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1、CHAPTER7EndogeneityinEmpiricalCorporateFinance1MichaelR.RobertsaandToniM.WhitedbaFinanceDepartment,TheWhartonSchool,UniversityofPennsylvaniaandNBER,Philadelphia,PA19104-6367,USAbSimonGraduateSchoolofBusiness,UniversityofRochester,Rochester,NY14627,USAContents1
2、.Introduction4942.TheCausesandConsequencesofEndogeneity4962.1RegressionFramework4972.1.1OmittedVariables4982.1.2Simultaneity4992.1.3MeasurementError5012.1.4MeasurementErrorintheDependentVariable5012.1.5MeasurementErrorintheIndependentVariable5022.2PotentialOut
3、comesandTreatmentEffects5042.2.1NotationandFramework5052.2.2AnExample5082.2.3TheLinktoRegressionandEndogeneity5092.2.4HeterogeneousEffects5102.3IdentifyingandDiscussingtheEndogeneityProblem5113.InstrumentalVariables5113.1WhatAreValidInstruments?5113.2Estimatio
4、n5133.3WhereDoValidInstrumentsComeFrom?SomeExamples5143.4SoCalledTestsofInstrumentValidity5153.5TheProblemofWeakInstruments5163.6LaggedInstruments5173.7LimitationsofInstrumentalVariables5184.Difference-in-DifferencesEstimators5204.1SingleCross-SectionalDiffere
5、ncesAfterTreatment5204.2SingleTime-SeriesDifferenceBeforeandAfterTreatment5214.3DoubleDifferenceEstimator:Difference-in-Differences(DD)5234.3.1RevisitingtheSingleDifferenceEstimators5251Wethanktheeditors,GeorgeConstantinides,MiltHarris,andReneStulzforcommentsa
6、ndsugges-tions.WealsothankDonBowen,MurrayFrank,JacquelynGillette,ToddGormley,MancyLuo,AndrewMackinlay,PhillipSchnabl,KenSingleton,RobertoWessels,ShanZhao,HeqingZhu,thestudentsofFinance926attheWhartonSchool,andthestudentsofFinance534attheSimonSchoolforhelpfulco
7、mmentsandsuggestions.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-453594-8.00007-0Allrightsreserved.493494MichaelR.RobertsandToniM.Whited4.3.2ModelExtensions5264.3.3TheKeyIdentifyingAssumptionforDD5264.4CheckingInternalVa
8、lidity5294.5FurtherReading5315.RegressionDiscontinuityDesign5315.1SharpRDD5335.1.1IdentifyingTreatmentEffects5335.2FuzzyRDD5365.2.1IdentifyingTreatmentEffects5375.3GraphicalAnalysi
