Dorn, Sabrina; Egger, Peter H. - In: Economics Letters 125 (2014) 2, pp. 236-239
This paper examines the small-sample performance of spatial HAC (SHAC) estimators of the standard errors on parameters. We find that, in small to moderately-sized datasets, the use of HAC estimators may be recommended only with a relatively large degree of cross-sectional interdependence.