Bester, C. Alan; Conley, Timothy G.; Hansen, Christian B. - In: Journal of Econometrics 165 (2011) 2, pp. 137-151
This paper presents an inference approach for dependent data in time series, spatial, and panel data applications. The method involves constructing t and Wald statistics using a cluster covariance matrix estimator (CCE). We use an approximation that takes the number of clusters/groups as fixed...