On the use of instrumental variables in accounting research
On the use of instrumental variables in accounting research
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DOI：
10.1016/j.jacceco.2009.11.004
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发表时间：
2010-04-01
影响因子：
5.9
通讯作者：
Rusticus, Tjomme O.
中科院分区：
文献类型：
--
作者：
Larcker, David F.;Rusticus, Tjomme O.
工具变量（IV）方法通常用于会计研究（例如，盈余管理、公司治理、高管薪酬和信息披露研究）。虽然IV估计是标准的教科书解决方案，以减轻内分泌问题，IV方法在典型的会计研究环境中的适当性并不明显。利用统计学和计量经济学的最新进展，我们确定的条件下，IV方法是首选OLS估计，并提出了一系列的测试研究采用IV方法。我们通过考察公司信息披露与资本成本之间的关系来说明这些观点。(C)2009 Elsevier B.V.保留所有权利。
Instrumental variable (IV) methods are commonly used in accounting research (e.g., earnings management, corporate governance, executive compensation, and disclosure research) when the regressor variables are endogenous. While IV estimation is the standard textbook solution to mitigating endogeneity problems, the appropriateness of IV methods in typical accounting research settings is not obvious. Drawing on recent advances in statistics and econometrics, we identify conditions under which IV methods are preferred to OLS estimates and propose a series of tests for research studies employing IV methods. We illustrate these ideas by examining the relation between corporate disclosure and the cost of capital. (C) 2009 Elsevier B.V. All rights reserved.