EViews.com

Dear Glenn Sorry for bothering you one more, but I still have problems with these options. In the help file it says that Using white period standard errors & covariance gives SEs that are …robust to arbitrary serial correlation and time-varying variances in the disturbances. [...] The White peri...

Hi all!

I am still lost with my problem....

Any help is highly appreciated!

Best...msr

Hi! In empirical corporate finance people often apply the Fama-MacBeth regression analysis. I have two questions on that: 1) Does anybody know of a really good textbook reference? (Petersen (2008, Review of Financial Studies) does a nice job on describing the asymptotic variance of the approach.) 2)...

Hi! In fact, there seem to be several methods. However, sofar I cannot see, which of the methods allows for * non-identivcally distributed disturbance terms and * correlations of disturbance terms within a cluster. These two features seem o be of particular relevance in empircal corporate finance (a...