Fixed Effects Versus Random Effects in Finance Research

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
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Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 6 in Financial Econometrics, Mathematics and Statistics, 2019, pp 159-179 from Springer

Abstract: Abstract In this chapter, we discuss two alternative methods of panel dataPanel data analysis. These two methods include both the fixed effectsFixed effects and random effectsRandom effects models. In addition, we discuss the dummy variableDummy variables technique and the error component modelError component model. Finally, we discuss how these methods can be used to investigate alternative dividend policy hypotheses.

Keywords: Cross-sectional data; Clustering effect; Error component model; Fixed effects; Panel data; Random effects; Time-Series data (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_6

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DOI: 10.1007/978-1-4939-9429-8_6

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