Econometric Approach to Financial Analysis, Planning, and Forecasting

Cheng Few Lee

Chapter 5 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 225-274 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
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