Econometric Analysis of Panel Data. Panel Data Analysis Fixed Effects Dummy Variable Estimator Between and Within Estimator First-Difference Estimator Panel-Robust Variance-Covariance Matrix Heteroscedasticity and Autocorrelation Cross Section Correlation Hypothesis Testing
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Panel-Robust Variance-Covariance Matrix
Within Model Representation
ML Estimator of e2 is downward biased even for large N:
For balanced panel (T=Ti: ), e2 should be estimated as: