Jushan Bai, Sung Hoon Choi, Yuan Liao
arXiv 16 Oct 2019 · Econometrics · publishedJournal of Econometrics (2020) · 16 citations (OpenAlex)
arXiv:1910.07406 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a new standard-error estimator for linear panel data models. The proposed estimator is robust to heteroskedasticity, serial correlation, and cross-sectional correlation of unknown forms. The serial correlation is controlled by the Newey-West method. To control for cross-sectional correlations, we propose to use the thresholding method, without assuming the clusters to be known. We establish the consistency of the proposed estimator. Monte Carlo simulations show the method works well. An empirical application is considered.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Newey and West (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix | 0.874 | 5 | 2 | 100% |
| 2 | Arellano (1987) Computing Robust Standard Errors for Within-groups Estimators | 0.843 | 3 | 3 | 100% |
| 3 | Newey and West (1994) Automatic lag selection in covariance matrix estimation | 0.843 | 3 | 3 | 100% |
| 4 | Bickel and Levina (2008) Covariance regularization by thresholding | 0.811 | 4 | 2 | 100% |
| 5 | Hansen (2007) Asymptotic properties of a robust variance matrix estimator for panel data when T is large | 0.811 | 4 | 2 | 100% |
| 6 | Wolfers (2006) Did unilateral divorce laws raise divorce rates? A reconciliation and new results | 0.693 | 6 | 1 | 100% |
| 7 | Andrews (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.644 | 2 | 2 | 100% |
| 8 | Cameron and Miller (2015) A practitioner’s guide to cluster-robust inference | 0.644 | 2 | 2 | 100% |
| 9 | Friedberg (1998) Did unilateral divorce raise divorce rates? Evidence from panel data | 0.511 | 2 | 1 | 100% |
| 10 | Abadie, Athey, Imbens, and Wooldridge (2017) When should you adjust standard errors for clustering? | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 25 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 1 Panel Data with Unknown Clusters | 1.000 | 12 | 5 |
| 2 | Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations | 1.000 | 5 | 4 |
| 3 | Heterogeneous Grouping Structures in Panel Data | 0.405 | 1 | 1 |
| 4 | Inferential Theory for Pricing Errors with Latent Factors and Firm Characteristics | 0.000 | 1 | 1 |