+1 vote
asked ago in General Economics Questions by (130 points)
Hello EconSpark members,

I am interested in doing a project for an Econometrics class. I am free to choose any topic as long as the dataset is panel, cross-sectional or pooled cross-sectional. My specific interest lies in passive investing and ETF's. I understand exploring this topic with the dataset constraint can be tricky hence I am reaching out to you all.

If anyone knows of a paper with panel or cross-sectional datasets and is in the neighborhood of finance/capital markets, please share!

Thank you for all your help!

1 Answer

+1 vote
answered ago by (890 points)
My answer may come too late for you but just in case.
The ReplicationWiki that I created http://replication.uni-goettingen.de gives information about empirical studies in the social sciences. It offers a database containing empirical research and shows where to find program codes and data, which methods were used and which software. One can search for keywords, authors or journals. It lists replications, corrections, and retractions; including information about the results of replications. More than 3,200 studies are already covered, including 489 replications.
For your case it identifies 47 studies with panel data and JEL code G for Financial Economics (unfortunately none for G01 - Financial Crises): https://tinyurl.com/Panel-JEL-G You can try to play with the parameters to find more. It is not indicated for every study what type of data is used or which JEL codes apply. Maybe you want to try searching in the keywords or titles. Please let me know if this helps you.
Since it's a wiki, every researcher can contribute. Please register, even if just to show your support. And please vote for studies that you think should be replicated.