Stock, JamesWatson, Mark2016-09-132008Stock, James H., and Mark W. Watson. 2008. “Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression.” Econometrica 76 (1) (January): 155–174. doi:10.1111/j.0012-9682.2008.00821.x.0012-9682http://nrs.harvard.edu/urn-3:HUL.InstRepos:28461843The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. We provide a bias-adjusted HR estimator that is √nT-consistent under any sequences (n T ) in which n and/or T increase to ∞. This estimator can be extended to handle serial correlation of fixed order.en-USWhite standard errorslongitudinal dataclustered standard errorsJournal Article2016-09-1310.1111/j.0012-9682.2008.00821.x