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Cited by 10,746

The DOI matches its Crossref record; 7 of the 7 references it cites were found in a registry or an index.

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Petersen, Mitchell A.·2009·Review of Financial Studies
DOI 10.1093/rfs/hhn053
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Abstract

In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Historically, researchers in the two literatures have used different solutions to this problem. This paper examines the different methods used in the literature and explains when the different methods yield the same (and correct) standard errors and when they diverge. The intent is to provide intuition as to why the different approaches sometimes give different answers and give researchers guidance for their use.

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Metadata

Authors
Petersen, M. A.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2008-06-03
Volume
22
Issue
1
Pages
435-480
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhn053
OpenAlex
W3125688476
Cited by
10,746
References
7
FWCI
1036.68
Type
journal article
Language
en
Open access
closed

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.