Impacts of Measurement Errors on Simultaneous Equation Estimation of Dividend and Investment Decisions

Cheng Few Lee and Fu-Lai Lin

Chapter 116 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 4001-4023 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter analyzes the errors-in-variables problems in a simultaneous equation estimation in dividend and investment decisions. We first investigate the effects of measurement errors in exogenous variables on the estimation of a just-identified or an over-identified simultaneous equations system. The impacts of measurement errors on the estimation of structural parameters are discussed. Moreover, we use a simultaneous system in terms of dividend and investment policies to illustrate how theoretically the unknown variance of measurement errors can be identified by the over-identified information. Finally, we summarize the findings.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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