Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications /
Verbeek, Marno,
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / Marno Verbeek. - 1 online resource (XVI, 280 p.) - De Gruyter Studies in the Practice of Econometrics , 1 2570-0928 ; .
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
restricted access http://purl.org/coar/access_right/c_16ec
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
Mode of access: Internet via World Wide Web.
Marno Verbeek, Erasmus University, The Netherlands
In English.
9783110660739
10.1515/9783110660739 doi
BUSINESS & ECONOMICS / Econometrics.
Applied Econometrics Empirical Finance Research Methods Panel Data Applied Econometrics Empirical Finance Research Methods Panel Data
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / Marno Verbeek. - 1 online resource (XVI, 280 p.) - De Gruyter Studies in the Practice of Econometrics , 1 2570-0928 ; .
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
restricted access http://purl.org/coar/access_right/c_16ec
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
Mode of access: Internet via World Wide Web.
Marno Verbeek, Erasmus University, The Netherlands
In English.
9783110660739
10.1515/9783110660739 doi
BUSINESS & ECONOMICS / Econometrics.
Applied Econometrics Empirical Finance Research Methods Panel Data Applied Econometrics Empirical Finance Research Methods Panel Data