Panel-Data Estimation in Finance: Testable Assumptions and Parameter (In)Consistency

We investigate the strict-exogeneity assumption, a necessary condition for estimator consistency in many finance panel-data applications. We outline tests for strict exogeneity in both traditional (non–instrumental variable (IV)) and IV settings. When we apply these tests in common traditional finan...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2019-02, Vol.54 (1), p.1-29
Hauptverfasser:	Grieser, William D., Hadlock, Charles J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Estimates Finance Generalized method of moments Longitudinal studies Quantitative analysis Tests Variables
Online-Zugang:	Volltext
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