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Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 2011Inference with dependent data using cluster covariance estimators258 cited
  • 2006Generalized Method of Moments257 cited
  • 2011Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects220 cited
  • 2005HAC ESTIMATION BY AUTOMATED REGRESSION99 cited
  • 2013Let’s fix it: Fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference90 cited
  • 2011THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS87 cited

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