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...

There has been a remarkable increase in wage inequality in the US, UK and many other countries over the past three decades. A significant part of this appears to be within observable groups (such as age-gender-skill cells). A generally untested implication of many theories rationalizing the...

The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees of freedom adjustment), applied to the fixed effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is...

Has greater turbulence among firms fueled rising wage instability in the U.S.? Gottschalk and Moffitt ([1994]) find that rising earnings instability was responsible for one third to one half of the rise in wage inequality during the 1980s. These growing transitory fluctuations remain largely...

We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of heterogeneous...

How should researchers design panel data experiments? We analytically derive the variance of panel estimators, informing power calculations in panel data settings. We generalize Frison and Pocock (1992) to fully arbitrary error structures, thereby extending McKenzie (2012) to allow for...

Combining eight years of panel data with an event study approach, we show that rural Chinese women's labor supply falls for one year following the birth of a daughter before returning to their pre-birth levels. The negative impact of the birth of a son on women's labor supply is much larger in...

Many papers use fixed effects (FE) to identify causal impacts of an intervention. In this paper we show that when the treatment status only varies within some groups, this design can induce non-random selection of groups into the identifying sample, which we term selection into identification...

We consider a linear panel event-study design in which unobserved confounds may be related both to the outcome and to the policy variable of interest. We provide sufficient conditions to identify the causal effect of the policy by exploiting covariates related to the policy only through the...

The Panel Study of Income Dynamics (PSID) has made more contributions to the study of income volatility than any other data set in the U.S. Its record of research is truly seminal. In this paper we first present the reasons that the PSID has made such major contributions to research on the...