Common Errors: How to (and Not to) Control for Unobserved Heterogeneity
指出公司金融和资产定价研究中常用的两种控制未观测异质性的方法（如行业调整和加入组均值控制）会导致估计不一致和推断扭曲，建议改用固定效应估计量，并说明在传统方法计算不可行时如何估计固定效应模型。
Controlling for unobserved heterogeneity (or “common errors”), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., “industry-adjusting”) and adding the mean of the group's dependent variable as a control. We show that these methods produce inconsistent estimates and can distort inference. In contrast, the fixed effects estimator is consistent and should be used instead. We also explain how to estimate the fixed effects model when traditional methods are computationally infeasible.