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.
|Number of pages||280|
|Publication status||Published - 8 Nov 2021|
|Series||De Gruyter Studies in the Practice of Econometrics|