Advanced Data and Regression Techniques

3 Credits

Topics are related to the construction of variables (based on data in Compustat, CRSP and IBES), econometric issues (dealing with measurement error, scaling issues, clustering of standard errors, testing for multicollinearity, Heckman tests) and special topics (fixed effects regression, propensity score matching, Jackknife procedure, using textual analysis to create new variables) commonly used in finance and accounting, and other research using large archival data.