Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications

Marno Verbeek

Published by De Gruyter 2021

Panel Methods for Finance

A Guide to Panel Data Econometrics for Financial Applications

Marno Verbeek

Volume 1 in the series De Gruyter Studies in the Practice of Econometrics

https://doi.org/10.1515/9783110660739

Overview
Contents

About this book

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

Focused on the most popular and relevant approaches in panel data econometrics.
Intuitive exposition with focus on practical relevance and implementation.
Coverage of methodological issues in the context of financial applications.

Author / Editor information

Marno Verbeek, Erasmus University, The Netherlands

Reviews

"Panel Methods for Finance provides a practical and non-technical overview of econometric approaches using panel data in finance. It reviews several empirical examples from the financial literature applying these panel techniques and gives the reader useful suggestions on when and how to apply these tools in empirical finance. This should prove useful as a textbook or supplement for econometrics courses in finance."

Professor Badi H. Baltagi, Syracuse University, USA

"Marno Verbeek’s new book includes a wide range of examples where panel data models are applied in finance, which is extremely useful to contextualise the models and to help readers understand where and how they can be used. The material is presented with great clarity, making it a pleasure to read.　 While the book is not overly technical, some mathematical detail is included for those who want it, with numerous references to further reading also provided. There is a broad coverage of models and estimation methods, including for panel specifications with limited dependent variables. The book is of just the right length and will be one which every empirical researcher in finance will want to have on their shelf".

Professor Chris Brooks, Bristol University, UK

Marno Verbeek provides an intuitive and relative non-technical outline of econometric techniques exploiting panel data with this book. 　I will particularly enjoy using Panel Methods for Finance as I currently work with a panel data set with a small time-series dimension. Marno provides complete explanations of different estimators and compares the benefits and drawbacks of using various econometric techniques. In addition, he discusses panel data from many different angles, from (un)common data issues, to the use of dynamic models and treatment effects. Furthermore, the examples of empirical research make the book intuitive and more accessible than other academic resources on panel data.　Whether you are a student or a professor, this book is a must-have for anyone working with panel data. Knowing that I will work with more panel data sets in the future, this book will not leave my desk for a long time.　

Eline ten Bosch

Marno Verbeek’s book Panel Methods for Finance fills a gap in the offerings in textbooks. Panel data sets have both a time and cross-sectional dimension, and almost all data sets in finance with firms or securities are panels. Yet, there was no comprehensive guide for finance researchers in using panel estimations. I highly recommend the new book for advanced Masters and PhD students, and academics working in empirical finance. Verbeek provides a complete overview of panel data estimations, including fixed effects, instrumental variables, regression-discontinuity design, difference-in-differences, GMM, and discrete models. All approaches can be applied with Stata and are illustrated by published research in academic finance journals. The guide also provides many practical recommendations and discussions, such as p-hacking and dealing with outliers and missing data.

Abe de Jong – Professor of Finance, Monash University, Australia

Topics

Frontmatter Publicly Available Download PDF	I
Preface Publicly Available Download PDF	VII
Acknowledgments Publicly Available Download PDF	IX
Contents Publicly Available Download PDF	XI
Acronyms Publicly Available Download PDF	XV
1 Introduction Requires Authentication Unlicensed Licensed Download PDF	1
2 Linear static models Requires Authentication Unlicensed Licensed Download PDF	9
3 Dealing with heterogeneity and endogeneity: fixed effects, IV and GMM Requires Authentication Unlicensed Licensed Download PDF	68
4 Outliers, missing values and other data issues Requires Authentication Unlicensed Licensed Download PDF	107
5 Linear dynamic models Requires Authentication Unlicensed Licensed Download PDF	126
6 Models with limited dependent variables Requires Authentication Unlicensed Licensed Download PDF	145
7 Estimating average treatment effects Requires Authentication Unlicensed Licensed Download PDF	208
Bibliography Requires Authentication Unlicensed Licensed Download PDF	255
Index Requires Authentication Unlicensed Licensed Download PDF	275

(Deutsch)

Language: English
Publisher: De Gruyter
Audience: Academic scholars and policy-oriented researchers.
Pages
- Front matter: 16
- Main content: 280
Illustrations
- Illustrations: 6
- Tables: 3
Keywords: Applied Econometrics; Empirical Finance; Research Methods; Panel Data

eBook

Published: October 25, 2021
ISBN: 9783110660739

Paperback

Published: November 8, 2021
ISBN: 9783110660135