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[On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment
《工具变量非严格外生且存在序列相关时的面板数据模型估计》评论
Fumio Hayashi, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 15-17
The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms
多种资本品下企业增长与 Q 的关系：日本企业面板的理论与证据
The authors derive, from a model of investment with multiple capital goods, a one-to-one relation between the growth rate of the capital aggregate and the stock-market-based Q. The authors estimate the growth-Q relation using a panel of Japanese manufacturing firms taking into account the endogeneity of Q. For early years of their sample, cash flow has significant explanatory power over and above Q. The estimated Q coefficient implies that the adjustment cost is less than a…
Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
使用预定但非严格外生工具变量的时间序列模型近有效估计
Particularly under the assumption of rational expectations, a model may have serially correlated errors and those errors may be uncorrelated with contemporaneous and lagged values of a predetermined instrument, yet the instruments may not be strictly exogenous. This paper proposes a method for transforming such a model to one without serial correlation, while keeping the instrument predetermined. Standard theory of instrumental variables estimation then applies. Furthermore,…