Holdings: Panel methods for finance

Panel methods for finance: a guide to panel data econometrics for financial applications

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Bibliographic Details
Main Author:	Verbeek, Marno 1965- (Author)
Format:	Book
Language:	English
Published:	Berlin De Gruyter [2022]
Series:	De Gruyter Studies in the Practice of Econometrics 1
Subjects:	Ökonometrie Finanzmathematik Panelanalyse
Online Access:	Inhaltsverzeichnis
Physical Description:	XVI, 280 Seiten 10 Illustrationen
ISBN:	9783110660135 311066013X

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adam_text	CONTENTS PREFACE - VII ACKNOWLEDGMENTS - IX ACRONYMS ---- XV 1 1.1 1.1.1 1.1.2 1.1.3 1.1.4 1.1.5 1.1.6 1.2 INTRODUCTION - 1 SOME ILLUSTRATIVE EXAMPLES - 1 PREDICTING THE CROSS-SECTION OF STOCK RETURNS - 1 EXPLAINING FLOWS TO MUTUAL FUNDS - 2 THE IMPACT OF CEO COMPENSATION OR BOARD STRUCTURE ON FIRM VALUE - 3 EXPLAINING CAPITAL STRUCTURE CHOICE - 4 GOVERNANCE AND FIRM VALUE ---- 5 DIVIDEND POLICY ---- 6 THE STRUCTURE OF THIS TEXT ---- 7 2 2.1 2.1.1 2.1.2 2.1.3 2.2 2.3 2.3.1 2.3.2 2.4 2.5 2.6 2.7 2.8 2.9 2.10 2.11 2.12 2.12.1 2.12.2 2.12.3 2.12.4 2.13 LINEAR STATIC MODELS - 9 THE LINEAR REGRESSION MODEL WITH CROSS-SECTIONAL DATA - 9 THE LINEAR MODEL AND ORDINARY LEAST SQUARES - 9 HETEROSKEDASTICITY - 15 HYPOTHESIS TESTING ---- 17 THE LINEAR REGRESSION MODEL WITH TIME-SERIES DATA - 19 INTRODUCING PANEL DATA - 22 PARAMETER HETEROGENEITY - 23 ILLUSTRATION: TESTING AN ASSET PRICING MODEL ---- 24 THE LINEAR REGRESSION MODEL WITH PANEL DATA - 26 CLUSTERED STANDARD ERRORS ---- 29 RANDOM EFFECTS ESTIMATORS - 38 FIXED EFFECTS ESTIMATORS - 42 CLUSTERED STANDARD ERRORS WITH FIXED EFFECTS ---- 50 FIRST-DIFFERENCE ESTIMATORS ---- 52 TESTING FOR HETEROSKEDASTICITY AND AUTOCORRELATION - 55 MODELS WITH FIXED TIME EFFECTS ---- 57 THE FAMA-MACBETH APPROACH ---- 58 CROSS-SECTIONAL REGRESSIONS - 58 SERIAL CORRELATION AND FIRM EFFECTS -----60 POOLED OLS VERSUS FAMA-MACBETH ---- 62 THE ERRORS-IN-VARIABLES PROBLEM ---- 64 GOODNESS-OF-FIT ---- 65 XII - CONTENTS 3 DEALING WITH HETEROGENEITY AND ENDOGENEITY: FIXED EFFECTS, IV AND GMM ---- 68 3.1 3.2 3.3 3.4 3.4.1 3.4.2 3.4.3 3.4.4 3.5 3.5.1 3.5.2 3.5.3 3.5.4 3.6 FIXED EFFECTS AND INSTRUMENTAL VARIABLES - 68 TWO-WAY AND INTERACTIVE FIXED EFFECTS - 71 HOW NOT TO CONTROL FOR UNOBSERVED HETEROGENEITY - 78 MORE ON INSTRUMENTAL VARIABLES - 82 TWO-STAGE LEAST SQUARES ---- 82 WEAK INSTRUMENTS ---- 89 STANDARD ERRORS ---- 91 IV ESTIMATORS WITH PANEL DATA - 92 INSTRUMENTAL VARIABLES AND GMM ---- 94 MOMENT CONDITIONS ---- 94 THE OPTIMAL WEIGHTING MATRIX ---- 96 TESTS FOR OVERIDENTIFYING RESTRICTIONS ---- 99 PANEL ESTIMATORS - 100 STRICT EXOGENEITY - 102 4 4.1 4.1.1 4.1.2 4.2 4.3 4.3.1 4.3.2 4.4 OUTLIERS, MISSING VALUES AND OTHER DATA ISSUES - 107 OUTLIERS AND INFLUENTIAL OBSERVATIONS - 107 IDENTIFYING AND ELIMINATING OUTLIERS ---- 108 ROBUST ESTIMATION METHODS ---- 111 MISSING VALUES - 112 INCOMPLETE PANELS ---- 115 ESTIMATION WITH RANDOMLY MISSING DATA - 116 SELECTION BIAS AND SOME SIMPLE TESTS - 118 MEASUREMENT ERRORS ---- 120 5 5.1 5.2 5.3 5.4 5.4.1 5.4.2 5.4.3 5.4.4 5.4.5 5.4.6 5.5 LINEAR DYNAMIC MODELS - 126 THE PROBLEM OF UNOBSERVED HETEROGENEITY - 126 THE PROBLEM WITH THE FIXED EFFECTS ESTIMATOR - 129 INSTRUMENTAL VARIABLES - 130 THE ARELLANO-BOND ESTIMATOR ---- 132 MOMENT CONDITIONS ---- 132 MODELS WITH EXOGENOUS VARIABLES - 135 SYSTEM GMM ---- 136 SPECIFICATION TESTS ---- 137 WHEN Y IS CLOSE TO ONE ---- 137 TOO MANY INSTRUMENTS ---- 138 APPLICATIONS ---- 140 6 6.1 MODELS WITH LIMITED DEPENDENT VARIABLES - 145 BINARY CHOICE MODELS ---- 146 CONTENTS - - XIII 6.1.1 6.1.2 6.1.3 6.1.4 6.1.5 6.1.6 6.1.7 6.1.8 6.1.9 6.2 6.2.1 6.2.2 6.3 6.3.1 6.3.2 6.3.3 6.3.4 6.4 6.4.1 6.4.2 6.5 6.6 6.6.1 6.6.2 SPECIFICATION AND INTERPRETATION ---- 147 ESTIMATION: MAXIMUM LIKELIHOOD --- 154 POOLED ESTIMATION APPROACHES ---- 159 CLUSTERED STANDARD ERRORS ---- 161 FAMA-MACBETH ESTIMATION ---- 163 BINARY CHOICE MODELS WITH RANDOM EFFECTS ---- 164 BINARY CHOICE MODELS WITH FIXED EFFECTS ---- 168 GOODNESS-OF-FIT ---- 172 BINARY CHOICE MODELS AND INSTRUMENTAL VARIABLES ---- 173 MULTIPLE OUTCOMES ---- 175 ORDERED PROBIT AND ORDERED LOGIT ---- 176 MULTINOMIAL MODELS ---- 179 TOBIT MODELS ---- 181 INTRODUCTION TO CENSORING - 181 POOLED ESTIMATION ---- 185 A TOBIT MODEL WITH RANDOM EFFECTS - 187 EXTENSIONS ---- 189 DYNAMIC MODELS - 196 STATE DEPENDENCE VERSUS UNOBSERVED HETEROGENEITY - 196 A DYNAMIC PROBIT MODEL WITH UNOBSERVED HETEROGENEITY ---- 197 COUNT DATA - 199 DURATION MODELS ---- 201 HAZARD RATES AND SURVIVAL FUNCTIONS - 202 ESTIMATION ---- 204 7 7.1 7.1.1 7.1.2 7.1.3 7.2 7.2.1 7.2.2 7.2.3 7.2.4 7.3 7.3.1 7.3.2 7.3.3 7.4 7.5 7.6 ESTIMATING AVERAGE TREATMENT EFFECTS - 208 POTENTIAL OUTCOMES - 209 AVERAGE TREATMENT EFFECTS ---- 210 RANDOMISED EXPERIMENTS ---- 211 BIASES ---- 212 CONDITIONAL INDEPENDENCE ---- 215 WEIGHTING ---- 216 REGRESSION-ADJUSTMENT ---- 217 REGRESSION WITH A TREATMENT INDICATOR ---- 220 MATCHING ---- 221 REGRESSION DISCONTINUITY ---- 225 SHARP RDD ---- 226 CHALLENGES TO IDENTIFICATION ---- 230 EXTENSIONS AND VARIATIONS ---- 232 A SWITCHING REGRESSION MODEL ---- 234 INSTRUMENTAL VARIABLES ---- 236 DIFFERENCE-IN-DIFFERENCES ---- 241 XIV - CONTENTS 7.6.1 THE BASIC DIFFERENCE-IN-DIFFERENCES APPROACH ---- 242 7.6.2 EXTENSIONS ---- 248 BIBLIOGRAPHY ---- 255 INDEX - 275
adam_txt	CONTENTS PREFACE - VII ACKNOWLEDGMENTS - IX ACRONYMS ---- XV 1 1.1 1.1.1 1.1.2 1.1.3 1.1.4 1.1.5 1.1.6 1.2 INTRODUCTION - 1 SOME ILLUSTRATIVE EXAMPLES - 1 PREDICTING THE CROSS-SECTION OF STOCK RETURNS - 1 EXPLAINING FLOWS TO MUTUAL FUNDS - 2 THE IMPACT OF CEO COMPENSATION OR BOARD STRUCTURE ON FIRM VALUE - 3 EXPLAINING CAPITAL STRUCTURE CHOICE - 4 GOVERNANCE AND FIRM VALUE ---- 5 DIVIDEND POLICY ---- 6 THE STRUCTURE OF THIS TEXT ---- 7 2 2.1 2.1.1 2.1.2 2.1.3 2.2 2.3 2.3.1 2.3.2 2.4 2.5 2.6 2.7 2.8 2.9 2.10 2.11 2.12 2.12.1 2.12.2 2.12.3 2.12.4 2.13 LINEAR STATIC MODELS - 9 THE LINEAR REGRESSION MODEL WITH CROSS-SECTIONAL DATA - 9 THE LINEAR MODEL AND ORDINARY LEAST SQUARES - 9 HETEROSKEDASTICITY - 15 HYPOTHESIS TESTING ---- 17 THE LINEAR REGRESSION MODEL WITH TIME-SERIES DATA - 19 INTRODUCING PANEL DATA - 22 PARAMETER HETEROGENEITY - 23 ILLUSTRATION: TESTING AN ASSET PRICING MODEL ---- 24 THE LINEAR REGRESSION MODEL WITH PANEL DATA - 26 CLUSTERED STANDARD ERRORS ---- 29 RANDOM EFFECTS ESTIMATORS - 38 FIXED EFFECTS ESTIMATORS - 42 CLUSTERED STANDARD ERRORS WITH FIXED EFFECTS ---- 50 FIRST-DIFFERENCE ESTIMATORS ---- 52 TESTING FOR HETEROSKEDASTICITY AND AUTOCORRELATION - 55 MODELS WITH FIXED TIME EFFECTS ---- 57 THE FAMA-MACBETH APPROACH ---- 58 CROSS-SECTIONAL REGRESSIONS - 58 SERIAL CORRELATION AND FIRM EFFECTS -----60 POOLED OLS VERSUS FAMA-MACBETH ---- 62 THE ERRORS-IN-VARIABLES PROBLEM ---- 64 GOODNESS-OF-FIT ---- 65 XII - CONTENTS 3 DEALING WITH HETEROGENEITY AND ENDOGENEITY: FIXED EFFECTS, IV AND GMM ---- 68 3.1 3.2 3.3 3.4 3.4.1 3.4.2 3.4.3 3.4.4 3.5 3.5.1 3.5.2 3.5.3 3.5.4 3.6 FIXED EFFECTS AND INSTRUMENTAL VARIABLES - 68 TWO-WAY AND INTERACTIVE FIXED EFFECTS - 71 HOW NOT TO CONTROL FOR UNOBSERVED HETEROGENEITY - 78 MORE ON INSTRUMENTAL VARIABLES - 82 TWO-STAGE LEAST SQUARES ---- 82 WEAK INSTRUMENTS ---- 89 STANDARD ERRORS ---- 91 IV ESTIMATORS WITH PANEL DATA - 92 INSTRUMENTAL VARIABLES AND GMM ---- 94 MOMENT CONDITIONS ---- 94 THE OPTIMAL WEIGHTING MATRIX ---- 96 TESTS FOR OVERIDENTIFYING RESTRICTIONS ---- 99 PANEL ESTIMATORS - 100 STRICT EXOGENEITY - 102 4 4.1 4.1.1 4.1.2 4.2 4.3 4.3.1 4.3.2 4.4 OUTLIERS, MISSING VALUES AND OTHER DATA ISSUES - 107 OUTLIERS AND INFLUENTIAL OBSERVATIONS - 107 IDENTIFYING AND ELIMINATING OUTLIERS ---- 108 ROBUST ESTIMATION METHODS ---- 111 MISSING VALUES - 112 INCOMPLETE PANELS ---- 115 ESTIMATION WITH RANDOMLY MISSING DATA - 116 SELECTION BIAS AND SOME SIMPLE TESTS - 118 MEASUREMENT ERRORS ---- 120 5 5.1 5.2 5.3 5.4 5.4.1 5.4.2 5.4.3 5.4.4 5.4.5 5.4.6 5.5 LINEAR DYNAMIC MODELS - 126 THE PROBLEM OF UNOBSERVED HETEROGENEITY - 126 THE PROBLEM WITH THE FIXED EFFECTS ESTIMATOR - 129 INSTRUMENTAL VARIABLES - 130 THE ARELLANO-BOND ESTIMATOR ---- 132 MOMENT CONDITIONS ---- 132 MODELS WITH EXOGENOUS VARIABLES - 135 SYSTEM GMM ---- 136 SPECIFICATION TESTS ---- 137 WHEN Y IS CLOSE TO ONE ---- 137 TOO MANY INSTRUMENTS ---- 138 APPLICATIONS ---- 140 6 6.1 MODELS WITH LIMITED DEPENDENT VARIABLES - 145 BINARY CHOICE MODELS ---- 146 CONTENTS - - XIII 6.1.1 6.1.2 6.1.3 6.1.4 6.1.5 6.1.6 6.1.7 6.1.8 6.1.9 6.2 6.2.1 6.2.2 6.3 6.3.1 6.3.2 6.3.3 6.3.4 6.4 6.4.1 6.4.2 6.5 6.6 6.6.1 6.6.2 SPECIFICATION AND INTERPRETATION ---- 147 ESTIMATION: MAXIMUM LIKELIHOOD --- 154 POOLED ESTIMATION APPROACHES ---- 159 CLUSTERED STANDARD ERRORS ---- 161 FAMA-MACBETH ESTIMATION ---- 163 BINARY CHOICE MODELS WITH RANDOM EFFECTS ---- 164 BINARY CHOICE MODELS WITH FIXED EFFECTS ---- 168 GOODNESS-OF-FIT ---- 172 BINARY CHOICE MODELS AND INSTRUMENTAL VARIABLES ---- 173 MULTIPLE OUTCOMES ---- 175 ORDERED PROBIT AND ORDERED LOGIT ---- 176 MULTINOMIAL MODELS ---- 179 TOBIT MODELS ---- 181 INTRODUCTION TO CENSORING - 181 POOLED ESTIMATION ---- 185 A TOBIT MODEL WITH RANDOM EFFECTS - 187 EXTENSIONS ---- 189 DYNAMIC MODELS - 196 STATE DEPENDENCE VERSUS UNOBSERVED HETEROGENEITY - 196 A DYNAMIC PROBIT MODEL WITH UNOBSERVED HETEROGENEITY ---- 197 COUNT DATA - 199 DURATION MODELS ---- 201 HAZARD RATES AND SURVIVAL FUNCTIONS - 202 ESTIMATION ---- 204 7 7.1 7.1.1 7.1.2 7.1.3 7.2 7.2.1 7.2.2 7.2.3 7.2.4 7.3 7.3.1 7.3.2 7.3.3 7.4 7.5 7.6 ESTIMATING AVERAGE TREATMENT EFFECTS - 208 POTENTIAL OUTCOMES - 209 AVERAGE TREATMENT EFFECTS ---- 210 RANDOMISED EXPERIMENTS ---- 211 BIASES ---- 212 CONDITIONAL INDEPENDENCE ---- 215 WEIGHTING ---- 216 REGRESSION-ADJUSTMENT ---- 217 REGRESSION WITH A TREATMENT INDICATOR ---- 220 MATCHING ---- 221 REGRESSION DISCONTINUITY ---- 225 SHARP RDD ---- 226 CHALLENGES TO IDENTIFICATION ---- 230 EXTENSIONS AND VARIATIONS ---- 232 A SWITCHING REGRESSION MODEL ---- 234 INSTRUMENTAL VARIABLES ---- 236 DIFFERENCE-IN-DIFFERENCES ---- 241 XIV - CONTENTS 7.6.1 THE BASIC DIFFERENCE-IN-DIFFERENCES APPROACH ---- 242 7.6.2 EXTENSIONS ---- 248 BIBLIOGRAPHY ---- 255 INDEX - 275
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spelling	Verbeek, Marno 1965- Verfasser (DE-588)170802655 aut Panel methods for finance a guide to panel data econometrics for financial applications Marno Verbeek Berlin De Gruyter [2022] XVI, 280 Seiten 10 Illustrationen txt rdacontent n rdamedia nc rdacarrier De Gruyter Studies in the Practice of Econometrics 1 Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Panelanalyse (DE-588)4173172-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Ökonometrie (DE-588)4132280-0 s Panelanalyse (DE-588)4173172-4 s DE-604 Erscheint auch als Online-Ausgabe, EPUB 978-3-11-066081-4 Erscheint auch als Online-Ausgabe, PDF 978-3-11-066073-9 De Gruyter Studies in the Practice of Econometrics 1 (DE-604)BV047840739 1 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032314486&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Verbeek, Marno 1965- Panel methods for finance a guide to panel data econometrics for financial applications De Gruyter Studies in the Practice of Econometrics Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Panelanalyse (DE-588)4173172-4 gnd
subject_GND	(DE-588)4132280-0 (DE-588)4017195-4 (DE-588)4173172-4
title	Panel methods for finance a guide to panel data econometrics for financial applications
title_auth	Panel methods for finance a guide to panel data econometrics for financial applications
title_exact_search	Panel methods for finance a guide to panel data econometrics for financial applications
title_exact_search_txtP	Panel methods for finance 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_short	Panel methods for finance
title_sort	panel methods for finance a guide to panel data econometrics for financial applications
title_sub	a guide to panel data econometrics for financial applications
topic	Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Panelanalyse (DE-588)4173172-4 gnd
topic_facet	Ökonometrie Finanzmathematik Panelanalyse
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032314486&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV047840739
work_keys_str_mv	AT verbeekmarno panelmethodsforfinanceaguidetopaneldataeconometricsforfinancialapplications

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