References

References

Baltagi

Baltagi, Badi. Econometric analysis of panel data. John Wiley & Sons, 2008.

Bryzgalova

Bryzgalova, Svetlana. “Spurious factors in linear asset pricing models.” Working Paper, 2016.

BaumEtAl

Baum, Christopher F., Mark E. Schaffer, and Steven Stillman. “Enhanced routines for instrumental variables/GMM estimation and testing.” Stata Journal 7, no. 4 (2007): 465-506.

CamEtAl

Cameron, A. Colin, Jonah B. Gelbach, and Douglas L. Miller. “Robust inference with multiway clustering.” Journal of Business & Economic Statistics 29, no. 2 (2011): 238-249.

CamTri05

Cameron, A. Colin, and Pravin K. Trivedi. Microeconometrics: methods and applications. Cambridge university press, 2005.

CamTri09

Cameron, Adrian Colin, and Pravin K. Trivedi. Microeconometrics using stata. Vol. 5. College Station, TX: Stata press, 2009.

Cochrane

Cochrane, John H. Asset Pricing:(Revised Edition). Princeton University Press, 2009.

Greene

Greene, William H. Econometric analysis. Pearson Education, 2003.

Henningsen

Henningsen, A., & Hamann, J. (2007). systemfit: A Package for Estimating Systems of Simultaneous Equations in R. Journal of Statistical Software, 23(4), 1 - 40. doi:http://dx.doi.org/10.18637/jss.v023.i04

JagannathanEtAl

Jagannathan, Ravi, Georgios Skoulakis, and Zhenyu Wang. “Generalized methods of moments: Applications in finance.” Journal of Business & Economic Statistics 20, no. 4 (2002): 470-481.

NewWes94

Newey, Whitney K., and Kenneth D. West. “Automatic Lag Selection in Covariance Matrix Estimation.” The Review of Economic Studies (1994): 631-653.

Stata

StataCorp. 2013. Stata 13 Base Reference Manual. College Station, TX: Stata Press.

Wool10

Wooldridge, Jeffrey M. Econometric analysis of cross section and panel data. MIT press, 2010.

Wool12

Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach. South-Western College Pub, 2012.