Estimating standard errors in finance panel data sets
Subtitle: comparing approaches
By: Mitchell A. Petersen.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11280; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11280.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Finance -- Research -- Methodology.
Description: "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.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 5/5/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.