Inference with Dependent Data in Accounting and Finance Applications

• 成果类型: Article
• 署名作者: Conley, Timothy; Goncalves, Silvia; Hansen, Christian
• 署名单位: Western University (University of Western Ontario); University of Chicago
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12219
• 发表日期: 2018
• 页码: 1139-1203
• 关键词: matrix estimator; Robust Inference; heteroskedasticity; bootstrap; autocorrelation; regression; models; improvements; selection; variance

摘要

We review developments in conducting inference for model parameters in the presence of intertemporal and cross-sectional dependence with an emphasis on panel data applications. We review the use of heteroskedasticity and autocorrelation consistent (HAC) standard error estimators, which include the standard clustered and multiway clustered estimators, and discuss alternative sample-splitting inference procedures, such as the Fama-Macbeth procedure, within this context. We outline pros and cons of the different procedures. We then illustrate the properties of the discussed procedures within a simulation experiment designed to mimic the type of firm-level panel data that might be encountered in accounting and finance applications. Our conclusion, based on theoretical properties and simulation performance, is that sample-splitting procedures with suitably chosen splits are the most likely to deliver robust inferential statements with approximately correct coverage properties in the types of large, heterogeneous panels many researchers are likely to face.