This page contains code for econometric procedures used in the simulations for the paper Correcting for Both Cross-Sectional and Time-Series Dependence in Accounting Research by Ian Gow, Gaizka Ormazabal and Daniel Taylor.
This routine produces OLS estimates of coefficients and standard errors.
This routine produces Newey-West (1987) standard errors identical to those produced by Stata.
This routine produces Fama-MacBeth estimates and can make either the Newey-West adjustment or the Abarbanell-Bernard (2000) correction. It also produced Z1 and Z2 statistics.
This routine produces either one- or two-way clustered standard errors.
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