A1791
Title: Dynamic panel analysis of market debt ratios
Authors: Charles Saunders - University of Western Ontario (Canada) [presenting]
Lynda Khalaf - Carleton (Canada)
Marie-Claude Beaulieu - Universite Laval (Canada)
Abstract: Interest in dynamic panel data models for market debt ratios have emerged in recent years. The robustness of several methods to some common problems that affect standard estimators is examined. We first extend available results on the GMM estimator by applying recently proposed alternative methods. These include indirect inference, GMM approach, and X-differencing. The coverage of the confidence intervals for the various methods is also surveyed, including the Monte Carlo inversion approach to construct exact confidence sets.
