Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects

222 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Digital financial inclusion and economic growth: provincial data analysis of China (2021, methodology): “Further, in the presence of heteroscedasticity and spatial dependence, the Driscoll technique is appropriate (Vogelsang 2012).”
Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (2018, background): “…Sun, Phillips and Jin (2008), Sun and Phillips (2009), Gonçlaves and Vogelsang (2011), and Zhang and Shao (2013) in the time series setting; Bester, Conley, Hansen and Vogelsang (2014) in the spatial setting; and Gonçalves (2011), Kim and Sun (2013), and Vogelsang (2012) in the panel data setting.”
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, unknown): “We also used an alternate version of Driscoll–Kraay standard errors developed in Vogelsang (2012), which uses fixed-b asymptotic theory, but we found that the differences in the standard errors were extremely small in this application.”
Feasible generalized least squares for panel data with cross-sectional and serial correlations (2019, background): “In addition, Vogelsang (2012) generalized the results of Hansen (2007a), which is robust to heteroskedasticity, autocorrelation and spatial correlation.”