8th Nov, 2015

IISWBM; ResearchGate RHMHM Sch

Question

Asked 4th Nov, 2015

Hello, I am using the Euler investment model on a panel of firm level data. My question is about identifying the predetermined and endogenous variables in the model since I am using system GMM for estimation. Independent vars I am considering are (lagged dep var, lagged squared dep var, cash flow to capital stock, sales to capital stock, debt to capital stock).

Many thanks for help

**Get help with your research**

Join ResearchGate to ask questions, get input, and advance your work.

Dear Ahmad,

The problem you are asking about is not as easy as it sounds. You can take a look at some of my papers on the RG webpage particularly the ones on Mathematical Statistical Stock Market pricing in emerging economies and the String Theoretic paper on Political Environment. It shows that simultaneous equations of DGE cannot be estimated by using GMM on panel data with Stock Markets unless you use Systems Classification and Systems Integration with a factor structure for Stock Market Asset Returns. The Euler equations are not equipped enough to handle this. So it seems to me you have to use structural models even if you use the GMM method. I hope this is of some help. SKM QC FEPS

Article

Full-text available

- May 2020

Based upon my experience in research, teaching, writing textbooks, and editing handbooks and journals, this review paper discusses how financial econometrics, mathematics, statistics, and financial technology can be used in research and teaching for students majoring in quantitative finance. A major portion of this paper discusses essential content...

Article

- Feb 2013

Estimating and assessing the risk of a large portfolio is an important topic
in financial econometrics and risk management. The risk is often estimated by a
substitution of a good estimator of the volatility matrix. However, the
accuracy of such a risk estimator for large portfolios is largely unknown, and
a simple inequality in the previous litera...

Chapter

Full-text available

- Jan 2007

Corporate governance and its regulation are continuing concerns in modern market economies. Nonetheless the salience of these issues varies – conjuncturally according to the incidence of scandals at the level of the rm or sector and structurally with the outbreak of crises in the overall design and implementation of corporate governance regimes and...

Get high-quality answers from experts.