Endogeneity and Fruit Vegetable Demand in the Philippines

서동주(Tongjoo Suh),김태후(Taehoo Kim) 한국농식품정책학회 2021 농업경영정책연구 Vol.48 No.2

In this paper, QUAIDS analysis was carried out to examine the demand system of vegetables in the Philippines, with casting light on the endogenous issues for a more rigorous discussion. As a result of comparing the model controlling for the endogeneity and the model without controlling for the endogeneity, the percent difference between elasticities of two models was shown up to 187%. This result suggests that price and expenditure endogeneities have a significant influence on estimates in the demand system, and the result implies that this may lead to inconsistent estimates when demand analysis does not control for endogeneity.

농산물 직거래에 대한 농촌관광의 효과 - 농촌관광의 내생성 검증을 중심으로 -

박상곤,박석희 한국관광학회 2011 관광학연구 Vol.35 No.2

This study analyzed the relationship between rural-tourism and farm-to- consumer direct transaction using the survey data of 36,989 responses obtained from the 2009 Social Statistics Survey. Previous literature examined the determinants of farm-to-consumer direct transaction, and pointed out that the rural- tourism might suffer from the endogeneity problem. If there is endogeneity in rural-tourism as explanatory variables, the effects of rural- tourism on farm-to-consumer direct transaction may be insignificant or the estimates may be wrong-signed. To solve this problem, this study employed the endogenous switch probit model. With this model, this study tested whether the rural-tourism was endogenous. Results of this study showed consistent estimates for the effects of rural-tourism on farm-to-consumer direct transaction. Results also indicated that on average, the rural-tourism increased the farm-to-consumer direct transaction by 17.4%. This suggests that rural-tourism does not suffer from the endogeneity problem. 이 연구는 2009년 사회통계조사 응답자 36,989명의 응답결과를 이용하여 농촌관광과 농산물 직거래에 대한 관계를 분석하였다. 이 주제에 대한 직접적인 연구가 없는 사항에서 기존 관련 연구들의 암묵적 논의는 농산물직거래에 대한 결정요인으로 으로써 농촌관광이 핵심 변수 중 하나라는 점이다. 그러나 농촌관광이 농산물에 대한 효과 추정에 있어 가장 큰 걸림돌은 농촌관광의 내생성에 기인한다. 만약 설명변수로써 농촌관광이 내생적이라면 농산물 직거래에 대한 농촌관광의 효과 추정치는 일치추정치도 아니며 그 부호의 방향마저 바뀔 수 있다. 이 문제를 해결하기 위해 이 연구는 내생전환 프로빗 모형을 적용하여 농촌관광의 내생성 문제를 검증한 후 농촌관광이 농산물에 대한 일치 추정량을 구하였다. 실증분석 결과는 첫째, 농촌관광의 내생성은 존재하지 않는 것으로 나타났고, 둘째, 평균적으로 농촌관광은 농산물 직거래를 17.4% 증가시키는 것으로 나타났다.

비감사서비스가 감사품질, 감사보수 및 감사시간에 미치는 영향

김범석(Edward Kim),장지인(Jee In Jang),정준희(Joon hei Cheung) 한국경영학회 2016 經營學硏究 Vol.45 No.2

This paper investigates whether there is an endogeneity between companies which receive non-audit services and other companies which do not receive non-audit services from their auditors. After controlling the endogeneity, this paper also examines the relationship between non-audit services and audit quality, audit fee, and audit hours using pre-post comparative approach. In addition, to test empirical results, two statistical methods, propensity score matching model and Heckman selection model were used to control the endogeneity in different way. The main findings are as follows; First, when comparing absolute value of discretionary accruals, real activities manipulation, audit fee, and audit hours between companies which receive non-audit services and other companies which do not receive non-audit services, it was found that the endogeneity makes significant differences. This finding suggests that results from previous studies might be biased because of the endogeneity. Second, when comparing two periods of the same companies using pre-post comparative approach, the period that companies receive non-audit services and the previous period that the companies did not receive non-audit services, no significant differences were found in audit fee and audit hours between the two periods. However, with a propensity score matching model and Heckman selection model, there were significant differences, showing that companies which receive non-audit services have larger audit fee and higher audit hours. Therefore, it is critical to pay attention to control the endogeneity when examining empirical research. Our findings provide an important implications to not only academic researchers but also auditors, investors, practitioners, and regulators who are interested in audit quality and Non-audit Services. Also, academics can also apply the discussion in this paper for related researches.

국내 가족기업의 가족지분율과 기업성과와의 관계

최성섭,이미영 한국상업교육학회 2017 상업교육연구 Vol.31 No.4

Morck et. al.(1988)로부터 시작된 많은 연구는 경영성과와 지분율 사이의 비선형 관계를 관찰했으나 이런 연구들의 공통적인 통계적 문제점은 내생성(endogeneity) 문제를 제대로 다루지 않았다는 점이다. Himmelberg et al.(1999)은 패널모형을 활용 경영성과와 지분율 사이의 내생성 문제를 해결할 수 있는 도구변수추정(Instrument Variables Estimation) 모형을 사용, 이 내생성 문제를 해결할 경우 미국자료에선 기존 경영성과와 지분율 사이의 비선형 관계는 사라지는 것으로 보고하고 있다. 본 논문은 Himmelberg et al.(1999)과 같은 패널모형을 활용했을 뿐 아니라, 동시에 경영성과와 지분율 사이의 내생성 문제를 해결할 수 있는 도구변수추정(Instrument Variables Estimation) 모형을 사용 과연 국내 자료에서도 내생성 문제를 고려했을 때 경영성과와 지분율 사이에 존재하는 비선형 구조가 사라지는지를 검토했다. 경영성과로는 기존문헌에서 제일 많이 사용되는 Tobin’s Q와 함께, EBIT와 EBITDA로 나타나는 자산대비 영업이익률을 사용했고, 실증분석의 대상이 되는 자료는 2011년부터 2014년까지 총 424개 가족기업의 4년간 자료다. 분석 대상기간 중 가족기업의 성격이나 산업별 분류가 바뀐 기업이 거의 없어, 패널모형으로는 이분산 효과를 고려한 GLS(일반화최소자승법) 임의효과(Random Effects)모형을 사용했으며, 강건성(Robustness) 보완을 위해 대안적 모형인 Pooled OLS(보통최소자승법) 모형을 동시에 사용했다. 임의효과 패널모형이건 Pooled OLS 모형이건, 산업별 업종 더미를 사용했건 사용하지 않았건 간에, 국내 가족기업의 경영성과와 지분율 사이에는 확연한 비선형구조가 있음을 발견했다. 본 논문은 추가로 지분율의 내생성 문제 해결을 위해 도구변수로 변동성, 그리고 기업연수도 추가로 도구변수로 활용한 2SLS 도구변수 추정을 했고, 그 결과 국내에서의 경영성과와 지분율 사이의 비선형구조는 여전히 존재하고 있음을 발견했다. 이는 내생성문제를 고려했을 때 비선형구조가 사라지는 미국의 경우와 대조된다. Although there have been many studies about the non-linear relationship between performance and ownership since Morck et al.(1988), the common statistical problem has been the fact that they haven’t dealt with the problem of endogeneity. Using panel data of American companies, Himmelberg et al.(1999) applied 2SLS instrumental variable estimation approach in order to handle the endogeneity problem, and found that the non-linear relationship between performance and ownership disappeared. Being motivated, we used the panel data of Korean family companies, applied the same 2SLS instrumental variable estimation approach in order to handle the endogeneity problem, and investigated whether the non-linear relationship between performance and ownership still exists or disappears in terms of Korean family company data. We used Tobin’s Q, EBIT/Asset, EBITDA/Asset to measure performance, and the data spans from year 2011 to year 2014, which generates 4 years of 424 Korean family firms. Since most of family firms investigated did not change their nature of business and the industry code, in terms of panel model, we had to used GLS random effect model instead of fixed effect model, and further added the results of pooled OLS to make our results robust. Whether panel model or pooled OLS, and whether we used the industry dummy or not, we found a very distinct non-linear relationship between performance and ownership. Moreover, in order to handle the endogeneity problem, we applied the 2SLS instrumental variable estimation approach, and found that the non-linear relationship still exists in between Korean family firm’s performance and its ownership. This result contrasts with the American result where the non-linear relationship disappeared as they started dealing with the problem of endogeniety.

IV Estimation in the Presence of Serially Correlated Regressors and Disturbance Terms

김창진,김동근,양근혜 한국계량경제학회 2009 계량경제학보 Vol.20 No.3

We present a unified framework to solve the endogeneity problem in time-series regression models with serially a correlated disturbance term with ARMA(p,q) dynamics. Our focus is on the case in which lagged regressors are used as instrumental variables. The control function approach provides us with the solution to the problem. Besides, it provides us with an easy method for testing for endogeneity. Our Monte Carlo experiments confirm that the proposed two-step estimation procedure and the proposed test of endogeneity perform well for a sample size as small as 250.

IV Estimation in the Presence of Serially Correlated Regressors and Disturbance Terms

Chang-Jin Kim,Donggeun Kim,Geun-Hye Yang THE KOREAN ECONOMIC SOCIETY 2009 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.20 No.3

We present a unified framework to solve the endogeneity problem in time-series regression models with serially a correlated disturbance term with ARMA(p,q) dynamics. Our focus is on the case in which lagged regressors are used as instrumental variables. The control function approach provides us with the solution to the problem. Besides, it provides us with an easy method for testing for endogeneity. Our Monte Carlo experiments confirm that the proposed two-step estimation procedure and the proposed test of endogeneity perform well for a sample size as small as 250.

소비자들의 품질 인식에 대한 오추정과 기업의 동태적 마케팅 전략을 고려한 수요-공급 연립방정식 모형

김동수 한국마케팅관리학회 2023 마케팅관리연구 Vol.28 No.4

Product quality is an important factor for consumers’ decision making. Consumers’ product-quality perception may differ from firms’ conventional wisdom, which leads the firms to lose a chance to have more profits or have losses. Especially for new products, firms’ misestimation of consumers’ quality perception often happens due to a lack of past data of actual market responses. The firms quickly update their inference on consumers’ quality perception and modify their marketing strategies in such cases, based on test-market data or initial market responses. Such dynamic marketing strategy may lead to endogeneity and biased estimates of the coefficients of strategic variables such as prices in demand models. This paper suggests a simultaneous equation model of demand and supply incorporating the misestimation of consumers’ quality perception and firms’ dynamic marketing strategy as a method to control for endogeneity. We apply the proposed model to the box-office data of Korean movie market and find that the misestimation and resulting endogeneity exist.

화폐 내생성과 유동성 선호 : 화폐적 생산이론과의 조화

조복현(Cho, Bok-Hyun) 한국사회경제학회 2019 사회경제평론 Vol.32 No.3

케인스의 화폐적 생산이론에서 유동성 선호는 미래의 불확실성에 대한 대응으로서 화폐이자율을 결정한다. 그러나 이것이 포스트 케인지언 이론에서 논의되고 있는 화폐내생성과 대립되는 것은 아니다. 유동성 선호에 의해 결정된 이자율은 투자의사 결정에 영향을 미치기는 하지만, 투자자금의 조달 변화로부터는 영향을 받지 않기 때문이다. 투자자금의 조달은 은행에 의 해, 이미 유동성 선호에 의해 결정된 이자율 수준에서, 자기 청산될 수 있는 플로우로서의 순환자금으로 공급된다. 이와 같은 화폐내생성과 유동성 선호의 이해는 케인스가 말하는 화폐· 기업가 경제에서의 불완전 고용과 불안정한 국민소득의 변화를 잘 설명할 수 있게 해준다. 화폐는 불확실한 미래에 대한 대응수단이 되며, 유동성 선호에 의해 결정된 이자율은 투자의 계획에 영향을 미친다. 은행도 그 자신의 판단하에 투자자금의 조달에 영향을 미친다. 이러한 경제에서 유동성 선호와 화 폐공급내생성은 불완전 고용과 불안정한 국민소득을 낳게 한다. Liquidity preference, which means the demand for money as a means of the store of value to respond to uncertainty, is a necessary determinant of interest rates in the monetary theory of production. But this is not incompatible with the money endogeneity. Interest rates determined by liquidity preference affect investment decisions, but not is affected by the demand of investment finance. Finance of investment is supplied by the bank through revolving fund, which not be constrained by ex ante savings. This interpretation of the monetary endogeneity and the liquidity preferences can explain the general existence of underemployment and the instability of national income. If money serves as a response to the uncertain future and interest rates are determined by liquidity preferences, they would influence the decision of investment. Banks also could influence the funding of investment. In these economies, liquidity preference and money endogeneity are very important determinants of unemployment and unstable national income.

The Hierarchy of Dividends and Investment Decisions with Discretionary Accruals

한국재무학회 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.09

I examine whether dividend policy affects investment decisions through two-stage regressions with diagnostic analyses sufficient to highlight endogeneity. Contrary to Miller and Modigliani [1961, Dividend policy, growth, and the valuation of shares, Journal of Business 34, 411-433], neither the magnitude of dividends nor their changes are merely determined as the residual cash flows after investment spending. Results also indicate that discretionary accruals mitigate the competition for capital resources between investment decisions and dividend policy. However, the marginal propensity to pay dividends is similar between discretionary accruals and the other components of earnings.

Empirical Study of Dynamic Corporate Governance: New Evidence from Chinese-listed SMEs

Lin Shao,Xiaohong Yu 한국유통과학회 2015 The Journal of Industrial Distribution & Business( Vol.6 No.4

Purpose This study first explores – the possible dynamic relationship between ownership structure and firm performance using a panel of 4,900 Chinese-listed small- and medium-sized enterprises (SMEs) from 1999 to 2012. Research design, data, and methodology – We address this issue through a dynamic panel model using a method of moments (GMM) technique and dynamic simultaneous equations to alleviate the potential endogenous problem: unobserved heterogeneity, simultaneity, and dynamic endogeneity. Results – Under the framework of dynamic endogeneity, firm performance has a significantly positive influence on ownership, but not vice versa. Ownership and performance can be explained by their owned lagged values, respectively. Moreover, intertemporal endogeneity exists among ownership, investment, and performance through the application of system dynamic equations, which implies that the relationship among ownership structure, investment, and firm performance is dynamic by nature. Conclusions – This study also significantly contributes to a better understanding of dynamic corporate governance by providing further empirical evidence from the largest capital market in the Asian region.