Heteroskedasticity, temporal and spatial correlation matter

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F13%3A00209699" target="_blank" >RIV/62156489:43110/13:00209699 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.11118/actaun201361072151" target="_blank" >http://dx.doi.org/10.11118/actaun201361072151</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201361072151" target="_blank" >10.11118/actaun201361072151</a>

Result language

angličtina

Original language name

Heteroskedasticity, temporal and spatial correlation matter

Original language description

As economic time series or cross sectional data are typically affected by serial correlation and/or heteroskedasticity of unknown form, panel data typically contains some form of heteroskedasticity, serial correlation and/or spatial correlation. Therefore, robust inference in the presence of heteroskedasticity and spatial dependence is an important problem in spatial data analysis. In this paper we study the standard errors based on the HAC of cross-section averages that follows Vogelsang's (2012) fixed-b asymptotic theory, i.e. we continue with Driscoll and Kraay approach (1998). The Monte Carlo simulations are used to investigate the finite sample properties of commonly used estimators both not accounting and accounting for heteroskedasticity and spatiotemporal dependence (OLS, GLS) in comparison to brand new estimator based on Vogelsang's (2012) fixed-b asymptotic theory in the presence of cross-sectional heteroskedasticity and serial and spatial correlation in panel data with fixed

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/7E12049" target="_blank" >7E12049: Welfare, Wealth and Work for Europe</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Volume of the periodical

61

Issue of the periodical within the volume

7

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

5

Pages from-to

2151-2155

UT code for WoS article

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EID of the result in the Scopus database

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