The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. We provide a bias-adjusted HR estimator that is nT-consistent under any sequences (n, T) in which n and/or T increase to ∞. This estimator can be extended to handle serial correlation of fixed order.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics
- Clustered standard errors
- Longitudinal data
- White standard errors