Alternative Errors-in-Variables Models and Their Applications in Finance Research

Hong-Yi Chen (), Alice C. Lee and Cheng-Few Lee ()
Additional contact information
Hong-Yi Chen: National Chengchi University
Alice C. Lee: Center for PBBEF Research
Cheng-Few Lee: Rutgers University

Chapter 100 in Encyclopedia of Finance, 2022, pp 2369-2408 from Springer

Abstract: Abstract Specification error and measurement error are two major issues in finance research. The main purpose of this chapter 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. (Review of Financial Studies, 23, 3279–3328, 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: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-91231-4_103

Ordering information: This item can be ordered from
http://www.springer.com/9783030912314

DOI: 10.1007/978-3-030-91231-4_103

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().