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Robust Standard Error Estimators for Panel Models: A Unifying Approach
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Robust Standard Error Estimators for Panel Models: A Unifying Approach (2017)Robust Standard Error Estimators for Pane…Robust Inference With Multiway Clustering (2011)Robust Inference With Multiwa…Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research (2010)Correcting for Cross-Sectiona…Panel Data Econometrics in R : The plm Package (2008)Panel Data Econometrics in R …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Estimation and Inference in L…Panel Data Econometrics (2003)Panel Data EconometricsEconometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …What To Do (and Not to Do) with Time-Series Cross-Section Data (1995)What To Do (and Not to Do) wi…Estimating long-run relationships from dynamic heterogeneous panels (1995)Estimating long-run relations…An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units (1990)An Illustration of a Pitfall …Spatial Econometrics: Methods and Models (1988)Spatial Econometrics: Methods…PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)PRACTITIONERS’ CORNER: Comput…Random group effects and the precision of regression estimates (1986)Random group effects and the …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Can strike action revitalize labour unions? 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How Political Institutions Work (2003)Modernization, cultural change, and democracy the human development sequence (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)Bootstrap-Based Improvements for Inference with Clustered Errors (2008)Temperature Shocks and Economic Growth: Evidence from the Last Half Century (2012)Policy Uncertainty and Corporate Investment (2015)Macroeconomic Forecasting Using Diffusion Indexes (2002)General Diagnostic Tests for Cross Section Dependence in Panels (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Testing slope homogeneity in large panels (2007)General diagnostic tests for cross-sectional dependence in panels (2020)Specification Tests in Econometrics (1978)Who Benefits from State and Local Economic Development Policies? (1991)GMM estimation with cross sectional dependence (1999)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)The Analysis of Spatial Association by Use of Distance Statistics (1992)Local Indicators of Spatial Association—LISA (1995)
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References

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  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
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  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 1987PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *1,449 cited
  • 2010Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research

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1,358 cited
  • 2008Panel Data Econometrics in R : The plm Package1,240 cited
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