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Computing Robust Standard Errors for Within-Groups Estimators

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  • Arellano, M

Abstract

The purpose of this note is to explain how to use standard packages to calculate heteroskedasticity and serial c orrelation consistent standard errors for within-groups estimators of a linear regression model from panel data. The within-groups estimat or is calculated as the least squares estimator in a transformed mult ivariate regression with cross-equation linear restrictions. The Whit e standard errors obtained in this way are the desired ones. Copyright 1987 by Blackwell Publishing Ltd

Suggested Citation

  • Arellano, M, 1987. "Computing Robust Standard Errors for Within-Groups Estimators," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(4), pages 431-434, November.
  • Handle: RePEc:bla:obuest:v:49:y:1987:i:4:p:431-34
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