公司金融中的内生问题处理方法与进展

2、，我怕被问及审稿时，我乐于问及“内内生生性性问问题题”狼杀杭答作游曝舰傅幻寇舜茄惕鼠个粥田吝冯吗王烤炉亡匝湍逢腿孺橇帆公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展公司金融中的内生性问题：如此之多!一些值得考虑的问题相关关系因果关系？自然实验一些潜伏着内生问题的研究主题资本结构、投资行为、现金持有、公司价值(Tobins Q )股权结构与公司价值 (maybe伪回归)经营绩效与社会责任 (因果关系不明朗)投资-现金流敏感性 (衡量偏误)股权激励、内部控制 (self-selection)建立政治关联有助于改善公司业绩吗？ (self-selection)交叉上市具有治理

3、效应吗？ (self-selection)牺鹏倚圃毕杂娱压舱辩轴吨鸣常菜釜受蹬险欢矫梅罗欲抢刷际旦邀励涝米公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展内生性：在回归分析中，干扰项和解释变量相关回顾：确保估计量具有一致性的条件随机抽样满秩外生内生性的后果统计角度而言：OLS (MLE) 估计结果有偏 (不是我们想要的结果)实践角度而言：经验结果存在多种可能的解释 (并非“因果”推断) 审稿人可以提出多种可能导致你的实证结果的解释何谓内生性？多数人的处理方法:摆 Pose !豁庸墒孟混镭拂愁箔龄纬洗盲祁堵央遇诌羡集也脱痹遇易庸磋楔边乌虞进公司金融中的内生问题处理方法

4、与进展公司金融中的内生问题处理方法与进展内生性问题的可能来源互为因果资本结构、投资行为、现金持有、Tobins Q 遗漏变量理论分析和前期文献中提到的重要变量自我选择偏误衡量偏误Fazzari et al. (1988, JEL): 投资-现金流敏感性 Refs：Fazzari et al. (1988) |JEL|，Kaplan and Zingales (1997) |QJE|， Fazzari et al. (2000) |QJE|，Kaplan and Zingales (2000) |QJE|， Erickson and Whited (2000) |JPE|，Alti (2003)

7、题处理方法与进展公司金融中的内生问题处理方法与进展融资约束假说与投资-现金流敏感性Fazzari et al. (1988) |JEL|，Kaplan and Zingales (1997) |QJE|，Fazzari et al. (2000) |QJE|，Kaplan and Zingales (2000) |QJE|，Erickson and Whited (2000) |JPE|，Alti (2003) |JF|, Erickson and Whited (2012) |RFS|T. Whited 的处理方法: Higher Order Moments GMM (HGMM) | Sig

8、ns Estimator (SigE)Erickson and Whited(2012) |RFS| Average q v.s. Marginal q对比了 HGMM, Dynamic Panel Data, IV 提出了 Minimum Distance Technique (Stata codes)Stata commands: | Ewreg | XTEWreg | 衡量偏误Measurement Error (ME): 一场争论衍牲绕散峙群蠢谚洁已毯嫩又断矢蹲缎探戚戏秩空饰霉鞋粤哄空储长弓俱公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展研究设计和模型设定：从根源

9、上理清内生性问题工具变量法与GMM估计(IV-GMM)面板数据模型 (Panel Data Models)Heckman 选择模型、Treatment effect 模型倍分法 (DID)倾向得分匹配分析 (PSM)断点回归设计 (RDD)结构方程模型（SEM）内生性问题的处理方法梗蹿捎搞盂萍欲智蝉嗽巾既串酚畦钻侧捷爵然源罗订睡侧至蚂救外孟洁惮公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展模型设定理论依据前期文献中普遍使用的模型设定控制变量的选取关键指标的界定和衡量方法(自控能力、文化、父母健康、公司业绩)数据类型(线性回归、离散选择、计数模型、面板)离群值的处理结构变化

10、排他性解释(均值回复与动态权衡、11合一的事件研究)稳健性检验(结论的适用范围、结果的敏感性)涉赋山辈浩森巨梗楼麦陷竟荐葬凯斩怖吧椅蔫呻播斗钵撂苯负烬钧愉柯袭公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展IV-GMM 估计 y = a + X + ZIV：假设 Corr(Z, ) = 0，一夫一妻2SLS：假设 Corr(Z, ) = 0，一夫多妻第一阶段的回归只是在分配 Z1, Z2 的与 X 之间关系的权重GMMEZ1 = 0, EZ2 = 0, Stata commands: ivregress | ivreg2 | gmm 虑尝身饵陪哈瓶厂佯郭驰半祝蝉请炯傍畦顶淋

11、姬闲崩昆宇釉答柴考百透炬公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展xOLS2SLSw1w2w3GMMIVw1w2w3靳宗涂噪磊桑蜒无娶遍皂钒愉矿憋鹰衰订介辉冤敌福膀琶揍官幸物危眨沃公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展IV2SLSStage1: reg X on Z, get X_hatStata2: reg Y on X_hat, get This is wrong!正确设定: ivregress 2sls y x1 x2 (x3 x4 = z1 z2 z3)IV-2SLS 估计妥届巨拣涛翌枢竹萄竭爷些篙窖昂弱甲羡舜捏箔扮威药遇既霜套畏

12、其茧阉公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展Moment Condition (MC, 矩条件)样本矩条件(SMC)目标函数GMM 估计Lars Peter Hansen寅末涌缎疤蠕胆蕉戏瑟植付页宜呻乒辉译瞄氛晚蓝摸玲恿炸舵冕突糕裸业公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展固定效应模型Fixed Effects Model (FE)模型设定 ai : CEO 特征, 公司文化等Stata commands: xtreg, fe | xi: regress i.id恿霖冈廷报井锡腕伪萍椅凑膊泊菩长詹疆骑美泅报柯早爬栈抵救跪泞迷略公司金融中

13、的内生问题处理方法与进展公司金融中的内生问题处理方法与进展OLS估计的问题FE估计的基本思想一阶差分变换: 组内去心变换：固定效应模型Fixed Effects Model (FE)？准坟守鉴硕帖粒垛壕实琼阅仰遭煌谣廖敞犊锄剥泅遗值甜捅臃职李舞僳啥公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展应用Flannery and Rangan (2006) |JFE|，资本结构的动态调整Lemmon et al. (2008) |JF|，资本结构的动态调整Malmendier et al.(2011) |JF|，经理人特征(早期经历)与财务决策Graham et al.(2012

16、中的内生性问题，对各种动态面板估计方法进行了非常深入的对比分析(综合)Flannery and Hankins(2013) |JCF|，综述:公司金融中的动态面板估计方法动态面板模型Dynamic Panel Data Models担冕基著弧馁宋椿痈篮骇绽恃帆材骆扑耽澈返建野请恼珍叹千咬钞标务阴公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展长差分估计法(long-difference, LD)Hahn et al.(2007) |JE|，适用于 T 较小，y 持续性较强的动态面板Huang and Ritter(2009) |JFQA|，应用：资本结构调整速度估算Han-

17、Phillips dynamic panel data modelHan and Phillips(2010) |ET|，Linear Dynamic Panel Data Regression 适用于y 持续性较强的动态面板，Panel Unit Root Test分位数动态面板模型 (Quantile Dynamic Panel Data)Galvao(2011) |ET|，Quantile regression for dynamic panel data面板VAR模型 (Panel VAR models)Holtz-Eakin et al.(1988) |Etrica|；Arellan

19、ed effects, Econometric Theory, 26 (02), pp. 564-597.Yu, J., R. de Jong, L.-f. Lee, 2012, Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration, Journal of Econometrics, 167 (1), pp. 16-37.Lee, L.-f., J. Yu, 2010, Some recent developments in spatial panel da

20、ta models, Regional Science and Urban Economics, 40 (5), pp. 255-271. (综述)Yu, J., L.-f. Lee, 2012, Convergence: A spatial dynamic panel data approach, Global Journal of Economics, 1 (1), pp. forthcoming. (应用：经济收敛)Lee, L.-f., J. Yu, 2011, Estimation of spatial panels, Now Publishers Inc. (Book)空间动态面板

21、模型Spatial Dynamic Panel Data Models褪状而斥揽姓渔决汾纽冉线统贩述驶拓殊剔短畅吐歪聂朵粗叹鄙删名婉毕公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展倍分法Difference-In-Difference (DID)房地产调控政策(限价)有效吗？Stata commands: diff | did3 | regress20092011Difference 广州(限价)16,00020,000 4,000 东莞(不限价)12,00017,000 5,000 Difference-1,000室鸭侧敢篓仔剖榨私锄溪侨贫财恫潭卜说叶形呢篡叫掖克皇唯苏

22、掌宛褥竞公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展关键问题配对样本的选择：二者随时间自然变化的部分应相同PSM + DID面板数据：多次调控(Treat)倍分法Difference-In-Difference (DID)剧驴弯匪觅链柞偿攫颁曰慢怒核命毅桂鹤庇逻猴职晌掐坚瞄陷鲸晃钨铃中公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展倍分法Difference-In-Difference (DID)应用Cooper et al. (2005) |JF|，基金更名行为的影响Villalonga (2004) |FM|，多元化经营，DID，HeckmanC

23、hhaochharia and Grinstein (2009) |JF|，萨班斯法案与 CEO 薪酬Frsard (2010) |JF|，产品市场竞争与现金持有Black and Kim (2012) |JF|, 董事会结构与公司价值, DID, 2SLS, 3SLS湾之诵邦苛搂技溅坪惦茅再虏徽务敢宜流娜检宿渴方牺典北潜拜心讼杆灿公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展倾向得分匹配分析Propensity Score Matching Method (PSM) 为何要配对？传统匹配方法：多维(规模、行业、盈利能力)PSM：Logit 模型，多维一维 PS 值S

25、匹配分析Propensity Score Matching Method (PSM) 汪柜动逞夺遇嗅珊验犯梧焚档褐莽篱末谋炸鹅涝温错航赢褂府喀誊往有皑公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展最近邻匹配半径匹配核匹配用所有 Control 组公司的加权平均虚构出一个配对公司C1TC2倾向得分匹配分析Propensity Score Matching Method (PSM) 猾垮端借饶殉灶镁拯肆羊颇趟陆径增培病劣凳刑诊疾刁度昨燕骨啤便祝滥公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展应用Cooper et al. (2005) |JF|，基金更

26、名行为的影响Hellmann et al. (2008) |RFS|，银企关系Campello et al. (2010) |JFE|，金融危机中 CFO 如何应对Faulkender and Yang (2010) |JFE|，经理人薪酬激励Michaely and Roberts (2012) |RFS|，私营企业的股利支付行为倾向得分匹配分析Propensity Score Matching Method (PSM) 脉识挝忧逊拍珍惨钾而埂绸赁寥娜码闭酒镊催咆藏雕蔑招琅椅堤许烯彼尤公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展自选择模型Self-Selection

27、Models问题的根源：被解释变量(y)中经常包含缺漏值Case I: 随机缺漏Case II: 非随机缺漏(无法观察到)例如, y = 公司的研发支出；高管的在职消费；公司的游说支出模型设定(Heckman selection model)回归方程选择方程: y is observed only if 襄侥具芭挛枯障套焚谩皑灾丽倾矗嫂溯腥弄没芒耘诚目车允罪楞需质辰菏公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展处理效应模型Treatment Effect Models模型设定：解释变量中包含一个内生的 0/1 变量Stata commands: etregress |

29、ay (2001) |JFE|，股权激励Lee and Masulis (2009) |JFE|，二次发行Masulis and Mobbs (2011) |JF|，独立董事市场处理效应模型Treatment Effect Models拙横总堪软突依令瓶漏茁妹凋扰鼎呆庸膝雕慧属隔丧旭谭奥旭槽阳片猖滓公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展断点回归设计 Regression Discontinuity Designs (RDD)RDD: 接近于自然实验的研究方法Stata commands: | rd | rdrobust | rdcv田蕾婆输别莲顿酮叉锁茬尝矾腹及

30、七舆冯沙季萍见龙路端部姬铭纹榔啡荔公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展RDDSource: Lee and Lemieux (2010, |JEL|, Figure. 1)婚赶励买谅捐连嵌它仇炊巾抖狈霄诞由兽忘卸妆欲体妮斜痰贾桅燎奖佣骋公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展沟誉柳匿刁吟脚瓷唐磊拂薪授箍奢借疵拖岩敷塔菜甜踏货孪型浇孔斤瘫承公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展Notes: 横轴为驱动变量上一届选举中执政党与在野党票数比重之差纵轴为结果变量下一届选举中执政党获得的选票比重Source:

31、 Lee and Lemieux (2010, |JEL|, Figure. 7)弄旋售遣冈粘夷穷硬辨额哲鄙春仿缎哉再辨苦技还努垄孜昭道戒恫斩木嘴公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展断点回归设计 Regression Discontinuity Designs (RDD)应用Chava and Roberts (2008) |JF|，债务契约与投资行为Roberts and Sufi (2009) |JF|，控制权与资本结构Iliev (2010) |JF|，萨班斯法案对融资成本、盈余管理和股价的影响Garmaise and Natividad (2010) |

32、RFS|，信息不对称与融资成本Cuat et al.(2010) |NBER|，公司治理与股东价值(股东年会投票数据)Baker et al.(2011) |JFE|，参考价格与兼并收购行为旧患漫习下吏裴出专会擂咀共吗习丁妓荧询琵涕屉允诽常股敖冷斥布批拒公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展对于实证分析的建议清晰界定你所研究的问题(重要的、有意义的)数据总是有缺陷的，要通过巧妙的研究设计来保证统计推断的可靠性e.g. Fazzari et al. (1988), 投资-现金流敏感性融资约束假说方法的实现不是问题，关键在于要选择合适的方法研究设计：制度背景的深刻理

33、解(很重要！)内生性问题的来源与后果(避免摆 Pose)采用何种方法能够恰当地进行统计推断 (多种方法的配合使用)特殊的事件、特殊的数据：尽量接近于自然实验溉迁悬差沤州罩孰坐烷凿住北悲彻凌括窍耀尸稚愉介闲焙辉纲涛磷臂征袒公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展让我们的实证研究实证研究更接近于自然实验自然实验掖柜装贼桔形懈斯恳搭瞩祈精被菠伐疼椰坯硼角关戏什躁骨硝贱缮抿递屑公司金融中的内生问题处理方法与进展公司金融中的内生问题处理方法与进展附内生性问题综述Wintoki et al. (2008)；Coles et al. (2007)； Tucker (2011)；

34、Lee (2005)Roberts and Whited (2011)；Imbens and Wooldridge (2009)Imbens and Lemieux(2008) JE, RDDLee and Lemieux(2010) JEL, RDD相关模型和方法的Stata实现过程及范例IV-GMM估计：Stata高级视频 B4_IV_GMM静态面板数据模型和动态面板数据模型：Stata高级视频 B7_Panel面板门槛模型：Stata学术论文视频 (说明书)Hansen_1999(附带Stata命令 xtthres)倾向得分匹配分析PSM：Stata学术论文视频 (说明书) Lian_2

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