Description

Book Synopsis

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

Panel Methods for Finance: A Guide to Panel Data

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    A Paperback / softback by Marno Verbeek

    15 in stock

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      View other formats and editions of Panel Methods for Finance: A Guide to Panel Data by Marno Verbeek

      Publisher: De Gruyter
      Publication Date: Publication Date: 08/11/2021
      ISBN13: 9783110660135, 978-3110660135
      ISBN10: 311066013X
      Also in:
      Finance and the finance industry

      Description

      Book Synopsis

      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

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