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Robust standard error estimators for panel models: a unifying approach

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  • Millo, Giovanni

Abstract

The different robust estimators for the standard errors of panel models used in applied econometric practice can all be written and computed as combinations of the same simple building blocks. A framework based on high-level wrapper functions for most common usage and basic computational elements to be combined at will, coupling user-friendliness with flexibility, is integrated in the 'plm' package for panel data econometrics in R. Statistical motivation and computational approach are reviewed, and applied examples are provided.

Suggested Citation

  • Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:54954
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    File URL: https://mpra.ub.uni-muenchen.de/54954/1/MPRA_paper_54954.pdf
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    References listed on IDEAS

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    Cited by:

    1. Kivanç Halil Ariç & Siok Kun Sek & Miguel Rocha de Sousa, 2018. "Current Account Balance in Emerging Asia," CEFAGE-UE Working Papers 2018_02, University of Evora, CEFAGE-UE (Portugal).
    2. Gozgor, Giray & Mahalik, Mantu Kumar & Demir, Ender & Padhan, Hemachandra, 2020. "The impact of economic globalization on renewable energy in the OECD countries," Energy Policy, Elsevier, vol. 139(C).
    3. Susanne Berger & Nathaniel Graham & Achim Zeileis, 2017. "Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R," Working Papers 2017-12, Faculty of Economics and Statistics, University of Innsbruck.

    More about this item

    Keywords

    Panel data; covariance matrix estimators; R;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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