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Econometric Approach to Financial Analysis, Planning, and Forecasting

In: HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING

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  • Cheng Few Lee

Abstract

In this chapter we first review the basic models related to simultaneous equation, such as 2SLS, 3SLS, and SUR. Then we discuss how to estimate different kinds of simultaneous equation models. The application of this model in financial analysis, planning, and forecasting is also explored. Simultaneity and dynamics of corporate-budgeting is explored in detail in terms of data from Johnson & Johnson.

Suggested Citation

  • Cheng Few Lee, 2020. "Econometric Approach to Financial Analysis, Planning, and Forecasting," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 5, pages 225-274, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811202391_0005
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    More about this item

    Keywords

    Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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