Different data types (Quant: Econometrics)
by David Harper, CFA, FRM, CIPM
Learning objective: Distinguish between the different types of data used for empirical analysis
Three types of data can be used for empirical analysis:
- Time series
- Cross-sectional
- Pooled (combination of time series and cross-sectional)
Panel data (a.k.a., longitudinal or micropanel) data is a special type of pooled data in which the cross-sectional unit (e.g., family, company) is surveyed over time.
A portfolio example
Consider a portfolio that contains several assets. We can populate a matrix with periodic returns: each row contains periodic returns for an asset; each column is day:
For the portfolio, we could examine
- Returns over time for an individual asset (time series)
- Average return across assets on a given day (cross-sectional or spatial)
- Returns over time for a combination of assets (pooled)
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