Research Methods for Corporate, Securities, and Financial Law
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Mitchell A. Petersen
- Year
- 2009
- Venue
- Review of Financial Studies
- Level
- Advanced
Summary
Compares standard-error estimators used in corporate-finance and asset-pricing panels when residuals may be correlated across firms and time. The paper gives applied researchers guidance on firm clustering, time effects, Fama-MacBeth procedures, and two-dimensional dependence.
Citation
Mitchell A. Petersen. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches." Review of Financial Studies, 2009.
DOI: 10.1093/rfs/hhn053
BibTeX
@article{Petersen2009Estimating,
title = {Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches},
author = {Mitchell A. Petersen},
year = {2009},
journal = {Review of Financial Studies},
doi = {10.1093/rfs/hhn053},
url = {https://doi.org/10.1093/rfs/hhn053}
}