This chapter is written as a quick companion to the practicing microeconometrician who wants to use R for her analysis. It is concerned with relaxing the restrictive hypotheses of error homoskedasticity and performing robust inference in the context of panel data. This chapter has two main bodies: the first part is introducing the reader to the mechanics of panel data econometrics with R as a necessary step towards the second part, where I expand upon the various robust estimators available in the plm package and how to employ them in a microeconometric context.

Robust inference in panel data microeconometrics, using R

Giovanni Millo
2021

Abstract

This chapter is written as a quick companion to the practicing microeconometrician who wants to use R for her analysis. It is concerned with relaxing the restrictive hypotheses of error homoskedasticity and performing robust inference in the context of panel data. This chapter has two main bodies: the first part is introducing the reader to the mechanics of panel data econometrics with R as a necessary step towards the second part, where I expand upon the various robust estimators available in the plm package and how to employ them in a microeconometric context.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11368/3027484
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