Small-sample inference with spatial HAC estimators

This paper examines the small-sample performance of spatial HAC (SHAC) estimators of the standard errors on parameters. We find that, in small to moderately-sized datasets, the use of HAC estimators may be recommended only with a relatively large degree of cross-sectional interdependence.

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Year of publication:	2014
Authors:	Dorn, Sabrina ; Egger, Peter H.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 2, p. 236-239
Publisher:	Elsevier
Subject:	Spatial econometrics \| HAC estimation \| Robust estimation

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011076553