Xiaodan Gao, Na Zhang and I found a robust hump-shaped relation between corporate cash and interest rates. These plots from the paper show the empirical relation (top) and the relation that emerges from a dynamic model of liquid asset accumulation (bottom).


Luke Taylor and I organized a summer school in structural estimation August 7-10, 2017 at Ross. We taught the mechanics of estimation, conveyed the important conceptual issues involved with estimation, and reviewed the literature. All of the details are on the website.

Jake Zhao and I are trying to measure inefficiences in the cross sectional distribution of debt and equity. The picture below from the paper says it all. A lot of heat on the 45 degree line indicates efficiency. Compare the United States and China.


Here is a link to the SLIDES for the talk on identification that I gave at the 2014 SFS Cavalcade. Here is a link to SIMILAR SLIDES for a conference on causality at Stanford in December 2014. Here is a recording of the TALK.

The Erickson-Whited high-order moment estimators have been superceded by high-order cumulant estimators. They are asymptotically equivalent to the moment estimators but they have closed form solutions. You can read about them here. We have a Stata module that can implement these estimators. It can be found here.

Instructional Links

Survey of Dynamic Models and Structural Estimation in Corporate Finance

Survey of Endogeneity in Empirical Corporate Finance

Nontechnical lecture slides on structural estimation at the 2011 FMA.

Technical lecture slides on structural estimation at the 2010 FMA.

Technical lecture video on structural estimation at the 2010 FMA.

Me Teaching
Me Having Fun