xtscc swMATH ID: 37339 Software Authors: Daniel Hoechle Description: Robust standard errors for panel regressions with cross-sectional dependence. I present a new Stata program, xtscc, that estimates pooled or- dinary least-squares/weighted least-squares regression and fixed-effects (within) regression models with Driscoll and Kraay (Review of Economics and Statistics 80: 549–560) standard errors. By running Monte Carlo simulations, I compare the finite-sample properties of the cross-sectional dependence–consistent Driscoll– Kraay estimator with the properties of other, more commonly used covariance ma- trix estimators that do not account for cross-sectional dependence. The results in- dicate that Driscoll–Kraay standard errors are well calibrated when cross-sectional dependence is present. However, erroneously ignoring cross-sectional correlation in the estimation of panel models can lead to severely biased statistical results. I illustrate the xtscc program by considering an application from empirical finance. Thereby, I also propose a Hausman-type test for fixed effects that is robust to general forms of cross-sectional and temporal dependence. Homepage: https://journals.sagepub.com/doi/pdf/10.1177/1536867X0700700301 Dependencies: Stata Keywords: Stata Journal; st0128; xtscc; robust standard errors; nonparametric covariance estimation; Stata program Related Software: Stata; xtserial; XTCSD; Z-Tree Cited in: 6 Publications Standard Articles 1 Publication describing the Software Year all top 5 Cited by 17 Authors 1 Barnum, Darold T. 1 Cox, Caleb A. 1 Fang, Shu-Cherng 1 Gleason, John M. 1 Hsu, Leetsch Charles 1 Karlaftis, Matthew G. 1 Liu, Lily Y. 1 Patton, Andrew J. 1 Schumock, Glen T. 1 Sheppard, Kevin 1 Shields, Karen L. 1 Stoddard, Brock V. 1 Tandon, Sonali 1 Vogelsang, Timothy J. 1 Walton, Surrey M. 1 Yap, Ghialy 1 Zhang, Xun Cited in 5 Serials 2 Journal of Econometrics 1 Mathematics and Computers in Simulation 1 Journal of Applied Statistics 1 Journal of Systems Science and Complexity 1 Games Cited in 3 Fields 4 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Statistics (62-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year