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...

The paper develops an asymptotically valid F test that is robust to spatial autocorrelation in a GMM framework. The test is based on the class of series covariance matrix estimators and fixed-smoothing asymptotics. The fixed-smoothing asymptotics and F approximation are established under mild...

The paper provides a new class of over-identification tests that are robust to heteroscedasticity and autocorrelation of unknown forms. The tests are based on the series long run variance estimator that is designed to pivotalize the moment restrictions. We show that when the number of terms used...