Quantile regression with censoring and endogeneity

Chernozhukov, Victor; Fernández‐Val, Iván; Kowalski, Amanda

doi:10.1016/j.jeconom.2014.06.017

Cited by 119 publications

(124 citation statements)

References 52 publications

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“…In addition, we run the quantile model suggested by Chernozhukov et al (), which applies a control function approach to control for potential endogeneity of the financing decision. After estimation of the control variable in stage one, the second stage of the procedure controls for endogeneity of VC investment by taking the control for potential endogeneity of VC investment into account.…”

Section: Sample Data and Methodologymentioning

confidence: 99%

“…Using the panel quantile regression approach according to Canay (), which controls for unobserved time‐invariant characteristics, we observe that founder involvement spurs turnover growth in firms that follow trajectories of medium and high growth. This analysis is complemented by applying the control function approach of the quantile fixed effects model to control for potential endogeneity of the financing decision (Chernozhukov, Fernández‐Val, & Kowalski, , ). To reliably interpret our findings, we further apply the method of Oster (), which extends the theory of Altonji, Elder, and Taber () to assess the robustness of our results to omitted variable bias.…”

Section: Introductionmentioning

confidence: 99%

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Founder–inventors and their investors: Spurring firm survival and growth

Haeussler

Hennicke

Mueller

2019

Strategic Entrepreneurship

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Research Summary Drawing on insights from resource orchestration literature and the competence‐based perspective, we argue that founders involved in inventive activities display firm‐idiosyncratic founder–inventor competences critical to the firm's performance. This effect is enhanced by venture capital investors. To test our hypotheses, we use panel data from 1,498 firms. Controlling for founders' technical skills, our results reveal that founder involvement in R&D increases firm survival and growth. Furthermore, venture capitalists leverage founders' engagement in inventive activity to achieve even higher growth. Our findings imply that continuous application of founder–inventor competences serves to catalyze effective resource orchestration and strengthen new venture performance. Managerial Summary The role of founders and founder competences is critical as firms progress along their life cycles, whereby founders face decisions about which tasks deserve their attention and which ones they can delegate to their employees, middle‐management, and/or new hires. One key strategic choice for founders is whether to engage in inventive activities themselves and remain engaged. Based on a large firm dataset, we find that founders' inventive activities spur survival and growth. Furthermore, venture capital investors leverage the effect on growth because they often bring in their own industry expertise, turn attention to the core capabilities, and revitalize the top management team. These investor activities enable founders to focus their attention on areas in which their involvement best supports the firm's performance, namely inventive activities.

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Section: Sample Data and Methodologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Founder–inventors and their investors: Spurring firm survival and growth

Haeussler

Hennicke

Mueller

2019

Strategic Entrepreneurship

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“…We tried to implement ideas from quantile regression with endogenous regressors (Chernozhukov, Fernández-Val, & Kowalski, 2015) which are similar to the ideas of 2SLS. After fixing some problems, we run the STATA code of Chernozhukov, Fernandez-Val, Han, and Kowalski (2018) but without significant results.…”

Section: Randomized Cross-validationmentioning

confidence: 99%

“…After fixing some problems, we run the STATA code of Chernozhukov, Fernandez-Val, Han, and Kowalski (2018) but without significant results. Considering the complexity of the model by Chernozhukov et al (2015), we would most likely require a much larger data set to get stable results. Moreover, their model is also not designed for panel data.…”

Section: Randomized Cross-validationmentioning

confidence: 99%

The interaction between bank solvency and funding costs: A crucial effect in stress tests

2019

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This paper presents new evidence on the empirical relationship between bank solvency and funding costs. Building on a newly constructed data set drawing on the supervisory data of 54 large banks from six advanced countries over 2004–2013, we use a simultaneous equation approach with panel data to estimate the contemporaneous interaction between solvency and funding costs. Our results and test statistics show that these two are (a) determined simultaneously and (b) more pronounced than suggested by the existing empirical literature. A 100‐bps increase in regulatory capital ratios is associated with a decrease of bank funding costs of about 113 bps. A 100‐bps increase in funding costs reduces regulatory capital buffers by 48 bps. Applying our estimation results to the 2014 EU‐wide stress test reveals that neglecting the solvency‐funding cost nexus leads to the systematical and significant underestimation of the impact of shocks on bank capital ratios.

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“…Additionally, we consider the procedure recently developed by Oster (, ) to estimate bounds for the treatment effect under the notion that movements in the coefficient of interest, when including and not including controls for which one is concerned about omitted variables, are informative about the remaining bias from unobservables. Finally, we use new censored quantile IV (CQIV) estimator, developed by Chernozhukov, Fernandez‐Val, and Kowalski (), to investigate if students respond differently along the conditional distribution of scores.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Commuting Time on Youth's School Performance

Tigre

Sampaio

Menezes

2016

Journal of Regional Science

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ABSTRACT. Using Brazilian data, we estimate the impact of commuting duration on students' performance using distance to closest schools as an instrumental variable. In addition, we also use identification through heteroskedasticity, which does not rely on exclusion restrictions, and estimate bounds for the treatment effect in case there is remaining bias from unobservables. We find strong and consistent evidence that duration of commuting has a negative causal effect on academic achievement. Moreover, the relatively small heterogeneity across quantiles of test score makes us believe that public transportation policies targeted at students can promote education not only for those less well-off.

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Quantile regression with censoring and endogeneity

Cited by 119 publications

References 52 publications

Founder–inventors and their investors: Spurring firm survival and growth

Founder–inventors and their investors: Spurring firm survival and growth

The interaction between bank solvency and funding costs: A crucial effect in stress tests

The Impact of Commuting Time on Youth's School Performance

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