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Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt

Chalak, Karim; Kim, Daniel
Journal article, Peer reviewed
Submitted version
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Available_from_2021-08-30 (Locked)
URI
http://hdl.handle.net/11250/2621074
Date
2019
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  • Publikasjoner fra CRIStin - BI [630]
  • Scientific articles [1334]
Original version
Chalak, K., & Kim, D. (2019). Measurement error in multiple equations: Tobin’sq and corporate investment, saving, and debt. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2019.08.001   10.1016/j.jeconom.2019.08.001
Abstract
We characterize the sharp identification regions for the coefficients in a system of linear equations that share an explanatory variable measured with classical error. We demonstrate the identification gain from analyzing the equations jointly. We derive the sharp identification regions under any configuration of three auxiliary assumptions. These restrict the “noise-to-signal” ratio, the coefficients of determination, and the signs of the correlations among the cross-equation disturbances. For inference, we implement results on intersection bounds. The application studies the effects of cash flow on the investment, saving, and debt of firms when Tobin’s q serves as a proxy for marginal q.
Journal
Journal of Econometrics

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