| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11280 |
| 来源ID | Working Paper 11280 |
| Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches | |
| Mitchell A. Petersen | |
| 发表日期 | 2005-04-25 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets ; Corporate Finance ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w11280 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568918 |
| 推荐引用方式 GB/T 7714 | Mitchell A. Petersen. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11280.pdf（338KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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