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
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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Citations
Cites
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
How Much Should We Trust Differences-in-Differences Estimates?
Bertrand, M., Duflo, E., & Mullainathan, S. (2004) · The Quarterly Journal of Economics · doi:10.1162/003355304772839588 · Cited by 10,641
Efron, B., & Tibshirani, R. (1986) · Statistical Science · doi:10.1214/ss/1177013815 · Cited by 6,033
Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. H., & Smith, R. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01644-f · Cited by 5,479
A Note on Robust Variance Estimation for Cluster‐Correlated Data
Williams, R. L. (2000) · Biometrics · doi:10.1111/j.0006-341x.2000.00645.x · Cited by 2,501
Inference with Difference-in-Differences and Other Panel Data
Donald, S. G., & Lang, K. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.2.221 · Cited by 1,324
Asymptotic properties of a robust variance matrix estimator for panel data when is large
Hansen, C. B. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2006.10.009 · Cited by 293
Cited by
A Practitioner’s Guide to Cluster-Robust Inference
Colin Cameron, A., & Miller, D. L. (2015) · Journal of Human Resources · doi:10.3368/jhr.50.2.317 · Cited by 5,037
How does financial reporting quality relate to investment efficiency?
Biddle, G. C., Hilary, G., & Verdi, R. S. (2009) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2009.09.001 · Cited by 3,214
Robust Inference With Multiway Clustering
Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2011) · Journal of Business & Economic Statistics · doi:10.1198/jbes.2010.07136 · Cited by 3,203
Capital structure decisions: Which factors are reliably important?
Frank, M. Z., & Goyal, V. K. (2009) · Financial Management · doi:10.1111/j.1755-053x.2009.01026.x · Cited by 2,859
Dhaliwal, D. S., Radhakrishnan, S., Tsang, A., & Yang, Y. G. (2012) · The Accounting Review · doi:10.2308/accr-10218 · Cited by 1,916
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
- OpenAlex
- W3125688476
- Cited by
- 10,746
- References
- 7
- FWCI
- 1036.68
- Type
- journal article
- Language
- en
- Open access
- closed
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