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Impacts of measurement errors on simultaneous equation estimation of dividend and investment decisions. (English) Zbl 1454.91356

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4001-4023 (2021).
Summary: This chapter analyzes the errors-in-variables problems in a simultaneous equation estimation in dividend and investment decisions. We first investigate the effects of measurement errors in exogenous variables on the estimation of a just-identified or an over-identified simultaneous equations system. The impacts of measurement errors on the estimation of structural parameters are discussed. Moreover, we use a simultaneous system in terms of dividend and investment policies to illustrate how theoretically the unknown variance of measurement errors can be identified by the over-identified information. Finally, we summarize the findings.
For the entire collection see [Zbl 1446.91004].

MSC:

91G50 Corporate finance (dividends, real options, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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