Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Review of Financial Studies - Tập 27 Số 2 - Trang 617-661 - 2014
Todd A. Gormley1, David A. Matsa2
1The Wharton School, University of Pennsylvania,
2Kellogg School of Management, Northwestern University

Tóm tắt

Từ khóa


Tài liệu tham khảo

10.1111/1468-0262.00020

Abowd J. M. Creecy R. H. Kramarz F. 2002. Computing person and firm effects using linked longitudinal employer-employee data. Longitudinal Employer–Household Dynamics, Technical Paper No. TP-2002-06.

Angrist J. D. Pischke J. Mostly harmless econometrics: An empiricist's companion. Princeton: Princeton University Press; 2009.

Arellano, 1987, Computing robust standard errors for within-groups estimators, Oxford Bulletin of Economics and Statistics, 49, 431, 10.1111/j.1468-0084.1987.mp49004006.x

Baltagi B. H. Econometric analysis of panel data. Hoboken: John Wiley & Sons, Ltd; 1995.

10.1162/003355304772839588

10.1080/07474930008800480

10.1111/j.1540-6261.2006.00841.x

Coles J. L. Li Z. F. 2011a. Managerial attributes, incentives, and performance. Working Paper, Arizona State University.

Coles J. L. Li Z. F. 2011b. An empirical assessment of empirical corporate finance. Working Paper, Arizona State University.

Cornelissen, 2008, The Stata command felsdvreg to fit a linear model with two high-dimensional fixed effects, Stata Journal, 8, 170, 10.1177/1536867X0800800202

10.2307/2329515

10.2307/2951770

10.1086/317670

10.1016/j.frl.2005.04.004

10.1093/rfs/hhr120

Fee C. E. Hadlock C. J. Pierce J. R. 2011. Managers who lack style: Evidence from exogenous CEO changes. Working Paper, Michigan State University.

Greene W. H. Econometric analysis. Upper Saddle River: Prentice-Hall, Inc; 2000.

10.1093/rfs/hhr076

10.1016/0304-4076(86)90058-8

Guimarães, 2010, A simple feasible procedure to fit models with high-dimensional fixed effects, Stata Journal, 10, 628, 10.1177/1536867X1101000406

10.2307/1911406

10.1016/j.jeconom.2005.03.009

10.2307/1911312

Leary M.T. Roberts M. R. 2010. Do peer firms affect corporate financial policy? Working Paper,Washington University in St. Louis.

10.2307/2298123

10.1111/j.1540-6261.2010.01565.x

McKinnish T. Panel data models and transitory fluctuations in the explanatory variable. In: Millimet Daniel L. Smith Jeffrey A. Vytlacil Edward J. , editors. Modeling and evaluating treatment effects in econometrics. Amsterdam: Elsevier; 2008. p. 335-58.

10.1093/rfs/hhn053

10.1007/BF00140865

10.1111/j.0012-9682.2008.00821.x

10.1016/0304-4076(89)90066-3

Wooldridge J. M. Econometric analysis of cross section and panel data. Cambridge: MIT Press; 2010.