Estimating dynamic panel models in corporate finance

Dynamic panel models play a natural role in several important areas of corporate finance, but the combination of fixed effects and lagged dependent variables introduces serious econometric bias. Several methods of counteracting these biases are available and these methodologies have been tested on s...

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Vydané v:Journal of corporate finance (Amsterdam, Netherlands) Ročník 19; s. 1 - 19
Hlavní autori: Flannery, Mark J., Hankins, Kristine Watson
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Amsterdam Elsevier B.V 01.02.2013
Elsevier Science Ltd
Predmet:
Corporate finance
Correlation analysis
Dynamic panels
Econometrics
Estimation bias
Mathematical models
Studies
Variables
Dynamic panels
Corporate finance
Econometrics
G30
C23
ISSN:0929-1199, 1872-6313
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Popis
Shrnutí:Dynamic panel models play a natural role in several important areas of corporate finance, but the combination of fixed effects and lagged dependent variables introduces serious econometric bias. Several methods of counteracting these biases are available and these methodologies have been tested on small datasets with independent, normally-distributed explanatory variables. However, no one has evaluated the methods' performance with corporate finance data, in which the dependent variable may be clustered or censored and independent variables may be missing, correlated with one another, or endogenous. We find that the data's properties substantially affect the estimators' performances. We provide evidence about the impact of various data set characteristics on the estimators, so that researchers can determine the best approach for their datasets. ► We examine how to best estimate dynamic panel models in corporate finance. ► We show how different estimators dramatically affect coefficient estimates. ► We discuss how real-world corporate data issues affect estimation.
Bibliografia:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0929-1199
1872-6313
DOI:10.1016/j.jcorpfin.2012.09.004