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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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    References listed on IDEAS

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    More about this item

    Keywords

    Panel data; covariance matrix estimators; R;
    All these keywords.

    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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