Erickson, Timothy; Whited, Toni M. - In: Review of Financial Studies 25 (2012) 4, pp. 1286-1329
We compare the ability of three measurement error remedies to deliver unbiased estimates of coefficients in investment regressions. We examine high-order moment estimators, dynamic panel estimators, and simple instrumental variables estimators that use lagged mismeasured regressors as...