The paper develops the Öxed-smoothing asymptotics in a two-step GMM framework. Under this type of asymptotics, the weighting matrix in the second-step GMM criterion function converges weakly to a random matrix and the two-step GMM estimator is asymptotically mixed normal. Nevertheless, the Wald...

This paper studies robust inference for linear panel models with fixed effects in the presence of heteroskedasticity and spatiotemporal dependence of unknown forms. We propose a bivariate kernel covariance estimator that is flexible to nest existing estimators as special cases with certain...