F. Javier Sánchez Vidal () (Universidad Politécnica de Cartagena)
Abstract
Inferences about the coefficient values of a model estimated with a linear regression cannot be made when both the dependent and the independent variable are part of an accounting (semi) identity. The coefficients will no longer indicate a causal relation as they must adapt to satisfy the identity. A good example is an investment-cash flow sensitivity model. Este trabajo habla de la imposibilidad de extraer conclusiones sobre el valor de los coeficientes de un modelo de regresión lineal que intenta estimar una relación causal, cuando tanto la variable dependiente como la variable independiente forman parte de una (semi) identidad contable. Los coeficientes no sirven para explicar la relación causal, ya que su valor se adaptará para cumplir la identidad. Como ejemplo ilustrativo se presenta el modelo de la sensibilidad de la inversión al cash-flow.
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Publisher Info
Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number
2007-06.
Find related papers by JEL classification: G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure B4 - Schools of Economic Thought and Methodology - - Economic Methodology
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