Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model
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More about this item
KeywordsCommon Factor Structural Error; Common Shocks; Stock Price Movements; Accounting Fundamentals; Bayesian Gibbs Sampler;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-09 (All new papers)
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