2 papers
econ.EM2019
Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper considers generalized least squares (GLS) estimation for linear panel data models. By estimating the large error covariance matrix consistently, the proposed feasible GL…
econ.EM2019
Standard Errors for Panel Data Models with Unknown Clusters
Jushan Bai, Sung Hoon Choi, Yuan Liao
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 cor…