Lecture Slides based on Gormley and Matsa (RFS 2014)
In our experience, illustrating why the ad hoc methods discussed in Gormley and Matsa (RFS 2014) yield inconsistent estimates provides a useful learning tool for PhD students preparing to conduct empirical research in finance. To this end, we have posted PowerPoint slides used by Gormley to teach these methods to PhD students at Wharton. Those slides can be downloaded here.
For further examples, corresponding computer code, and suggestions on how to overcome computational hurdles that arise when estimating models with multiple high-dimensional fixed effects, see here.
If you find errors or corrections, please e-mail us at gormley -[at]- wustl -[dot]- edu and dmatsa -[at]- kellogg.northwestern -[dot]- edu.
Todd A. Gormley and David A. Matsa