本文采用 D&K (1998) 提出的方法获得异方差-序列相关-截面相关稳健性标准误。
帮助文件中的表述如下:
xtscc produces Driscoll and Kraay (1998) standard errors for coefficients estimated by pooled OLS/WLS or
fixed-effects (within) regression. depvar is the dependent variable and varlist is an optional list of
explanatory variables.
The error structure is assumed to be heteroskedastic, autocorrelated up to some lag and possibly correlated
between the groups (panels). These standard errors are robust to general forms of cross-sectional (spatial) and
temporal dependence when the time dimension becomes large. Because this nonparametric technique of estimating
standard errors places no restrictions on the limiting behavior of the number of panels, the size of the
cross-sectional dimension in finite samples does not constitute a constraint on feasibility -- even if the number
of panels is much larger than T.
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