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The Stata Journal ( Robust Standard Errors for Panel ...
The Stata Journal (yyyy)vv,Numberii, pp. 1 31 Robust Standard Errors for Panel Regressionswith cross - sectional DependenceDaniel HoechleUniversity of this paper I present a new Stata program,xtscc, which estimatespooled OLS/WLS and fixed effects (within) regression models with Driscoll andKraay (Review of Economics and Statistics80: 549-560) Standard Errors . By run-ning Monte Carlo simulations, I compare the finite sample properties of the cross - sectional dependence consistent Driscoll-Kraay estimator with the properties ofother, more commonly employed covariance matrix estimators that do not accountfor cross - sectional dependence .
The Stata Journal (yyyy) vv,Numberii, pp. 1–31Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence Daniel Hoechle University of Basel Abstract. In this paper I present a new Stata program, xtscc, which estimates
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