RATS Handbook to Accompany Introductory Econometrics for Finance

By Chris Brooks. 2008

3,008 citations recorded by the source corpus.

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Citations in the corpus

• Bank Specific and Macroeconomic Determinants of Commercial Bank Profitability: Empirical Evidence from Turkey (2011, methodology): “The basic framework for the panel data is defined according to the following regression model (Brooks, 2008):”
• Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries (2015, methodology): “Since the Phillips–Perron tests are known to be more robust than the ADF tests (Brooks, 2008), we proceed with the analysis under the assumption that oil prices are nonstationary in levels.”
• Forecasting the short-term metro passenger flow with empirical mode decomposition and neural networks (2012, background): “As stated in Brooks (2008), ARIMA performs well and robustly in modeling linear and stationary time series.”
• The relationship between corporate social performance and corporate financial performance and the role of innovation: evidence from German listed firms (2013, methodology): “For a proper analysis regarding the causality between CSP and CFP, Granger causation is used in this study (for more details, see Granger 1969; Brooks 2008).”
• Higher Ethical Objective (Maqasid al-Shari’ah) Augmented Framework for Islamic Banks: Assessing Ethical Performance and Exploring Its Determinants (2019, methodology): “…unbalanced panel data, several statistical tests were performed, including the simple OLS ‘pooled regression’, redundant fixed effect test, the random effect model (REM), the fixed effect models (FEM) according to the existing literature on econometrics (see: Brooks 2008; Gujarati 2003) (Table 7).”
• Determinants of corporate financial performance relating to board characteristics of corporate governance in Indian manufacturing industry: An empirical study (2017, background): “The Jarque-Bea statistic would not be significant, and p-value should be greater than 5 percent if the residuals are normally distributed (Brooks, 2008).”
• Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange (2019, methodology): “These results are consistent with the theory of a positive risk premium on stock index returns (Brooks, 2014), which shows that risk was priced over the sample period.”
• The Importance of Maritime Transport for Economic Growth in the European Union: A Panel Data Analysis (2021, methodology): “In other words, by using the panel technique, the number of observations increased, so the problems related to data stationarity are diminished and several tools for mitigating the common problems of the models are available [47].”
• Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices (2019, background): “The sustainable and the conventional indices are also compared by evaluating the performance of the companies included in each of these indices based on their respective financial ratio analysis and overall business performance (Martinez-Ferrero and Frias-Aceituno 2015; Pilar Marti et al. 2015; Rans”
• VOLATILITY AND CORRELATION FORECASTING (2006, background): “…toolbox discussed in econometrics and empirical oriented finance textbooks; see, e.g., Hamilton (1994), Mills (1993), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Alexander (2001), Brooks (2002), Chan (2002), Tsay (2002), Christoffersen (2003), Enders (2004), and Taylor (2004).”
• Bank-specific and macro-economic determinants of profitability of Indian commercial banks: A panel data approach (2018, background): “Different studies have constructed a structure of panel analysis (Chowdhury & Rasid, 2017; Brooks, 2014; Masood, Ashraf, and Ashraf, 2012).”
• Testing the Residuals of an ARIMA Model on the Çekerek Stream Watershed in Turkey (2005, background): “The identification of the appropriate parametric time series model depends on the shape of the ACF (Brooks, 2002).”