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dc.contributor.author
Galvao, Antonio F.
dc.contributor.author
Montes Rojas, Gabriel Victorio
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dc.contributor.author
Olmo, Jose
dc.contributor.author
Song, Suyong
dc.date.available
2019-10-24T18:05:47Z
dc.date.issued
2018-06
dc.identifier.citation
Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Olmo, Jose; Song, Suyong; On solving endogeneity with invalid instruments: an application to investment equations; Wiley Blackwell Publishing, Inc; Journal Of The Royal Statistical Society Series A-statistics In Society; 181; 3; 6-2018; 689-716
dc.identifier.issn
0964-1998
dc.identifier.uri
http://hdl.handle.net/11336/87222
dc.description.abstract
Regression models relating investment demand with firms’ Tobin's q and cash flow are fraught with measurement errors which, in turn, cause endogeneity bias. We propose an alternative solution to this problem based on modelling the interaction between the endogenous Tobin's q and the error term in the investment equation as a function of lagged values of Tobin's q. We then study the identification conditions and asymptotic properties of the resulting estimator. Our analysis of a panel of US firms reveals a larger effect of Tobin's q on firms’ investment demand than that obtained by using available estimators in the literature. Moreover, the estimates highlight the importance of cash flow. We find mixed evidence on the relationship between investment demand and firms’ cash flow with respect to different measures of financial constraints. Nevertheless, this evidence is more supportive of the view that firms’ cash flows have a weaker correlation to investment demand when financial conditions tighten.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Wiley Blackwell Publishing, Inc
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dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
CASH FLOW
dc.subject
ENDOGENEITY
dc.subject
INVESTMENT EQUATION
dc.subject
MEASUREMENT ERRORS
dc.subject
TOBIN'S Q
dc.subject.classification
Economía, Econometría
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dc.subject.classification
Economía y Negocios
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dc.subject.classification
CIENCIAS SOCIALES
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dc.title
On solving endogeneity with invalid instruments: an application to investment equations
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2019-10-16T17:37:44Z
dc.identifier.eissn
1467-985X
dc.journal.volume
181
dc.journal.number
3
dc.journal.pagination
689-716
dc.journal.pais
Reino Unido
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dc.journal.ciudad
Londres
dc.description.fil
Fil: Galvao, Antonio F.. University of Arizona; Estados Unidos
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina
dc.description.fil
Fil: Olmo, Jose. University of Southampton; Reino Unido
dc.description.fil
Fil: Song, Suyong. University of Iowa; Estados Unidos
dc.journal.title
Journal Of The Royal Statistical Society Series A-statistics In Society
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dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://rss.onlinelibrary.wiley.com/doi/10.1111/rssa.12313
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1111/rssa.12313
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