Panel Methods for Finance : : A Guide to Panel Data Econometrics for Financial Applications / / Marno Verbeek.
Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This...
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Superior document: | Title is part of eBook package: De Gruyter DG Ebook Package English 2021 |
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Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2021] ©2021 |
Year of Publication: | 2021 |
Language: | English |
Series: | De Gruyter Studies in the Practice of Econometrics ,
1 |
Online Access: | |
Physical Description: | 1 online resource (XVI, 280 p.) |
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Other title: | Frontmatter -- Preface -- Acknowledgments -- Contents -- Acronyms -- 1 Introduction -- 2 Linear static models -- 3 Dealing with heterogeneity and endogeneity: fixed effects, IV and GMM -- 4 Outliers, missing values and other data issues -- 5 Linear dynamic models -- 6 Models with limited dependent variables -- 7 Estimating average treatment effects -- Bibliography -- Index |
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Summary: | Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation |
Format: | Mode of access: Internet via World Wide Web. |
ISBN: | 9783110660739 9783110750720 9783110750706 9783110754049 9783110754001 9783110753776 9783110753820 |
ISSN: | 2570-0928 ; |
DOI: | 10.1515/9783110660739 |
Access: | restricted access |
Hierarchical level: | Monograph |
Statement of Responsibility: | Marno Verbeek. |