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Panel Methods for Finance - A Guide to Panel Data Econometrics for Financial Applications (Paperback)
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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
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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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