Financial Econometrics Using Stata

Financial Econometrics Using Stata

Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods.

Author: Simona Boffelli

Publisher: Stata Press

ISBN: 1597182141

Category:

Page:

View: 769

Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.
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STATA Guide for Introductory Econometrics for Finance

STATA Guide for Introductory Econometrics for Finance

This free software guide for STATA with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular ...

Author: Chris Brooks

Publisher: Cambridge University Press

ISBN: 9781108848688

Category: Business & Economics

Page:

View: 613

This free software guide for STATA with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main textbook, the guide will give readers the confidence and skills to estimate and interpret their own models while the textbook will ensure that they have a thorough understanding of the conceptual underpinnings.
Categories: Business & Economics

An Introduction to Modern Econometrics Using Stata

An Introduction to Modern Econometrics Using Stata

The book presents a contemporary approach to econometrics, emphasizing the role of method-of-moments estimators, hypothesis testing, and specification analysis while providing practical examples showing how the theory is applied to real ...

Author: Christopher F. Baum

Publisher: Stata Press

ISBN: 9781597180139

Category: Business & Economics

Page: 341

View: 838

Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, An Introduction to Modern Econometrics Using Stata focuses on the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how the theories are applied to real data sets using Stata. As an expert in Stata, the author successfully guides readers from the basic elements of Stata to the core econometric topics. He first describes the fundamental components needed to effectively use Stata. The book then covers the multiple linear regression model, linear and nonlinear Wald tests, constrained least-squares estimation, Lagrange multiplier tests, and hypothesis testing of nonnested models. Subsequent chapters center on the consequences of failures of the linear regression model's assumptions. The book also examines indicator variables, interaction effects, weak instruments, underidentification, and generalized method-of-moments estimation. The final chapters introduce panel-data analysis and discrete- and limited-dependent variables and the two appendices discuss how to import data into Stata and Stata programming. Presenting many of the econometric theories used in modern empirical research, this introduction illustrates how to apply these concepts using Stata. The book serves both as a supplementary text for undergraduate and graduate students and as a clear guide for economists and financial analysts.
Categories: Business & Economics

Financial Microeconometrics

Financial Microeconometrics

A Research Methodology in Corporate Finance and Accounting Marek
Gruszczyński. The subsequent chapters are ... Princeton University Press,
Princeton, NJ Bofetti S, Urga G (2016) Financial econometrics using Stata. Stata
Press, College ...

Author: Marek Gruszczyński

Publisher: Springer Nature

ISBN: 9783030342197

Category: Business & Economics

Page: 215

View: 462

This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG
Categories: Business & Economics

Efficiency in Business and Economics

Efficiency in Business and Economics

J Econ Perspect 24(2):3–30 Berk J, DeMarzo P (2014) Corporate finance, 4th
edn. Pearson, Boston, MA Bofetti S, Urga G (2016) Financial econometrics using
Stata. Stata Press, College Station Brennan MJ (ed) (2001) Empirical corporate ...

Author: Tadeusz Dudycz

Publisher: Springer

ISBN: 9783319682853

Category: Business & Economics

Page: 309

View: 738

This volume offers a collection of studies on problem of organization’s efficiency, criteria for evaluating the efficiency, tools and methods for measuring the efficiency. The articles included present an interdisciplinary look at efficiency, its essence and the principles of its measurement. The contributions also identify a broad spectrum of conditions for achieving efficiency in various types of organizations and systems (e.g. public institution, non-profit organizations), representing various industries. The book collects selected papers presented at the 7th International Conference "Efficiency as a Source of the Wealth of Nations", held in Wrocław, Poland, in May 2017.
Categories: Business & Economics

Financial Intermediation Versus Disintermediation Opportunities and Challenges in the FinTech era

Financial Intermediation Versus Disintermediation  Opportunities and Challenges in the FinTech era

College Station, TX: Stata Press. Boffelli, S., and Urga, G. (2016). Financial
Econometrics Using Stata. College Station, TX: Stata Press, 17–30. Bouoiyour, J.,
and Selmi, R. (2015). What does bitcoin look like? Ann. Econ. Financ. 16, 449–
492.

Author: Meryem Duygun

Publisher: Frontiers Media SA

ISBN: 9782889664757

Category: Science

Page:

View: 105

Categories: Science

Data Science for Financial Econometrics

Data Science for Financial Econometrics

... –0.5914 0.048006 –0.39632 CCE 216 –0.49941 0.07789 –0.62358 HHI 216
0.226918 0.210341 –0.73043 0.499991 Source: Author's calculation using Stata
14 Table 2 Regression results using LASSO Variable LASSO Regression Coef.

Author: Nguyen Ngoc Thach

Publisher: Springer Nature

ISBN: 9783030488536

Category:

Page:

View: 158

Categories:

Applied Econometrics Using the SAS System

Applied Econometrics Using the SAS System

This book thoroughly examines econometric methods and discusses how data collected in economic studies can easily be analyzed using the SAS® system.

Author: Vivek Ajmani

Publisher: John Wiley & Sons

ISBN: 9781118210321

Category: Mathematics

Page: 328

View: 951

The first cutting-edge guide to using the SAS® system for the analysis of econometric data Applied Econometrics Using the SAS® System is the first book of its kind to treat the analysis of basic econometric data using SAS®, one of the most commonly used software tools among today's statisticians in business and industry. This book thoroughly examines econometric methods and discusses how data collected in economic studies can easily be analyzed using the SAS® system. In addition to addressing the computational aspects of econometric data analysis, the author provides a statistical foundation by introducing the underlying theory behind each method before delving into the related SAS® routines. The book begins with a basic introduction to econometrics and the relationship between classical regression analysis models and econometric models. Subsequent chapters balance essential concepts with SAS® tools and cover key topics such as: Regression analysis using Proc IML and Proc Reg Hypothesis testing Instrumental variables analysis, with a discussion of measurement errors, the assumptions incorporated into the analysis, and specification tests Heteroscedasticity, including GLS and FGLS estimation, group-wise heteroscedasticity, and GARCH models Panel data analysis Discrete choice models, along with coverage of binary choice models and Poisson regression Duration analysis models Assuming only a working knowledge of SAS®, this book is a one-stop reference for using the software to analyze econometric data. Additional features include complete SAS® code, Proc IML routines plus a tutorial on Proc IML, and an appendix with additional programs and data sets. Applied Econometrics Using the SAS® System serves as a relevant and valuable reference for practitioners in the fields of business, economics, and finance. In addition, most students of econometrics are taught using GAUSS and STATA, yet SAS® is the standard in the working world; therefore, this book is an ideal supplement for upper-undergraduate and graduate courses in statistics, economics, and other social sciences since it prepares readers for real-world careers.
Categories: Mathematics

Introductory Econometrics for Finance

Introductory Econometrics for Finance

Offers econometrics for finance students with no prior knowledge of the field. Includes case studies, examples and extensive online support.

Author: Chris Brooks

Publisher: Cambridge University Press

ISBN: 9781108422536

Category: Business & Economics

Page: 750

View: 887

Offers econometrics for finance students with no prior knowledge of the field. Includes case studies, examples and extensive online support.
Categories: Business & Economics

Financial Econometric Modeling

Financial Econometric Modeling

"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers ...

Author: Stan Hurn

Publisher: Oxford University Press, USA

ISBN: 0190857064

Category: Finance

Page:

View: 387

"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--
Categories: Finance

Using Stata for Principles of Econometrics

Using Stata for Principles of Econometrics

This is the Using Stata text for Principles of Econometrics, 4th Edition.

Author: Lee C. Adkins

Publisher: Wiley

ISBN: 111803208X

Category: Business & Economics

Page: 624

View: 614

This is the Using Stata text for Principles of Econometrics, 4th Edition. Principles of Econometrics is an introductory book for undergraduate students in economics and finance, and can be used for MBA and first-year graduate students in many fields. The 4th Edition provides students with an understanding of why econometrics is necessary and a working knowledge of basic econometric tools. This text emphasizes motivation, understanding and implementation by introducing very simple economic models and asking economic questions that students can answer.
Categories: Business & Economics

Analysis of Financial Data

Analysis of Financial Data

The best approach for teaching introductory financial econometrics , in other
words , is to illustrate its specific concepts over and ... The computer package
Stata has been used to do the empirical examples presented in these latter
chapters .

Author: Gary Koop

Publisher: John Wiley & Sons Incorporated

ISBN: IND:30000103007492

Category: Business & Economics

Page: 240

View: 342

Analysis of Financial Data teaches the basic methods and techniques of data analysis to finance students, by showing them how to apply such techniques in the context of real-world empirical problems. Adopting a largely non-mathematical approach Analysis of Financial Data relies more on verbal intuition and graphical methods for understanding. Key features include: Coverage of many of the major tools used by the financial economist e.g. correlation, regression, time series analysis and methods for analyzing financial volatility. Extensive use of real data examples, which involves readers in hands-on computer work. Mathematical techniques at a level suited to MBA students and undergraduates taking a first course in the topic. Supplementary material for readers and lecturers provided on an accompanying website.
Categories: Business & Economics

Microeconometrics Using Stata

Microeconometrics Using Stata

This outstanding introduction to microeconometrics research using Stata offers the most complete and up-to-date survey of methods available.

Author: A. Colin Cameron

Publisher: Statacorp Lp

ISBN: UOM:39015078791251

Category: Business & Economics

Page: 692

View: 295

This outstanding introduction to microeconometrics research using Stata offers the most complete and up-to-date survey of methods available. The authors address each topic with an in-depth example and demonstrate how to use Stata's programming features to implement methods for which the application does not have a specific command.
Categories: Business & Economics

The African Journal of Finance and Management

The African Journal of Finance and Management

However , lack of data makes this endeavour impossible to execute . The models
are specified as follows and are estimated using STATA econometrics package :
Model 1 ttaxr = ao + a , Ipacpm92 + a z manfs + a ztrads + a , transs + as fos + d ...

Author:

Publisher:

ISBN: 08566372

Category: Business enterprises

Page:

View: 209

Categories: Business enterprises

Agricultural Finance Review

Agricultural Finance Review

Econometric Framework Under the random - effects framework , the error terms
are assumed to demonstrate the ... logit regression techniques performed using
version 7.0 ( special edition ) of Stata software ( Stata Corporation , 2002 ) .

Author:

Publisher:

ISBN: UCSD:31822030949606

Category: Agricultural credit

Page:

View: 803

Categories: Agricultural credit

Applied Econometrics

Applied Econometrics

Applied Econometrics third edition includes: • Thorough updates of all material in the book • More finance applications • A brand new Chapter 20: Time Varying Coefficient Models: A new way of estimating bias free parameters This is an ...

Author: Dimitrios Asteriou

Publisher: Macmillan International Higher Education

ISBN: 9781137415479

Category: Business & Economics

Page: 552

View: 186

The third edition of Applied Econometrics builds on the success of the popular previous editions. It takes an intuitive, hands-on approach to presenting fundamental concepts in modern econometrics and carefully guides the reader through them. Step-by-step instructions for all econometric tests and methods of estimation are provided, as well as ways in which to interpret the results. This makes it an ideal companion for students new to the subject, or for those requiring a 'refresher'. Applied Econometrics third edition includes: • Thorough updates of all material in the book • More finance applications • A brand new Chapter 20: Time Varying Coefficient Models: A new way of estimating bias free parameters This is an indispensable textbook for undergraduate and Master's economics or finance students taking a course in applied econometrics.
Categories: Business & Economics

Financial Stability Report

Financial Stability Report

Cleves M. , W. Gould and R. Gutierrez ( 2002 ) An introduction to survival
analysis using Stata , Texas , Stata Press . Farinha , L. ... Lancaster , T. ( 1990 )
The econometric analysis of transition data , Cambridge , Cambridge University
Press .

Author: Banco de Portugal

Publisher:

ISBN: IND:30000054723477

Category: Banks and banking, Central

Page:

View: 232

Categories: Banks and banking, Central

International Journal of Sport Finance

International Journal of Sport Finance

Regression models for categorical dependent variables using stata . College
Station , TX : Stata Press . Matheson , V. A. ... Emerging markets in baseball : An
econometric model for predicting the expansion teams ' new cities . In J. Fizel , E.

Author:

Publisher:

ISBN: UOM:39015079789726

Category: Sports

Page:

View: 881

Categories: Sports

Canadian Journal of Forest Research

Canadian Journal of Forest Research

... ecosystems by increasing the The discount rate on financial costs also turns
out to have area of plantation forests ) , forest conservation ( avoiding de ... We
consider geographic count rate on carbon to lead to higher costs of carbon scope
using dummy variables to discern whether studies es ... to significantly lower
costs of creating bon uptake costs using sectoral optimization , an econometric
CO2 offset credits than other activities . ... All regression models are estimated
using Stata .

Author:

Publisher:

ISBN: MINN:31951P01094364V

Category: Forest genetics

Page:

View: 314

Categories: Forest genetics

An Introduction to Classical Econometric Theory

An Introduction to Classical Econometric Theory

In An Introduction to Classical Econometric Theory Paul A. Ruud shows the practical value of an intuitive approach to econometrics.

Author: Paul Arthur Ruud

Publisher: Oxford University Press, USA

ISBN: 0195111648

Category: Business & Economics

Page: 951

View: 603

In An Introduction to Classical Econometric Theory Paul A. Ruud shows the practical value of an intuitive approach to econometrics. Students learn not only why but how things work. Through geometry, seemingly distinct ideas are presented as the result of one common principle, making econometrics more than mere recipes or special tricks. In doing this, the author relies on such concepts as the linear vector space, orthogonality, and distance. Parts I and II introduce the ordinary least squares fitting method and the classical linear regression model, separately rather than simultaneously as in other texts. Part III contains generalizations of the classical linear regression model and Part IV develops the latent variable models that distinguish econometrics from statistics. To motivate formal results in a chapter, the author begins with substantive empirical examples. Main results are followed by illustrative special cases; technical proofs appear toward the end of each chapter. Intended for a graduate audience, An Introduction to Classical Econometric Theory fills the gap between introductory and more advanced texts. It is the most conceptually complete text for graduate econometrics courses and will play a vital role in graduate instruction.
Categories: Business & Economics