1365 Words6 Pages

Instrumental Variable Regression We acknowledge that endogeneity of trading frequency might be a problem since the price informativeness could have a systematic influence on the trading activity. A strategy to address the endogeneity problem is to employ an instrumental variable approach. We choose the official adjustment of stamp tax on security trading as one instrumental variable. On the one hand, stamp tax, as an exogenous policy instrument, is not related to the price informativeness. On the other hand, the change of stamp tax impacts the trading activity endogenously through the channel of trading cost, e.g. a rise of stamp tax is likely to motivate less frequent trading due to the rise of trading cost. There are four adjustments*…show more content…*

The two stage regressions are reported in Table 8. Column 1 in Panel A shows that institutional trading frequency is decreasing in the stamp tax, which is consistent with the fact that raised stamp tax produces higher trading cost. Kleibergen-Paap rk Wald F statistic is a standard test for the weak instrument problem, which is ruled out since the p-value is 0.000. Columns 1 and 2 in Panel B suggest that the results from baseline regressions hold in IV regressions, where more frequent trading generates lower price informativeness. Difference-in-Sargan statistics show that the 2SLS and OLS estimates are the same. (p-value ranges from 0.35 to 0.55) Table 8 Instrumental Variables Regression Panel A First Stage Regression Independent Variables Dependent Variables 〖Freq_inst〗_t 〖Tax〗_t -2.039*** (-15.06) 〖Freq_inst〗_(t-1) 3.430*** (10.34) Adjusted R square 0.598 Kleibergen-Paap rk Wald F statistic (p-value) 0.000 Panel B Second Stage Regression Independent Variables Dependent Variables Info1 Info2 Freq_inst -0.0268*** -0.0303*** (-4.41) (-4.58) Freq_retail -0.0154*** -0.0174*** (-25.85) (-26.49) Turnover 5.577*** 6.146*** (22.02) (22.66) Lev 0.00791 0.0187 (0.60) (1.06) Inst 0.100*** 0.105*** (5.65) (5.44) Free -0.0607*** -0.104*** (-3.79) (-6.04) Herfindahl -0.0276 -0.0351* (-1.49) (-1.71) Mktcap -0.0214*** -0.0156** (-4.19) (-2.84) Adjusted R square 0.2964 0.313 Difference-in-Sargan statistics (p-value) 0.3773 0.514 Number of Observations 8,107 8,107 Notes:

The two stage regressions are reported in Table 8. Column 1 in Panel A shows that institutional trading frequency is decreasing in the stamp tax, which is consistent with the fact that raised stamp tax produces higher trading cost. Kleibergen-Paap rk Wald F statistic is a standard test for the weak instrument problem, which is ruled out since the p-value is 0.000. Columns 1 and 2 in Panel B suggest that the results from baseline regressions hold in IV regressions, where more frequent trading generates lower price informativeness. Difference-in-Sargan statistics show that the 2SLS and OLS estimates are the same. (p-value ranges from 0.35 to 0.55) Table 8 Instrumental Variables Regression Panel A First Stage Regression Independent Variables Dependent Variables 〖Freq_inst〗_t 〖Tax〗_t -2.039*** (-15.06) 〖Freq_inst〗_(t-1) 3.430*** (10.34) Adjusted R square 0.598 Kleibergen-Paap rk Wald F statistic (p-value) 0.000 Panel B Second Stage Regression Independent Variables Dependent Variables Info1 Info2 Freq_inst -0.0268*** -0.0303*** (-4.41) (-4.58) Freq_retail -0.0154*** -0.0174*** (-25.85) (-26.49) Turnover 5.577*** 6.146*** (22.02) (22.66) Lev 0.00791 0.0187 (0.60) (1.06) Inst 0.100*** 0.105*** (5.65) (5.44) Free -0.0607*** -0.104*** (-3.79) (-6.04) Herfindahl -0.0276 -0.0351* (-1.49) (-1.71) Mktcap -0.0214*** -0.0156** (-4.19) (-2.84) Adjusted R square 0.2964 0.313 Difference-in-Sargan statistics (p-value) 0.3773 0.514 Number of Observations 8,107 8,107 Notes:

Related

## Finally, Looking At Leemore S. Dafny (2005) Empirical Examination

1637 Words | 7 Pagesbetween price growth and rival co-location. Dafny notes that previous observational studies on the impact of mergers have ignored selection problems and reported biased estimates. Specifically, factors that are “correlated with the outcome measure as well as with the probability of merger will generate biased estimates of the impact of merger” (Dafny 2005, 2). To generate unbiased estimates Dafny uses a combination of rival analysis and instrumental variables (IV). Here, rival analysis looks at the outcomes

## The Causal Effect Of Class Sizes On Educational Outcomes Essay

1523 Words | 7 PagesAchilles 1990), such experiments are limited in size. Yet a paper by Joseph Angrist and Victor Lavy suggests an alternative (and more importantly, feasible) way of quantifying this effect. Ancient Religion and Modern Policy Indeed, as Angrist and Lavy note, an eight-hundred-year-old religious decree offers an unusually effective way to separate the influence of reduced class sizes from that of factors like parental involvement and remedial education programs. This decree, named Maimonides’ Rule after

## Organic Farming Case Study

1115 Words | 5 Pagesenvironmental effects, while the negative outcomes implied otherwise. In order to identify the structural variables that impacted to the superiority of the organic farming, the study performed a logistic regression analysis. This regression model provided a good fit, with the Chi-square test statistic being significant, since it p value was 0.000. Furthermore, the article found out that structural variables of data source, product, and sample size were statistically significant. Meta-analysis for greenhouse

## The ' Furious Five ' Of Econometrics

2103 Words | 9 Pagessurprising to note that the typical undergraduate curriculum in economics includes a course in econometrics or statistics. There are two main reasons for this occurrence. First, the improvement in technology and sheer computing power over the last two decades has enabled us to handle more and more data in less and less time. Back in the 1960s and 1970s, econometricians used electromechanical desk calculators to churn out regressions outputs, which may take up to a day for a single regression. Today, the

## The National System Of Innovation

1702 Words | 7 Pagesgovernments, and the businesses, with each segment interacting with the others, while at the same time playing their individual roles. The figure below is a simple illustration of how these three key players come to form the NIS. It is also important to note that NIS is a complex conglomerate of interacting independent parties that has to do with the ability to plan and integrate policies and institutions. The Universities play the role of undertaking basic science and technology research; educate scientists

## Questions On Types Of Type Text

4529 Words | 19 Pages[Type text] [Type text] [Type text] Y3836486 Table of Contents CHECKLIST 3 1. Is there a well-defined objective? 4 2. Is the regression discontinuity design valid? 5 3. Is the index score smooth at the cut-off point? 7 4. Is the cut-off unique to the program being evaluated? 8 5. Is the RDD fuzzy or sharp? 8 6. Is the discontinuity a valid instrument to control for non-compliers? 9 7. Is the selection on observables balanced? 10 8. Were sensitivity analyses performed to characterize uncertainty

## The Effects Of Prenatal And Delivery Care On Mothers

1621 Words | 7 Pagesadequate prenatal and delivery care. Table 4 shows the coefficients and marginal effects from the logit regressions on the effect of public expenditure on adequate prenatal and delivery care. The marginal effects for a continuous variable in a logit model report the average change in the probability of success for a unit change of the variable among all observations in the sample. For categorical variables, they report the average change in the probability of success for a particular category compared to

## Example Of The Transtheoretical Model

1249 Words | 5 Pagesis the stage where the individual has actually made modifications; gotten off the couch and exercising. The action is observable and measurable. “This stage is where all those small steps, small choices, and mini sacrifices make a huge difference,” notes Larsen (Larsen, 2007). Individuals in this stage benefit from emotional and physical support, and from having people around them recognize their progress and help keep them accountable. When an individual reaches the maintenance stage, the behavior

## Propensity-Score Matching (Psm). The Propensity Score Matching

1549 Words | 7 Pages(Wooldridge, 2002) in determining the difference between the participant’s outcome with (in this case adoption of weather index insurance) and without (non-adoption of the weather index insurance) programme (Pufahl & Weiss, 2008). Pufahl & Weiss also note that participants and non-participants ordinarily differ even in the absence of the programme. Studies on program evaluation show that where the survey design, sample selection and econometric analysis are correctly conducted to solve for endogeneity

## Using Stata for Principles of Econometrics

73612 Words | 295 PagesPrinciples of Econometrics 3 1.4.1 A working directory 4 1.4.2 Data definition files 5 1.5 Opening Stata data files 5 1.5.1 The use command 6 Using the toolbar 6 1.5.2 Using files on the internet 7 1.5.3 1.5.4 Locating POE files on the internet 7 1.6 The variables window 7 1.7 Describing the data and obtaining summary statistics 9 1.8 The Stata help system 11 1.8.1 Using keyword search 12 ,1.8.2 Using command search 13 1.8.3 Opening a dialog box 13 1.9 Stata command syntax 14 1.9.1 Syntax of summarize 14 1

### Finally, Looking At Leemore S. Dafny (2005) Empirical Examination

1637 Words | 7 Pages### The Causal Effect Of Class Sizes On Educational Outcomes Essay

1523 Words | 7 Pages### Organic Farming Case Study

1115 Words | 5 Pages### The ' Furious Five ' Of Econometrics

2103 Words | 9 Pages### The National System Of Innovation

1702 Words | 7 Pages### Questions On Types Of Type Text

4529 Words | 19 Pages### The Effects Of Prenatal And Delivery Care On Mothers

1621 Words | 7 Pages### Example Of The Transtheoretical Model

1249 Words | 5 Pages### Propensity-Score Matching (Psm). The Propensity Score Matching

1549 Words | 7 Pages### Using Stata for Principles of Econometrics

73612 Words | 295 Pages