Moscone F; Tosetti E. (2015).
Robust estimation under error cross section dependence. ECONOMICS LETTERS, vol. 133, pp. 100-104.
We propose a robust, partial sample estimator for the covariance matrix of the fixed effects and mean group estimators of the slope coefficients in a short T panel data model with group-specific effects and errors that are weakly cross sectionally dependent and serially correlated.