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Econometrics and Economic Data: Advance Research Methods
Econometrics and Economic Data: Advance Research Methods
• kinds of data
What is Econometrics
• Literally interpreted, econometrics means
“economic measurement.” Although measurement
is an important part of econometrics, the scope of
econometrics is much broader
• is leverage of firm “i” at time “t”. It is measured by using three proxies as short
term debt to total asset, long term debt to total asset, total liabilities to total
assets, is the stock liquidity of firm “i” at time “t”. It is measured by considering
four measures such as AMIVEST measure, AMIHUD illiquidity measure, modified
liquidity ratio (MLR), liquidity ratio and Pastor & Stambaugh stock liquidity
measure (2003). is the growth opportunities of firm “i” at time “t” and Market
value to book value of assets is used as the proxy. is the size of firm “i” at time
“t”. Natural log of total assets used as proxy of size used. is the tangibility of
assets of firm “i” at time “t”. Net property, equipment and plant to total assets
used as the proxy of tangibility. is the ownership concentration of largest five
share holder of firm “i” at time “t”. The percentage of five percent shareholders
used as proxy. is the error term of firm “i” at time “t”.
Obtaining Data and Estimation of the
Econometric Model
• To estimate the econometric model , that is, to
obtain the numerical values of β1 and β2, we
need data.
Table: Firms data for the year ended 31st Dec, 2001
firm id firm name no of shareholders Shareprice Mkt cap Lev age
1 Abbott Lab 1233 450 554850 45 34
2 Abbot 12323 435 5360505 65 54
3 FATIMA 43434 343 14897862 67 34
4 AzgardNine 212 55 11660 45 55
5 GhaniGlass 3434 343 1177862 65 56
6 Treet 322324 454 146335096 34 34
Example of cross sectional data
Time Series Data
• A time series data set consists of observations on an
entity, variable or several variables over time. Examples
of time series data include stock prices, money supply,
consumer price index, gross domestic product, annual
homicide rates, and automobile sales figures.
Year firm id firm name no of shareholders Shareprice Mkt cap Lev age