TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS

By Timothy Erickson, Toni M. Whited. Econometric Theory, 2002

326 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9420fe3bf6d34231a8d8b84b6b4c2e36983d74c5

Citations in the corpus

• Testing Q theory with financing frictions (2007, unknown): “Average Q is calculated as in Erickson and Whited (2000). The market-to-book ratio is calculated as [(Item 6 + (Item 24)× (Item 25) − Item 60 − Item74)/Item 6]. The imputation of bond ratings using the method in Blume, Lim, and Mackinlay (1998) starts with the computation of average interest coverag”
• Equity Market Misvaluation, Financing, and Investment (2015, unknown): “The estimates of the adjustment cost parameters correspond to the range of estimates of the coefficient on Tobin’s q reported in, for example, Erickson and Whited (2012). Two parameters that are difficult to interpret are νi and νr, so we gauge their economic magnitudes by setting them to zero, calc”
• Costly External Financing, Investment Timing, and Investment-Cash Flow Sensitivity (2007, unknown): “Thus, in order to mitigate the errors-in-variables problem, I supplement the OLS estimation by a measurement error-consistent GMM estimation procedure, developed in Erickson and Whited (2000, 2002).”
• Investment and Competition (2006, unknown): “Fazzari et al. , 1988, Kaplan and Zingales, 1997, Erickson and Whited, 2000, 2002, and Abel and Eberly, 2003).”
• Measuring firms' access to finance (2006, unknown): “some solutions. For instance, Erickson and Whited (2000, 2002) proposed a class of GMM”
• Solving and Testing for Regressor-Error (in)Dependence When no Instrumental Variables are Available: With New Evidence for the Effect of Education on Income (2005, unknown): “Lewbel (1997) and Erickson and Whited (2002) propose method-of-moments based estimators that do not rely”
• The Stock Market and Corporate Investment: A Test of Catering Theory (2009, unknown): “We tried to apply the Erickson and Whited (2002) high-order moment estimators to our larger, longer sample.”
• Investment, Idiosyncratic Risk, and Ownership (2011, unknown): “We follow the approach of Erickson and Whited (2000, 2002), and Bakke and Whited (2007), who use a higher-order GMM estimation method to correct for measurement error in Q.”
• Payout Taxes and the Allocation of Investment (2011, unknown): “…potential biases in regression coefficients due to measurement error in investment: instrumental variables (Almeida, Campello and Galvao, 2010; Rauh 2006), the dynamic panel estimators from Arellano and Bond (1991), and the high-order moment estimators due to Erickson and Whited (2000, 2002).”
• Does bank market power affect SME financing constraints (2014, unknown): “We employ a well-established identification strategy by examining the sensitivity of firmlevel investment to changes in the availability of internal funds, an approach first established by Fazzari et al. (1988) and since employed widely in the financing constraints literature.”
• Spin-Offs, Divestitures, and Conglomerate Investment (2007, unknown): “Table 8 presents the results from estimating (11) and (12) with the fourth-order moment estimator in Erickson and Whited (2002).”
• Handling Endogenous Regressors by Joint Estimation Using Copulas (2012, unknown): “Ebbes et al. (2009) provide an excellent review and compares three extant instrument-free approaches: the higher moments (HM) approach (Erickson and Whited 2002, Lewbel 1997), the identification through heteroscedasticity (IH) estimator (Rigobon 2003, Hogan and Rigobon 2003), and the latent…”
• Fintech Borrowers: Lax Screening or Cream-Skimming? (2020, unknown): “For all of these specifications, we test the significance of the R(2) differences following the test proposed by Erickson and Whited (2002) and find that the R(2) for the fintech lenders is significantly higher than that for traditional lenders.”