Cited by 6,865Spatial and Panel Data AnalysisStatistical Methods and InferenceFinancial Risk and Volatility Modeling

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Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data

Driscoll, John C., Kraay, Aart C.·1998·Review of Economics and Statistics

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Abstract

Many panel data sets encountered in macroeconomics, international economics, regional science, and finance are characterized by cross-sectional or “spatial” dependence. Standard techniques that fail to account for this dependence will result in inconsistently estimated standard errors. In this paper we present conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial and temporal dependence as the time dimension becomes large. We illustrate the relevance of this approach using Monte Carlo simulations and a number of empirical examples.

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Authors: Driscoll, J. C., & Kraay, A. C.
Affiliations: Brown University (US)
World Bank (US)
ORCID: Driscoll, John C.
Kraay, Aart C.
Venue: Review of Economics and Statistics
Publisher: MIT Press
Published: 1998-11
Volume: 80
Issue: 4
Pages: 549-560
ISSN: 0034-6535 (ISSN-L)
1530-9142
DOI: 10.1162/003465398557825
OpenAlex: W2022220920
Cited by: 6,865
References: 37
Citations by year: 2026: 1321 · 2025: 891 · 2024: 708 · 2023: 693 · 2022: 562 · 2021: 452 · 2020: 346 · 2019: 307 · 2018: 229 · 2017: 238 · 2016: 187 · 2015: 184 · 2014: 195 · 2013: 139 · 2012: 112
FWCI: 9.60
Type: journal article
Language: en
Open access: closed
Locations: The Review of Economics and Statistics (publishedVersion)
RePEc: Research Papers in Economics (submittedVersion)
Topics: Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords: spatial dependence, panel data, nonparametric kernel estimators, standard errors, time dependence

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Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data

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