HAC estimation in spatial panels

We propose a HAC estimator for the covariance matrix of the fixed effects estimator in a panel data model with unobserved fixed effects and errors that are both serially and spatially correlated.

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Year of publication:	2012
Authors:	Moscone, Francesco ; Tosetti, Elisa
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 60-65
Publisher:	Elsevier
Subject:	Panels \| HAC estimator \| Spatial dependence \| Serial dependence

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Type of publication:	Article
Classification:	C10 - Econometric and Statistical Methods: General. General ; C31 - Cross-Sectional Models; Spatial Models ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580444