Robust Standard Error Estimators for Panel Models: A Unifying Approach

Giovanni Millo

131 citations0/0 files storedJournal of Statistical Software

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Spatial and Panel Data Analysis Advanced Statistical Methods and Models Data Analysis with R

Abstract

The different robust estimators for the standard errors of panel models used in applied econometric practice can all be written and computed as combinations of the same simple building blocks. A framework based on high-level wrapper functions for most common usage and basic computational elements to be combined at will, coupling user-friendliness with flexibility, is integrated in the plm package for panel data econometrics in R. Statistical motivation and computational approach are reviewed, and applied examples are provided.

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References

2001Econometric Analysis of Cross Section and Panel Data 1973Risk, Return, and Equilibrium: Empirical Tests 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 1988Spatial Econometrics: Methods and Models 1995What To Do (and Not to Do) with Time-Series Cross-Section Data 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data 1995Estimating long-run relationships from dynamic heterogeneous panels 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

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