Inference with dependent data using cluster covariance estimators

Journal of Econometrics

Volumn 165, Issue 2, 2011, Pages 137-151

  Bester, C Alan ^a   Conley, Timothy G ^b   Hansen, Christian B ^a  

^a UNIVERSITY OF CHICAGO   (United States)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

HAC; Panel; Robust; Spatial

Indexed keywords

ASYMPTOTICS; F DISTRIBUTION; HAC; HETEROSKEDASTICITY; LIMITING DISTRIBUTIONS; NUMBER OF CLUSTERS; PANEL; PANEL DATA; ROBUST; SAMPLE SIZES; SPATIAL; WALD STATISTIC;

TIME SERIES;

COVARIANCE MATRIX;

EID: 80054704053     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.01.007     Document Type: Article

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