domains / families / research / jfe-empirical-design

jfe-empirical-design

separate

Use when settling the measurement and estimation choices of a Journal of Financial Economics (JFE) manuscript — factor construction, portfolio sorts, Fama-MacBeth/GMM, standard-error clustering, and multiple-testing discipline. Covers the design/estimator layer; for causal identification of corporate-finance effects use jfe-identification.

When to use

• factor construction
• portfolio sorts
• Fama-MacBeth/GMM estimation
• standard-error clustering
• multiple-testing discipline
• asset-pricing predictor out-of-sample testing
• corporate finance variable definition and fixed effects
• economic magnitude reporting

When not to use

• causal identification of corporate-finance effects

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