Regression modelEconometrics / time series
Robust Fixed Effects Model
The robust fixed effects model combines the within-group estimator for panel data with variance-covariance matrices that remain valid under heteroscedasticity and within-unit error correlation. Introduced by Arellano (1987), cluster-robust standard errors paired with the fixed effects estimator are now the default approach for credible panel data inference in economics and social science.
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Sources
- Arellano, M. (1987). Computing robust standard errors for within-groups estimators. Oxford Bulletin of Economics and Statistics, 49(4), 431–434. DOI: 10.1111/j.1468-0084.1987.mp49004006.x ↗
- Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586