Endogeneity in Accounting and Finance Research: Natural Experiments as a State-of-the-Art Solution

• Autores: Jennifer Gippel, Tom Smith, Frank Finn, Yushu Zhu
• Localización: Abacus: A journal of accounting, finance and business studies, ISSN 0001-3072, Vol. 51, Nº 2, 2015, págs. 143-168
• Idioma: inglés
• DOI: 10.1111/abac.12048
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• Dialnet Métricas: 2 Citas
• Resumen

  • This paper provides a discussion of endogeneity as it relates to finance and accounting research. We discuss the textbook solutions: two-stage least squares, instrumental variables, differenced generalized method of moments (GMM) and system GMM and provide a unifying framework showing how they are related. We consider the limitations of these techniques and then detail a state-of-the-art solution, utilizing a natural experiment as a way of mitigating endogeneity and building stronger theory.