Arbeitspapier
Estimating standard errors in finance panel data sets: Comparing approaches
In both 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 and across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions to this problem. Corporate finance has relied on Rogers standard errors, while asset pricing has used the Fama-MacBeth procedure to estimate standard errors. This paper will examine the different methods used in the literature and explain 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 thus give researchers guidance for their use.
- Sprache
-
Englisch
- Erschienen in
-
Series: CSIO Working Paper ; No. 0055
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Petersen, Mitchell A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Northwestern University, Center for the Study of Industrial Organization (CSIO)
- (wo)
-
Evanston, IL
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Petersen, Mitchell A.
- Northwestern University, Center for the Study of Industrial Organization (CSIO)
Entstanden
- 2004
Ähnliche Objekte (12)
Estimating Errors in Analog Quantum Simulations
Estimating and Comparing Market Efficiency Frontiers
Structural equation modeling: comparing two approaches
Two approaches to estimating public expenditures
Estimating standard errors for the Parks model : Can jackknifing help?
Estimating standard errors for the Parks model: Can jackknifing help?
Estimating standard errors for the Parks model: Can jackknifing help?
Comparing Whole of Government Approaches to Fragile States
Estimating production functions with robustness against errors in the proxy variables
Estimating production functions with robustness against errors in the proxy variables
Optimal group testing designs for estimating prevalence with uncertain testing errors
Targeting social transfer programmes: Comparing design and implementation errors across alternative mechanisms
Estimating Errors in Analog Quantum Simulations
Estimating and Comparing Market Efficiency Frontiers
Structural equation modeling: comparing two approaches
Two approaches to estimating public expenditures
Estimating standard errors for the Parks model : Can jackknifing help?
Estimating standard errors for the Parks model: Can jackknifing help?
Estimating standard errors for the Parks model: Can jackknifing help?
Comparing Whole of Government Approaches to Fragile States
Estimating production functions with robustness against errors in the proxy variables
Estimating production functions with robustness against errors in the proxy variables
Optimal group testing designs for estimating prevalence with uncertain testing errors
Targeting social transfer programmes: Comparing design and implementation errors across alternative mechanisms
Estimating Errors in Analog Quantum Simulations
Estimating and Comparing Market Efficiency Frontiers
Structural equation modeling: comparing two approaches
Two approaches to estimating public expenditures
Estimating standard errors for the Parks model : Can jackknifing help?
Estimating standard errors for the Parks model: Can jackknifing help?
Estimating standard errors for the Parks model: Can jackknifing help?
Comparing Whole of Government Approaches to Fragile States
Estimating production functions with robustness against errors in the proxy variables
Estimating production functions with robustness against errors in the proxy variables
Optimal group testing designs for estimating prevalence with uncertain testing errors