Panel Methods for Finance
Panel Methods for Finance Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate…
Specifikacia Panel Methods for Finance
Panel Methods for Finance
Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two -- or occasionally more than two -- dimensions of the data. For example, we may observe financial information on a group of firms over a number of years, or we may observe returns of all stocks traded at NYSE over a period of 120 months.
This book provides an overview of commonly applied panel methods for financial applications.The use of panel data has many advantages, in terms of the flexibility of econometric modeling and the ability to control for unobserved heterogeneity. Panel data techniques are developed to do exactly this. It also involves a number of econometric issues that require specific attention.
This includes cross-sectional dependence, robust and clustered standard
Panel Methods for Finance
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