Kim, Min Seong; Sun, Yixiao - In: Journal of Econometrics 177 (2013) 1, pp. 85-108
This paper studies robust inference for linear panel models with fixed effects in the presence of heteroskedasticity and spatiotemporal dependence of unknown forms. We propose a bivariate kernel covariance estimator that nests existing estimators as special cases. Our estimator improves upon...