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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

delete2008-06-03
delete6.2K
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Mitchell A. Petersen *
DOI：10.1093/rfs/hhn053delete
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Abstract

Abstract

En 中文
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.
Keywords:
IN-DIFFERENCES
STOCK
DEBT
HETEROSKEDASTICITY
INVESTMENT
OWNERSHIP
VALUATION
LIQUIDITY
DIVIDENDS
INVESTORS

Journal

Review of Financial Studies cover
Review of Financial Studies
IF:
5.4
Papers:
2.8K
Citations:
3.0W

Organization

No organization information available