Small-sample inference with spatial HAC estimators |
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| Authors: | Sabrina Dorn Peter H Egger |
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| Institution: | ETH Zurich, KOF, LEE G 116, Leonhardstrasse 21, 8092 Zurich, Switzerland |
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| Abstract: | 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. |
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| Keywords: | C12 C14 |
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