiko Hayakawa & Shuichi Nagata & Takashi Yamagata, 2018. "A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects," ISER Discussion Paper 1037, Institute of Social and Economic Research, Osaka University.
  130. Creal, Drew & Kim, Jaeho, 2024. "Bayesian estimation of cluster covariance matrices of unknown form," Journal of Econometrics, Elsevier, vol. 241(1).
  131. Ashesh Rambachan & Jonathan Roth, 2023. "A More Credible Approach to Parallel Trends," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(5), pages 2555-2591.
  132. Kaicheng Chen & Timothy J. Vogelsang, 2023. "Fixed-b Asymptotics for Panel Models with Two-Way Clustering," Papers 2309.08707, arXiv.org, revised Aug 2024.
  133. Chen, Hongrui, 2023. "Energy innovations, natural resource abundance, urbanization, and environmental sustainability in the post-covid era. Does environmental regulation matter?," Resources Policy, Elsevier, vol. 85(PB).
  134. Martin Maris, 2024. "Contribution of EU Cohesion Policy to Regional Growth: Evidence from V4 Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2024(2), pages 164-186.
  135. Denis Chetverikov & Jinyong Hahn & Zhipeng Liao & Andres Santos, 2023. "Standard errors when a regressor is randomly assigned," Papers 2303.10306, arXiv.org.
  136. Mendez, Ildefonso, 2015. "The effect of the intergenerational transmission of noncognitive skills on student performance," Economics of Education Review, Elsevier, vol. 46(C), pages 78-97.
  137. Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014. "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
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