By Aman Ullah, David E. A. Giles (editors)
Guide of Empirical Economics and Finance explores the most recent advancements within the research and modeling of monetary and fiscal facts. Well-recognized econometric specialists talk about the swiftly becoming learn in economics and finance and supply perception at the destiny course of those fields. concentrating on micro types, the 1st workforce of chapters describes the statistical concerns thinking about the research of econometric versions with cross-sectional information usually coming up in microeconomics. The booklet then illustrates time sequence types which are widely utilized in empirical macroeconomics and finance. The final set of chapters explores the categories of panel information and spatial types which are changing into more and more major in studying advanced fiscal habit and coverage reviews. This guide brings jointly either history fabric and new methodological and utilized effects which are very important to the present and destiny frontiers in empirical economics and finance. It emphasizes inferential matters that transpire within the research of cross-sectional, time sequence, and panel data-based empirical versions in economics, finance, and comparable disciplines.
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Extra info for Handbook of Empirical Economics and Finance (STATISTICS: Textbooks and Monographs)
Useful references on cluster-robust inference for the practitioner include the surveys by Wooldridge (2003, 2006), the texts by Wooldridge (2002), Cameron and Trivedi (2005) and Angrist and Pischke (2009) and, for implementation in Stata, Nichols and Schaffer (2007) and Cameron and Trivedi (2009). -S. Pischke. 2003. Minimum Wages and On-the-job Training. Res. Labor Econ. 22: 159–202. Andrews, D. W. , and J. H. Stock. 2007. Inference with Weak Instruments. In Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, ed.
75: 341–345. Petersen, M. 2009. Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Rev. Fin. Stud. 22: 435–480. , and G. Nathan. 1981. Regression Analysis of Data from a Cluster Sample. J. Am. Stat. Assoc. 76: 681–689. Rogers, W. H. 1993. Regression Standard Errors in Clustered Samples. Stata Tech. Bull. 13: 19–23. Scott, A. , and D. Holt. 1982. The Effect of Two-Stage Sampling on Ordinary Least Squares Methods. J. Am. Stat. Assoc. 77: 848–854. Shore-Sheppard, L. 1996.
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches. Rev. Fin. Stud. 22: 435–480. , and G. Nathan. 1981. Regression Analysis of Data from a Cluster Sample. J. Am. Stat. Assoc. 76: 681–689. Rogers, W. H. 1993. Regression Standard Errors in Clustered Samples. Stata Tech. Bull. 13: 19–23. Scott, A. , and D. Holt. 1982. The Effect of Two-Stage Sampling on Ordinary Least Squares Methods. J. Am. Stat. Assoc. 77: 848–854. Shore-Sheppard, L. 1996. The Precision of Instrumental Variables Estimates with Grouped Data.