Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Robust Standard Error Estimators for Panel Models: A Unifying Approach | Millo | Journal of Statistical Software
Authors: Giovanni Millo
Title: Robust Standard Error Estimators for Panel Models: A Unifying Approach
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.

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Paper: Robust Standard Error Estimators for Panel Models: A Unifying Approach     Download PDF (Downloads: 434)
Supplements:
plm_1.6-6.tar.gz: R source package Download (Downloads: 14; 1MB)
test_data.txt: Replication materials Download (Downloads: 28; 214KB)
v82i03.R: R replication code Download (Downloads: 34; 3KB)

DOI: 10.18637/jss.v082.i03

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.