IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-38867-0_31.html
   My bibliography  Save this book chapter

Application of Simultaneous Equation in Finance Research: Methods and Empirical Results

In: Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses

Author

Listed:
  • Cheng-Few Lee

    (Rutgers University, Department of Finance)

  • John Lee

    (Center for PBBEF Research)

  • Jow-Ran Chang

    (National Tsing Hua University, Department of Quantitative Finance)

  • Tzu Tai

    (Mezocliq, LLC)

Abstract

Based upon the paper by Chen and Lee (2010) and Lee et al. (2015), we will first discuss the development of 2SLS, 3SLS, and generalized method of moments (GMM). Then, we will use GE as an example to show how SAS program can be used to estimate simultaneous equations system in terms of 2SLS, 3SLS, and GMM. In the second section, we will develop the model specification for 2SLS, 3SLS, and GMM. In the third section, we will discuss the simultaneous equation system for investment policy, financing policy, and dividend policy. In the fourth section, we will use GE data to show how simultaneous equation system can be estimated by 2SLS, 3SLS, and GMM in terms of SAS program. The GE data is presented in Appendix 1. The SAS program used to estimate these different methods will be presented in Appendix 2. Finally, in the fifth section, we summarize the results.

Suggested Citation

  • Cheng-Few Lee & John Lee & Jow-Ran Chang & Tzu Tai, 2016. "Application of Simultaneous Equation in Finance Research: Methods and Empirical Results," Springer Books, in: Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses, chapter 0, pages 969-991, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-38867-0_31
    DOI: 10.1007/978-3-319-38867-0_31
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-38867-0_31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.