Alternative errors-in-variables models and their applications in finance research

Hong-Yi Chen, Alice C. Lee and Cheng-Few Lee
Authors registered in the RePEc Author Service: Cheng Few Lee

The Quarterly Review of Economics and Finance, 2015, vol. 58, issue C, 213-227

Abstract: Specification error and measurement error are two major issues in finance research. The main purpose of this paper is (i) to review and extend existing errors-in-variables (EIV) estimation methods, including classical method, grouping method, instrumental variable method, mathematical programming method, maximum likelihood method, LISREL method, and the Bayesian approach; (ii) to investigate how EIV estimation methods have been used to finance related studies, such as cost of capital, capital structure, investment equation, and test capital asset pricing models; and (iii) to give a more detailed explanation of the methods used by Almeida et al. (2010).

Keywords: Measurement error; Errors-in-variables; Cost of capital; Capital structure; Investment equation; Capital asset pricing model (search for similar items in EconPapers)
JEL-codes: C58 G10 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:58:y:2015:i:c:p:213-227

DOI: 10.1016/j.qref.2014.12.002

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