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Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications
Paperback
Series: de Gruyter Studies in the Practice of Econometrics, Book 1
Publisher Price: $53.99
ISBN13: 9783110660135
Publisher: De Gruyter
Published: Nov 8 2021
Pages: 296
Weight: 1.05
Height: 0.62 Width: 6.69 Depth: 9.61
Language: English
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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