Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

• 成果类型: Article
• 署名作者: Petersen, Mitchell A.
• 署名单位: Northwestern University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn053
• 发表日期: 2009
• 页码: 435
• 关键词: in-differences; STOCK; debt; heteroskedasticity; INVESTMENT; OWNERSHIP; valuation; liquidity; Dividends; investors

摘要

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.