计量经济学
残余物
学生化残差
省略变量偏差
普通最小二乘法
变量(数学)
震级(天文学)
统计
数学
增加物
工具变量
标准误差
经济
会计
收益
数学分析
物理
算法
天文
作者
Wei Chen,Paul Hribar,Samuel Melessa
标识
DOI:10.1111/1475-679x.12195
摘要
ABSTRACT We analyze a procedure common in empirical accounting and finance research where researchers use ordinary least squares to decompose a dependent variable into its predicted and residual components and use the residuals as the dependent variable in a second regression. This two‐step procedure is used to examine determinants of constructs such as discretionary accruals, real activities management, discretionary book‐tax differences, and abnormal investment. We show that the typical implementation of this procedure generates biased coefficients and standard errors that can lead to incorrect inferences, with both Type I and Type II errors. We further show that the magnitude of the bias in coefficients and standard errors is a function of the correlations between model regressors. We illustrate the potential magnitude of the bias in accounting research in four commonly used settings. Our results indicate significant bias in many of these settings. We offer three solutions to avoid the bias.
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