Textbook in PDF format

Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences.
Introduction
Linear static models
Dealing with heterogeneity and endogeneity: fixed effects, IV and GMM
Outliers, missing values and other data issues
Linear dynamic models
Models with limited dependent variables
Estimating average treatment effects