We thank Alberto Abadie, Gary Chamberlain, Guido Imbens, Doug Staiger, Hal White, and the referees for helpful comments and/or discussions, Mitchell Peterson for providing the data in footnote 2, and Anna Mikusheva for research assistance. This research was supported in part by NSF Grant SBR-0617811.
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Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
Article first published online: 19 FEB 2008
DOI: 10.1111/j.0012-9682.2008.00821.x
Additional Information
How to Cite
Stock, J. H. and Watson, M. W. (2008), Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression. Econometrica, 76: 155–174. doi: 10.1111/j.0012-9682.2008.00821.x
Publication History
- Issue published online: 19 FEB 2008
- Article first published online: 19 FEB 2008
- Manuscript received May, 2006; final revision received June, 2007.
- Abstract
- References
- Cited By
Keywords:
- White standard errors;
- longitudinal data;
- clustered standard errors
The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. We provide a bias-adjusted HR estimator that is 
-consistent under any sequences (n, T) in which n and/or T increase to ∞. This estimator can be extended to handle serial correlation of fixed order.