Veröffentlicht von De Gruyter Oldenbourg

De Gruyter Studies in the Practice of Econometrics

Herausgegeben von: Marno Verbeek

ISSN: 2570-0928

e-ISSN 2570-0936

Übersicht
Bände

De Gruyter Studies in The Practice of Econometrics
edited by Professor Marno Verbeek, Rotterdam School of Management, Erasmus University

Call for proposals - De Gruyter Studies in the Practice of Econometrics

De Gruyter Studies in the Practice of Econometrics is a new series of books aimed at researchers showing how different econometric techniques can be used in their field focusing on practical relevance. The purpose of this series is to present and collect econometric insights on a particular technique (e.g. panel data models, matching approaches) or a particular problem (e.g. forecasting, causal identification), with a focus on one or more fields (e.g. corporate finance, accounting, economic growth). Each book is to serve as a guidebook to academic scholars and policy-oriented researchers, to show how certain techniques can be used, which approaches are available and under which conditions these are likely to "work well".

Contributions are not just pieces of applied econometrics work ("applications"), but include an element that is a guide for empirical researchers. This may be a critical discussion of key assumptions and how they are relevant in a certain context, a discussion of the sensitivity of certain techniques to their assumptions with attention given to their small sample properties, e.g. by means of a Monte Carlo study, or a survey of a segment of the literature with a methodological focus. Contributions should also stress intuition and practical relevance.

We are looking for interesting and innovative proposals from people who are interested in editing or writing titles for this series; editors of volumes will be well-known experts in their fields of research.

Series Editor:

If you are interested in submitting a proposal or have any questions, please contact the Series Editor:

Professor Marno Verbeek, Rotterdam School of Management

email: mverbeek@rsm.nl

Rotterdam School of Management

Erasmus University

PO Box 1738

3000 DR Rotterdam

The Netherlands

Fachgebiete

Buch 2021

Panel Methods for Finance

A Guide to Panel Data Econometrics for Financial Applications

Marno Verbeek

Band 1 in dieser Reihe

Mehr Zitieren

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

DOI:: https://doi.org/10.1515/9783110660739
ISBN:: 9783110660739
ISBN:: 9783110660135
ISBN:: 9783110660814
Fachgebiet:: Wirtschaftswissenschaften
Fachgebiet:: Mathematik und Statistik für Ökonomen
Fachgebiet:: Ökonometrie
Fachgebiet:: Finanz
Verlag:: De Gruyter