Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects

This paper develops an asymptotic theory for test statistics in linear panel models that are robust to heteroskedasticity, autocorrelation and/or spatial correlation. Two classes of standard errors are analyzed. Both are based on nonparametric heteroskedasticity autocorrelation (HAC) covariance matrix estimators. The first class is based on averages of HAC estimators across individuals in the cross-section, i.e. “averages of HACs”. This class includes the well known cluster standard errors analyzed by Arellano (1987) as a special case. The second class is based on the HAC of cross-section averages and was proposed by Driscoll and Kraay (1998). The ”HAC of averages” standard errors are robust to heteroskedasticity, serial correlation and spatial correlation but weak dependence in the time dimension is required. The “averages of HACs” standard errors are robust to heteroskedasticity and serial correlation including the nonstationary case but they are not valid in the presence of spatial correlation. The main contribution of the paper is to develop a fixed-b asymptotic theory for statistics based on both classes of standard errors in models with individual and possibly time fixed-effects dummy variables. The asymptotics is carried out for large time sample sizes for both fixed and large cross-section sample sizes. Extensive simulations show that the fixed-b approximation is usually much better than the traditional normal or chi-square approximation especially for the Driscoll-Kraay standard errors. The use of fixed-b critical values will lead to more reliable inference in practice especially for tests of joint hypotheses.     

VE/VM的理论发展:困惑、机遇和挑战(Ⅱ)——国外VE/VM的理论和应用研究进展

在国外,VE/VM理论研究进展的一个主要方面就是将现有的VE/VM与当今新出现的一些创新管理理念和方法结合起来,这些理论和方法包括:环境成本生命周期分析方法(Life Cycle Environmental Cost Analysis,LCECA)、信息支持思维方法(Information Support Process-based Thinking,ISP/T)、6 Sigma管理方法、组织和团队理论、创造性问题解决策略(Creative Problem Solving Strategies,CPSS)、发明性问题解决(Theory of Inventive Problem Solving,TRIZ)方法、复杂生产系统(Complex product systems,CoPS)、战略管理、系统方法论(SM)、等。通过这种结合,开阔了VE/VM原有的思维模式和视野。同时在提升VE/VM的应用绩效上比较明显。