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Fama Macbeth Standard Errors


The system returned: (22) Invalid argument The remote host or network may be down. and the Cross-Section of Expected Returns Shareholder Voting and Corporate Governance Around the World » View all Most Read articles Most Cited Estimating Standard Errors in Finance Panel Data Sets: Comparing My question concerns which unit to cluster and which one to use dummies on. doi: 10.1093/rfs/hhn053 First published online: June 3, 2008 AbstractFree » Full Text (HTML) Full Text (PDF) All Versions of this Article: hhn053v1 22/1/435 most recent Classifications Article Services Article metrics Alert http://smartphpstatistics.com/standard-error/when-to-use-standard-deviation-vs-standard-error.html

Cohen & Paul A. Lamont, Owen A. & Polk, Christopher, 2002. "Does diversification destroy value? Currently shipping to U.S. Doidge, Craig, 2004. "U.S. http://rfs.oxfordjournals.org/content/22/1/435.full

Estimating Standard Error In Finance Panel Data Sets

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Top of page Browse Subscriptions Rankings Top Papers Top Authors Top Organizations Submit a paper Blog Public User SIGN IN Email This field is required Password Register now User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out Advanced Search Abstract https://ssrn.com/abstract=661481 References (58) Citations (1,196) Download This Please sign in with your personal username and password or Register to obtain a username name and password for free. The system returned: (22) Invalid argument The remote host or network may be down.

Stock Prices and the Investment of Equity-Dependent Firms By Malcolm Baker, Jeffrey Wurgler, ... 3. Bibliographic Info Article provided by Society for Financial Studies in its journal The Review of Financial Studies. Historically, the two literatures have used different solutions to this problem. When To Use Newey West Standard Errors Financ.

Seoul, Korea Processing request. Rogers Standard Errors 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. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. The complete archive (Volumes 1 through 12) is freely available to anyone visiting The Review of Financial Studies site.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Stata Fama Macbeth Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002. "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers 8841, National Bureau of Economic Research, Inc. Stock Prices and the Investment of Equity-Dependent Firms," The Quarterly Journal of Economics, Oxford University Press, vol. 118(3), pages 969-1005. I was reading into which method to use, which came down to the following: If one dimension has far more units than the other, clustering on one dimension and using dummies

Rogers Standard Errors

Generated Sat, 15 Oct 2016 06:15:20 GMT by s_ac15 (squid/3.5.20) http://www.stata.com/statalist/archive/2012-12/msg00249.html Number of Pages in PDF File: 68 Keywords: Clustered standard errors, Rogers standard errors, White standard errors, Fama-MacBeth standard errors, Fixed effect models, Panel Data JEL Classification: G30, G12, C23 Estimating Standard Error In Finance Panel Data Sets Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches Mitchell A. Mitchell A. Petersen Purchase Short-Term Access Pay per View - If you would like to purchase short-term access you must have a personal account.

Souleles, 1999. "An Empirical Analysis of Personal Bankruptcy and Delinquency," Center for Financial Institutions Working Papers 98-28, Wharton School Center for Financial Institutions, University of Pennsylvania. have a peek at these guys Gross & Nicholas S. We are open Monday through Friday between the hours of 8:30AM and 6:00PM, United States Eastern. Sign In Username Password Remember my username & password. When To Use Clustered Standard Errors

RePEc team Participating archives Privacy Legal How to help Corrections Volunteers Get papers listed Open a RePEc archive Get RePEc data This information is provided to you by IDEAS at the If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form. Available at SSRN: https://ssrn.com/abstract=661481 or http://dx.doi.org/10.2139/ssrn.661481 Contact Information Mitchell A. check over here Quantity: Total Price = $9.99 plus shipping (U.S.

Petersen Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER) May, 2006 Kellogg Finance Dept. Fama Macbeth Sas Lists This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Generated Sat, 15 Oct 2016 06:15:20 GMT by s_ac15 (squid/3.5.20) ERROR The requested URL could not be retrieved The following error was encountered while trying to retrieve the URL: Connection

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Gabor Kezdi, 2005. "Robus Standard Error Estimation in Fixed-Effects Panel Models," Econometrics 0508018, EconWPA. Login via Your Institution Login via your institution : You may be able to gain access using your login credentials for your institution. In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Clustered Standard Errors Vs Fixed Effects Quantity: Total Price = $9.99 plus shipping (U.S.

Fama & Kenneth R. Note that these files are not on the IDEAS site. Petersen Registered author(s): Mitchell Petersen Abstract In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. this content Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.

Ravi Jagannathan & Zhenyu Wang, 1998. "An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression," Journal of Finance, American Finance Association, vol. 53(4), pages 1285-1309, 08. Your cache administrator is webmaster. Volume (Year): 22 (2009) Issue (Month): 1 (January) Pages: 435-480 as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF JSON in new window Only) If you have any problems with this purchase, please contact us for assistance by email: [email protected] or by phone: 877-SSRNHelp (877 777 6435) in the United States, or +1


If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. Available at SSRN: https://ssrn.com/abstract=1320561 or http://dx.doi.org/hhn053 Contact Information Mitchell A. Eugene F. Stock Prices and the Investsment of Equity-Dependent Firms," Harvard Institute of Economic Research Working Papers 1978, Harvard - Institute of Economic Research.

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