Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research

By Ian D. Gow, Gaizka Ormazabal, Daniel J. Taylor. 2010

1,342 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/f189f539529478d3fbf1bf9df67bce09a1f7bb12

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Citations in the corpus

The Effect of Financial Constraints on Income Shifting by U.S. Multinationals (2016, background): “However, Gow et al. (2010) suggest that when standard errors are clustered on a dimension with relatively few clusters (time in our study), they can be biased.”
A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts? (2013, methodology): “To control for cross-sectionally and timeseries correlated errors, all regression t-statistics are based on standard errors two-way cluster adjusted by industry and year (Petersen, 2009; Gow, Ormazabal, and Taylor, 2010).”
Client importance and audit partner independence (2012, methodology): “Following Gow et al. (2010), we report test statistics based on two-way cluster-robust standard errors (cluster by firm”
Narrative Disclosure and Earnings Performance: Evidence from R&D Disclosures (2014, neutral): “2 See Griliches (1981, 1998), Jaffe (1986), Hall (1993), Sougiannis (1994), Lev and Sougiannis (1996), Lev and Zarowin (1999), Aboody and Lev (2000), Boone and Raman (2001), Chan et al.”
Does Mandatory IFRS Adoption Affect Crash Risk (2015, neutral): “In this and all of our regression analysis we adjust the standard errors by firm and year clusters (Gow et al., 2010) and present one-tailed p-values where we have predictions and two-tailed otherwise.”
Religious Social Norms and Corporate Financial Reporting (2012, positive): “We recognize that Gow et al. (2010) argue that clustered standard errors may dominate even with as few as 10 clusters, and as such we undertake clustering on both two and three dimensions as robustness and find similar results.”
Earnings Quality and International IPO Underpricing (2011, positive): “15 Because underpricing is likely to be correlated across IPOs within a country and across time, we construct two-way cluster-robust standard errors as outlined in Gow et al. (2010) for all firm-level IPO underpricing regressions.”
Why do pro forma and Street earnings not reflect changes in GAAP? Evidence from SFAS 123R (2012, positive): “(2) through (5) and calculate t statistics using standard errors clustered by firm and by year (Gow et al. 2010).”