Marno Verbeek – författare
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A Guide to Modern Econometrics, Fifth Edition has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on intuition and the practical implementation of these approaches. This fifth edition builds upon the success of its predecessors. The text has been carefully checked and updated, taking into account recent developments and insights. It includes new material on causal inference, the use and limitation of p-values, instrumental variables estimation and its implementation, regression discontinuity design, standardized coefficients, and the presentation of estimation results.
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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
635 kr
Läs direkt efter köp
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
850 kr
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