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...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11280 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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 give researchers guidance for their use"--National Bureau of Economic Research web site. |
| Beschreibung: | 63 S. graph. Darst. |
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| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
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| language | English |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Petersen, Mitchell A. Verfasser (DE-588)128782161 aut Estimating standard errors in finance panel data sets comparing approaches Mitchell A. Petersen Cambridge, Mass. National Bureau of Economic Research 2005 63 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11280 "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 give researchers guidance for their use"--National Bureau of Economic Research web site. Finance Research Methodology Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11280 (DE-604)BV002801238 11280 http://papers.nber.org/papers/w11280.pdf kostenfrei Volltext |
| spellingShingle | Petersen, Mitchell A. Estimating standard errors in finance panel data sets comparing approaches National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Finance Research Methodology |
| title | Estimating standard errors in finance panel data sets comparing approaches |
| title_auth | Estimating standard errors in finance panel data sets comparing approaches |
| title_exact_search | Estimating standard errors in finance panel data sets comparing approaches |
| title_exact_search_txtP | Estimating standard errors in finance panel data sets comparing approaches |
| title_full | Estimating standard errors in finance panel data sets comparing approaches Mitchell A. Petersen |
| title_fullStr | Estimating standard errors in finance panel data sets comparing approaches Mitchell A. Petersen |
| title_full_unstemmed | Estimating standard errors in finance panel data sets comparing approaches Mitchell A. Petersen |
| title_short | Estimating standard errors in finance panel data sets |
| title_sort | estimating standard errors in finance panel data sets comparing approaches |
| title_sub | comparing approaches |
| topic | Finance Research Methodology |
| topic_facet | Finance Research Methodology |
| url | http://papers.nber.org/papers/w11280.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT petersenmitchella estimatingstandarderrorsinfinancepaneldatasetscomparingapproaches |