Proxy-quality thresholds: Theory and applications

Finance Research Letters

Volumn 2, Issue 3, 2005, Pages 131-151

  Erickson, Timothy ^a   Whited, Toni M ^b  

^a BUREAU OF LABOR STATISTICS   (United States)

^b UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Coefficient sign; Errors in variables; External finance constraints; Investment; Prior information

Indexed keywords

EID: 23844543365     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2005.04.004     Document Type: Article

References (24)

1. Y. Allayanis A. Mozudmar The investment-cash flow sensitivity puzzle: Can negative cash flow observations explain it? Journal of Banking and Finance 28 2004 901-930
2. O.J. Blanchard F. Lopez-de-Silanes A. Shleifer What do firms do with cash windfalls? Journal of Financial Economics 36 1994 337-360
3. C. Bollinger Bounding mean regressions when a binary regressor is mismeasured Journal of Econometrics 73 1996 387-399
4. T. Erickson Restricting regression slopes in the errors-in-variables model by bounding the error correlation Econometrica 61 1993 959-969
5. T. Erickson T.M. Whited Measurement error and the relationship between investment and q Journal of Political Economy 108 2000 1027-1057
6. T. Erickson T.M. Whited Two-step GMM estimation of the errors-in-variables model using high-order moments Econometric Theory 18 2002 776-799
7. S. Fazzari R.G. Hubbard B.C. Petersen Financing constraints and corporate investment Brookings Papers on Economic Activity 1 1988 141-195
8. R. Frisch Statistical Confluence Analysis by Means of Complete Regression Systems 1934 University Institute of Economics Oslo, Norway
9. C. Gini Sull'interpolazione di una retta quando i valori della variabile indipendente sono affetti da errori accidentali Metroeconomica 1 1921 63-82
10. F. Hayashi T. Inoue The firm growth - q relationship with multiple capital goods: Theory and evidence from panel data on Japanese firms Econometrica 59 1991 731-754
11. C.A. Hennessy T.M. Whited Debt dynamics Journal of Finance 60 2005 1129-1165
12. R.G. Hubbard Capital market imperfections and investment Journal of Economic Literature 36 1998 193-238
13. S. Kaplan L. Zingales Do financing constraints explain why investment is correlated with cash flow? Quarterly Journal of Economics 112 1997 169-216
14. S. Klepper E.E. Leamer Consistent sets of estimates for regressions with errors in all variables Econometrica 52 1984 163-183
15. S. Klepper Bounding the effects of measurement error in regressions involving dichotomous variables Journal of Econometrics 37 1988 343-359
16. W.S. Krasker J.W. Pratt Bounding the effects of proxy variables on regression coefficients Econometrica 54 1986 641-655
17. E. Kroch Bounds on specification error arising from data problems Journal of Econometrics 37 1988 171-192
18. E.E. Leamer Errors in variables in linear systems Econometrica 55 1987 893-909
19. O. Lamont Cash flow and investment: Evidence from internal capital markets Journal of Finance 52 1997 83-109
20. T. Odean Do investors trade too much? American Economic Review 89 1999 1279-1298
21. R.G. Rajan L. Zingales What do we know about capital structure? Some evidence from international data Journal of Finance 50 1995 1421-1460
22. Rauh, J., Investment and financing constraints: Evidence from the funding of corporate pension plans, Journal of Finance, in press
23. H. White A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity Econometrica 48 1980 817-838
24. T.M. Whited Debt, liquidity constraints, and corporate investment: Evidence from panel data Journal of Finance 47 1992 1425-1460