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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Year of Publication: | 2021 |
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Verbeek, Marno, author. aut http://id.loc.gov/vocabulary/relators/aut Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / Marno Verbeek. Berlin ; Boston : De Gruyter, [2021] ©2021 1 online resource (XVI, 280 p.) text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda De Gruyter Studies in the Practice of Econometrics , 2570-0928 ; 1 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 online access with authorization star 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 Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 02. Mai 2023) BUSINESS & ECONOMICS / Econometrics. bisacsh Applied Econometrics. Empirical Finance. Panel Data. Research Methods. Title is part of eBook package: De Gruyter DG Ebook Package English 2021 9783110750720 Title is part of eBook package: De Gruyter DG Plus DeG Package 2021 Part 1 9783110750706 Title is part of eBook package: De Gruyter EBOOK PACKAGE Business and Economics 2021 English 9783110754049 Title is part of eBook package: De Gruyter EBOOK PACKAGE COMPLETE 2021 English 9783110754001 Title is part of eBook package: De Gruyter EBOOK PACKAGE COMPLETE 2021 9783110753776 ZDB-23-DGG Title is part of eBook package: De Gruyter EBOOK PACKAGE Economics 2021 9783110753820 ZDB-23-DBV EPUB 9783110660814 print 9783110660135 https://doi.org/10.1515/9783110660739 https://www.degruyter.com/isbn/9783110660739 Cover https://www.degruyter.com/document/cover/isbn/9783110660739/original |
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English |
format |
eBook |
author |
Verbeek, Marno, Verbeek, Marno, |
spellingShingle |
Verbeek, Marno, Verbeek, Marno, Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / De Gruyter Studies in the Practice of Econometrics , 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 |
author_facet |
Verbeek, Marno, Verbeek, Marno, |
author_variant |
m v mv m v mv |
author_role |
VerfasserIn VerfasserIn |
author_sort |
Verbeek, Marno, |
title |
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / |
title_sub |
A Guide to Panel Data Econometrics for Financial Applications / |
title_full |
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / Marno Verbeek. |
title_fullStr |
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / Marno Verbeek. |
title_full_unstemmed |
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / Marno Verbeek. |
title_auth |
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / |
title_alt |
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 |
title_new |
Panel Methods for Finance : |
title_sort |
panel methods for finance : a guide to panel data econometrics for financial applications / |
series |
De Gruyter Studies in the Practice of Econometrics , |
series2 |
De Gruyter Studies in the Practice of Econometrics , |
publisher |
De Gruyter, |
publishDate |
2021 |
physical |
1 online resource (XVI, 280 p.) Issued also in print. |
contents |
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 |
isbn |
9783110660739 9783110750720 9783110750706 9783110754049 9783110754001 9783110753776 9783110753820 9783110660814 9783110660135 |
issn |
2570-0928 ; |
url |
https://doi.org/10.1515/9783110660739 https://www.degruyter.com/isbn/9783110660739 https://www.degruyter.com/document/cover/isbn/9783110660739/original |
illustrated |
Not Illustrated |
doi_str_mv |
10.1515/9783110660739 |
oclc_num |
1280943002 |
work_keys_str_mv |
AT verbeekmarno panelmethodsforfinanceaguidetopaneldataeconometricsforfinancialapplications |
status_str |
n |
ids_txt_mv |
(DE-B1597)531852 (OCoLC)1280943002 |
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cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter DG Ebook Package English 2021 Title is part of eBook package: De Gruyter DG Plus DeG Package 2021 Part 1 Title is part of eBook package: De Gruyter EBOOK PACKAGE Business and Economics 2021 English Title is part of eBook package: De Gruyter EBOOK PACKAGE COMPLETE 2021 English Title is part of eBook package: De Gruyter EBOOK PACKAGE COMPLETE 2021 Title is part of eBook package: De Gruyter EBOOK PACKAGE Economics 2021 |
is_hierarchy_title |
Panel Methods for Finance : A Guide to Panel Data Econometrics for Financial Applications / |
container_title |
Title is part of eBook package: De Gruyter DG Ebook Package English 2021 |
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1770177745673781248 |
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