The effect of neglecting the slope parameters' heterogeneity on dynamic models of corporate capital structure

DOI10.1080/14697688.2011.572903zbMATH Open1279.91176OpenAlexW1964468144MaRDI QIDQ5745642FDOQ5745642

Authors: Maria Elena Bontempi, Roberto Golinelli 

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.572903

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zbMATH Keywords

time series analysiscorporate financeheterogeneity of agents

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• Another look at the instrumental variable estimation of error-components models
• Formulation and estimation of dynamic models using panel data
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Initial conditions and moment restrictions in dynamic panel data models
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• A PANIC attack on unit roots and cointegration.
• Estimating long-run relationships from dynamic heterogeneous panels
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Automatic Lag Selection in Covariance Matrix Estimation
• Generalizations of the KPSS‐test for stationarity
• Efficient Tests for an Autoregressive Unit Root
• Testing for unit roots with stationary covariates
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Testing for stationarity in heterogeneous panel data
• On the power and interpretation of panel unit root tests

Cited In (3)

• Asymmetric peer effects in capital structure dynamics
• Earnings mean reversion and dynamic optimal capital structure
• The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach

Uses Software

• Stata
• xtabond2

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