16 junho 2015

Endogeneidade em pesquisas de contabilidade e finanças

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.

Gippel, J., Smith, T. and Zhu, Y. (2015), Endogeneity in Accounting and Finance Research: Natural Experiments as a State-of-the-Art Solution. Abacus, 51: 143–168. doi: 10.1111/abac.12048

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