Estimating dynamic panel models in corporate finance

Ahn, 1995, Efficient estimation of models for dynamic panel data, J. Econometrics, 68, 5, 10.1016/0304-4076(94)01641-C

Andres, 2009, Dividend policy of German firms: a panel data analysis of partial adjustment models, J. Empir. Financ., 16, 175, 10.1016/j.jempfin.2008.08.002

Arellano, 1991, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Rev. Econ. Stud., 58, 277, 10.2307/2297968

Arellano, 1995, Another look at the instrumental variable estimation of error-components models, J. Econometrics, 68, 29, 10.1016/0304-4076(94)01642-D

Baltagi, 2008

Blundell, 1998, Initial conditions and moment restrictions in dynamic panel data models, J. Econometrics, 87, 115, 10.1016/S0304-4076(98)00009-8

Bond, 2002, Dynamic panel data models: a guide to micro data methods and practice, practice, Port. Econ. J., 1, 141, 10.1007/s10258-002-0009-9

Bond, 1994, Dynamic investment models and the firm's financial policy, Rev. Econ. Stud., 61, 197, 10.2307/2297978

Bond, 2003, Financial factors and investment in Belgium, France, Germany, and the United Kingdom: a comparison using company panel data, Rev. Econ. Stat., 85, 153, 10.1162/003465303762687776

Bound, 1995, Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak, J. Am. Stat. Assoc., 90, 443

Bruno, 2005, Approximating the bias of the LSDV estimator for dynamic unbalanced panel data model, Econ. Lett., 87, 361, 10.1016/j.econlet.2005.01.005

Chang, 2009, Target behavior and financing: how conclusive is the evidence?, J. Financ., 64, 1767, 10.1111/j.1540-6261.2009.01479.x

Dittmar, 2010, The Dynamics of Cash

Elsas

Fama, 1997, Industry costs of equity, J. Financ. Econ., 43, 153, 10.1016/S0304-405X(96)00896-3

Fama, 2002, Testing trade-off and pecking order theories of capital structure, Rev. Financ. Stud., 15, 1, 10.1093/rfs/15.1.1

Faulkender, 2012, Cash flows and leverage adjustments, J. Financ. Econ., 103, 632, 10.1016/j.jfineco.2011.10.013

Fischer, 1989, Dynamic capital structure choice: theory and tests, J. Financ., 44, 19, 10.1111/j.1540-6261.1989.tb02402.x

Flannery, 2006, Partial adjustment toward target capital, J. Financ. Econ., 41, 41

Frank, 2009, Capital structure decisions: which factors are reliably important?, Financ. Manage., 38, 1, 10.1111/j.1755-053X.2009.01026.x

Gormley, 2012, Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Griliches, 1986, Errors in variables in panel data, J. Econometrics, 31, 93, 10.1016/0304-4076(86)90058-8

Hahn, 2007, Long difference instrumental variables estimation for dynamic panel models with fixed effects, J. Econometrics, 140, 574, 10.1016/j.jeconom.2006.07.005

Hausman, 1983, Identification in linear simultaneous equations models with covariance restrictions: an instrumental variables interpretation, Econometrica, 51, 1527, 10.2307/1912288

Hovakimian, 2011, In search of conclusive evidence: how to test for adjustment to target capital structure, J. Corp. Financ., 17, 33, 10.1016/j.jcorpfin.2010.07.004

Huang, 2009, Testing theories of capital structure and estimating speed of adjustment, J. Financ. Quant. Anal., 44, 237, 10.1017/S0022109009090152

Iliev, 2010, Reconciling Estimates of the Speed of Adjustment of Leverage Ratios

Judson, 1999, Estimating dynamic panel data models: a guide for macroeconomists, Econ. Lett., 65, 9, 10.1016/S0165-1765(99)00130-5

Kiviet, 1995, On bias, inconsistency, and efficiency of various estimators in dynamic panel data models, J. Econometrics, 68, 53, 10.1016/0304-4076(94)01643-E

Lemmon, 2008, Back to the beginning: persistence and the cross-section of corporate capital structure, J. Financ., 63, 1575, 10.1111/j.1540-6261.2008.01369.x

Loudermilk, 2007, Estimation of fractional dependent variables in dynamic panel data models with an application to firm dividend policy, J. Bus. Econ. Stat., 25, 462, 10.1198/073500107000000098

Machin, 1993, Profit margins and the business cycle: evidence from UK manufacturing firms, J. Ind. Econ., 41, 29, 10.2307/2950616

MacKay, 2005, How does industry affect firm financial structure?, Rev. Financ. Stud., 18, 1433, 10.1093/rfs/hhi032

Nelson, 1990, The distribution of the instrumental variables estimator and its t-ratio when the instrument is a poor one, J. Bus., 63, 125, 10.1086/296497

Nerlove, 1967, Experimental evidence on the estimation of dynamic economic relations from a time series of cross sections, Econ. Stud. Quart., 18, 42

Nickell, 1981, Biases in dynamic models with fixed effects, Econometrica, 49, 1417, 10.2307/1911408

Ozkan, 2000, An empirical analysis of corporate debt maturity structure, Eur. Financ. Manage., 6, 197, 10.1111/1468-036X.00120

Papke, 2008, Panel data methods for fractional response variables with an application to test pass rates, J. Econometrics, 145, 121, 10.1016/j.jeconom.2008.05.009

Petersen, 2009, Estimating standard errors in finance panel data sets: comparing approaches, Rev. Financ. Stud., 22, 435, 10.1093/rfs/hhn053

Roberts, 2011, Endogeneity in empirical corporate finance

Welch, 2004, Capital structure and stock returns, J. Polit. Econ., 11, 106, 10.1086/379933

Wintoki, 2012, Endogeneity and the dynamics of internal corporate governance, J. Finan. Econ., 105, 581, 10.1016/j.jfineco.2012.03.005

Wooldridge, 2009