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Estimating Standard Errors in Finance Panel Data Sets : Comparing Approaches
Petersen, Mitchell A. - 2005
In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these …
Persistent link: https://www.econbiz.de/10012467404
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Generalized Moments Estimation for Panel Data
Druska, Viliam - 2003
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10012469113
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Identification in a Binary Choice Panel Data Model with a Predetermined Covariate
Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - National Bureau of Economic Research - 2023
We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …
Persistent link: https://www.econbiz.de/10014247948
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Examiner and Judge Designs in Economics : A Practitioner's Guide
Chyn, Eric; Frandsen, Brigham; Leslie, Emily C. - National Bureau of Economic Research - 2024
This article provides empirical researchers with an introduction and guide to research designs based on variation in judge and examiner tendencies to administer treatments or other interventions. We review the basic theory behind the research design, outline the assumptions under which the...
Persistent link: https://www.econbiz.de/10014528388
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Two-way Fixed Effects and Differences-in-Differences Estimators with Several Treatments
Chaisemartin, Clément de; D'Haultfœuille, Xavier - National Bureau of Economic Research - 2022
We study two-way-fixed-effects regressions (TWFE) with several treatment variables. Under a parallel trends assumption, we show that the coefficient on each treatment identifies a weighted sum of that treatment's effect, with possibly negative weights, plus a weighted sum of the effects of the...
Persistent link: https://www.econbiz.de/10013435126
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Intergenerational Mobility in American History : Accounting for Race and Measurement Error
Ward, Zachary - National Bureau of Economic Research - 2021
A large body of evidence finds that relative mobility in the US has declined over the past 150 years. However, long-run mobility estimates are usually based on white samples and therefore do not account for the limited opportunities available for non-white families. Moreover, historical data...
Persistent link: https://www.econbiz.de/10012629476
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Measurement Error and the Flow of Funds Accounts : Estimates of HouseholdAsset Demand Equations
Walsh, Carl E. - 1981
In the household sector of the Flow of Funds Accounts, the difference between net acquisition of financial assets and net financial savings is equal to a statistical discrepancy which is often quite large relative to the reported changes in asset holdings. This means that the budget restrictions...
Persistent link: https://www.econbiz.de/10012478383
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Robust Line Estimation With Errors in Both Variables
Brown, Michael L. - 1975
The estimator holding the central place in the theory of the multivariate "errors-in-the-variables" (EV) model results from performing orthogonal recession on variables rescaled according to the covariance matrix of the errors [7]. Our first principal finding, via Monte Carlo on the univariate...
Persistent link: https://www.econbiz.de/10012479043
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How Much Should We Trust Differences-in-Differences Estimates?
Bertrand, Marianne - 2002
Most Difference-in-Difference (DD) papers rely on many years of data and focus on serially correlated outcomes. Yet almost all these papers ignore the bias in the estimated standard errors that serial correlation introduce4s. This is especially troubling because the independent variable of...
Persistent link: https://www.econbiz.de/10012469874
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Heteroscedasticity Diagnostics Based on "Corrected" Standard Errors
Leamer, Edward E. - 1991
Weights are found for weighted least squares estimates such that a selected coefficient (a) changes by one standard deviation or (b) changes in sign. The length of the vector of weight changes is equal to the usual OLS standard error divided by the White-corrected standard errors. Thus the...
Persistent link: https://www.econbiz.de/10012475447