The 19 references with contexts in paper Ulf von Kalckreuth () “Exploring the role of uncertainty for corporate investment decisions in Germany” / RePEc:ses:arsjes:2003-ii-3

16
Bo, HONG (2002), "Idiosyncratic Uncertainty and Firm Investment", Australian Economics Papers, 41, p. 1-14.
Total in-text references: 4
  1. In-text reference with the coordinate start=7468
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    GHOSAL and LOUNGANI (2000) argue that the impact of uncertainty on investment might differ across firms, depending on their access to the capital markets. Conversely, STERKEN, LENSINK and
    Exact
    Bo (2002)
    Suffix
    expect the sensitivity of investment with respect to internal finance to depend on the degree of uncertainty. But even financially unconstrained investors who maximise the expected value of their companies given an exogenous discount rate will not be indifferent towards risk.

  2. In-text reference with the coordinate start=15029
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    LEAHY and WHITED (1996), MINTON and SCHRAND (1999), and DRIVER, YIP and DAKHIL (1996) use data on US firms. Guiso and PARIGI (1999) work on a panel of Italian companies, PATILLO (1998) utilises a panel of Ghanaian firms and
    Exact
    Bo (2002)
    Suffix
    as well as STERKEN, LENSINK and Bo (2002) work on panels of listed Dutch firms. PEETERS (2001) investigates and compares panels of Belgian and Spanish firms, and BLOOM, BOND and VAN REENEN (2001) use data on companies quoted on the UK stock market.

  3. In-text reference with the coordinate start=15073
    Prefix
    LEAHY and WHITED (1996), MINTON and SCHRAND (1999), and DRIVER, YIP and DAKHIL (1996) use data on US firms. Guiso and PARIGI (1999) work on a panel of Italian companies, PATILLO (1998) utilises a panel of Ghanaian firms and Bo (2002) as well as STERKEN, LENSINK and
    Exact
    Bo (2002)
    Suffix
    work on panels of listed Dutch firms. PEETERS (2001) investigates and compares panels of Belgian and Spanish firms, and BLOOM, BOND and VAN REENEN (2001) use data on companies quoted on the UK stock market.

  4. In-text reference with the coordinate start=24908
    Prefix
    Finally, one can generate uncertainty indicators from annual or quarterly financial statements of individual firms, measuring the volatility of operating profits, cash flow and other variables. This is the route that will be taken here. GHOSAL and LOUNGANI (1996, 2000), MINTON and SCHRAND (1999),
    Exact
    PEETERS (2001), Bo (2002) and
    Suffix
    BUTZEN, Fuss and VERMEULEN (2002) proceed in the same fashion. Balance sheet or income statement data naturally yield firm-specific indicators and thus can exploit the individual variability of a large panel data set. 180 ULF VON KALCKREUTH 3.2.

17
Bo, HONG (2001), Corporate Investment under Uncertainty in the Netherlands, University of Groningen Ph.D. dissertation, Capelle a/d Ijssel.
Total in-text references: 2
  1. In-text reference with the coordinate start=4944
    Prefix
    distinguishes four main channels by which uncertainty might affect firms' investment outlays: risk aversion, financial constraints, irreversibility and convexity of marginal returns. The oldest and most intuitive account focuses on firms' attitude towards risk; see eg HARTMAN (1976), the textbook exposition by NICKELL (1978) or, most recently,
    Exact
    Bo (2001).
    Suffix
    Risk-averse owners and their managers will systematically trade expected returns for certainty. The standard capital asset pricing model (CAPM) shows how this risk aversion is translated into the equilibrium framework.

  2. In-text reference with the coordinate start=16618
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    firms, by BÖHM, FUNKE and SIEGFRIED (2001), identifies a positive uncertainty-investment link in a sample of 70 large listed German corporations, which turns negative for firms in very concentrated industries.7 A positive effect is also obtained by LENSINK and STERKEN (2000) in their study on Czech firms. See CARRUTH, DICKERSON and HENLEY (2000) and
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    Bo (2001)
    Suffix
    for detailed recent surveys of the empirical literature. The Bundesbank's financial statement database {Unternehmensbilanzstatistik, UBS) constitutes the largest source of accounting data for nonfinancial firms in Germany.8 About 70'000 annual accounts were collected per year on a strictly confidential basis by 6.

20
BREITUNG, JÖRG (1997), "Testing for Unit Roots in Panel Data Using a GMM Approach", Statistical Papers, 38, p. 253-269.
Total in-text references: 4
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    Prefix
    between size and growth, SUTTON (1997, p. 46) proposes instead: (a) The probability of survival increases with firm (or plant) size. (b) The proportional rate of growth of a firm (or plant) conditional of survival is decreasing in size. For our data set, GIBRAT'S law is clearly rejected by two tests on unit roots for panel data proposed by
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    BREITUNG (1997);
    Suffix
    see Appendix B for a detailed account. Both tests are based on estimations using the GMM procedure for dynamic panel data models discussed in Section 5. The first is a t-test; the second employs the Sargan-Hansen J-statistic as a comprehensive specification test.

  2. In-text reference with the coordinate start=82460
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    As is well known, in the time series context such a test is compii200 ULF VON KALCKREUTH cated by the fact that under the unit-root hypothesis, the OLS estimates of the autoregressive coefficients have a non-standard limiting distribution for T —> oo, such that the critical values for the normal distribution cannot be used.20
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    BREITUNG (1997)
    Suffix
    shows that this feature is absent in the panel data context, as long as the limiting distributions for fixed T and N —+ oo are considered. Thus, in a panel with many individuals, the standard inference procedures will be applicable irrespective of whether the coefficients are on the unit circle or within.

  3. In-text reference with the coordinate start=82815
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    distribution cannot be used.20 BREITUNG (1997) shows that this feature is absent in the panel data context, as long as the limiting distributions for fixed T and N —+ oo are considered. Thus, in a panel with many individuals, the standard inference procedures will be applicable irrespective of whether the coefficients are on the unit circle or within.
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    BREITUNG (1997)
    Suffix
    proposes two different tests for unit roots in panel equations. The first one is a simple £-test on the autoregressive coefficient, estimated using GMM. Subtracting log Sij on both sides, we can write equation (Bl) as: A log Su = o,- + (6 - 1) log Su-i +qt+ eu (B2) and test the hypothesis 6 = 1 by looki

  4. In-text reference with the coordinate start=84416
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    At the second step, the procedure yielded a coefficient estimate of -0.5367, corresponding to a value of 6 = 0.4633, with a Windmeijer-corrected standard error of 0.01975. The null hypothesis of 6 = 1 can thus be rejected on the basis of a ^-statistic of -28.9. On the basis of a simulation study,
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    BREITUNG (1997)
    Suffix
    prefers yet another test on unit roots. If we assume a second-order autoregressive process with firm-specific fixed effects, log Su = dj -f 6i log Su-i + b2Sjj-2 + qt + elA (B-l) this will include the AR(1) in equation (1) as a special case.

35
TELLI (1999), "The Impact of Exchange Rate Uncertainty on the Level of Investment", Economic Journal, 109, C55-C67.
Total in-text references: 2
  1. In-text reference with the coordinate start=12672
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    In general, uncertainty can act as a deterrent from investment, be neutral or even create new incentives; see DIXIT and PINDYCK (1994, Chs. 6 and 11), DARBY, HUGHES-HALLET, IRELAND and PISCI
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    TELLI (1999),
    Suffix
    or BÖHM, FUNKE and SIEGFRIED (2001). Empirically, it is not easy to test an isolated hypothesis on the effect of uncertainty on investment expenditure. In general, for a given firm or sector, several mechanisms will be at work simultaneously.

  2. In-text reference with the coordinate start=23556
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    A second approach is to rely on high-frequency financial market data and to use volatilities, either of commodity prices or exchange rates, or else of stock prices. The first line of research, exemplified in the paper of DARBY, HUGHES-HALLET, IRELAND, and PISCI
    Exact
    TELLi (1999),
    Suffix
    directly quantifies the degree of uncertainty with respect to some crucial economic variables; however, it cannot differentiate between firms. The use of stockmarket data, as in BLOOM, BOND and VAN REENEN (2001), or BÖHM, FUNKE and SIEGFRIED (2001), assumes a strong form of market efficiency and implicitly equates firms' information on future profits to the

36
DEUTSCHE BUNDESBANK (1998), "Methodological Basis of the Deutsche Bundesbank's
Total in-text references: 1
  1. In-text reference with the coordinate start=17836
    Prefix
    Using aggregate data and time series methodology, MAILAND (1998) and WERNER (2001) find negative effects of uncertainty on investment in Germany. 8. This discussion draws on
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    DEUTSCHE BUNDESBANK (1998),
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    FRIDERICHS and SAUVÉ (1999), and STÖSS (2001), which contain more detailed descriptions of the UBS data. With respect to investment demand, the UBS has been utilized by HARHOFF and RAMB (2001) in a user cost study, by VON KALCKREUTH (2001) in a study on the monetary transmission process, by CHIRINKO and VON KALCKREUTH (2002) on financial constraints, by B

56
GIBRAT, ROBERT (1931), Les Inégalités Économiques: Applications: Aux Inégalités des Richesses, à la Concentration des Entreprises, aux Populations des Villes, aux Statistiques des Familles, etc., d'une Loi Nouvelle, la Loi de VEffet Proportionnel, Paris.
Total in-text references: 1
  1. In-text reference with the coordinate start=27656
    Prefix
    This equation describes a random walk with a firm-specific drift; the shift parameter a, will indicate the long run deviation of firm i's growth rate from industry average. This equation (1) can be regarded as a version of the famous law of proportional effect, or G IB RAT'S law.
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    GIBRAT (1931)
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    explains the approximately lognormal size distribution of income, firm sizes and other economic variables by positing a stochastic process in which growth rates develop as a series of independent shocks, unrelated to the level (size).

58
HALL, BRONWYN (1987), "The Relationship Between Firm Size and Firm Growth in the
Total in-text references: 1
  1. In-text reference with the coordinate start=28345
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    Since its inception in the early 1930s, GIBRAT'S law has received a lot of attention among industrial economists; see the survey article by SUTTON (1997). More recent studies however, most notably the work by EVANS (1987a,b) and
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    HALL (1987),
    Suffix
    suggest that the law does not hold. As one of two stylised 10. Of course, sales uncertainty is not the only type of uncertainty relevant for a firm. A prior version of this paper, VON KALCKREUTH (2000), also considers cost uncertainty.

63
HARTMAN, RICHARD (1972), "The Effects of Price and Cost Uncertainty on Investment", Journal of Economic Theory, 5, p. 258-266.
Total in-text references: 1
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    Prefix
    For an overview, see CHÂTELAIN, GENERALE, HERNANDO, VON KALCKREUTH and VERMEULEN (2003). 176 ULF VON KALCKREUTH A different conclusion is reached by the literature stressing the convexity of the marginal product of capital, as in ABEL (1983) and
    Exact
    HARTMAN (1972, 1976).
    Suffix
    If variable factors, such as labour, energy or raw materials can be optimally adjusted after demand uncertainty is resolved, marginal returns of capital are not linear in product prices any more - the functional relationship will be convex, and Jensen's inequality makes expected profits an increasing function of risk, given optimal adjustment.

64
HARTMAN, RICHARD (1976), "Factor Demand with Output Price Uncertainty", American Economic Review, 66, p. 675-681.
Total in-text references: 2
  1. In-text reference with the coordinate start=4860
    Prefix
    The modern literature distinguishes four main channels by which uncertainty might affect firms' investment outlays: risk aversion, financial constraints, irreversibility and convexity of marginal returns. The oldest and most intuitive account focuses on firms' attitude towards risk; see eg
    Exact
    HARTMAN (1976),
    Suffix
    the textbook exposition by NICKELL (1978) or, most recently, Bo (2001). Risk-averse owners and their managers will systematically trade expected returns for certainty. The standard capital asset pricing model (CAPM) shows how this risk aversion is translated into the equilibrium framework.

  2. In-text reference with the coordinate start=10784
    Prefix
    For an overview, see CHÂTELAIN, GENERALE, HERNANDO, VON KALCKREUTH and VERMEULEN (2003). 176 ULF VON KALCKREUTH A different conclusion is reached by the literature stressing the convexity of the marginal product of capital, as in ABEL (1983) and
    Exact
    HARTMAN (1972, 1976).
    Suffix
    If variable factors, such as labour, energy or raw materials can be optimally adjusted after demand uncertainty is resolved, marginal returns of capital are not linear in product prices any more - the functional relationship will be convex, and Jensen's inequality makes expected profits an increasing function of risk, given optimal adjustment.

65
HSIAO, CHENG (2003), Analysis of Panel Data, 2. ed., Cambridge.
Total in-text references: 1
  1. In-text reference with the coordinate start=41081
    Prefix
    On the interpretation of a cash flow variable in the context of a neoclassical investment function see CHIRINKO and VON KALCKREUTH (2002), Appendix A. 13. See the textbook expositions by BALTAGI (2001), Ch. 2 and 3, or
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    HSIAO (2003),
    Suffix
    Ch 3. 186 ULF VON KALCKREUTH where yiìt is the endogenous variable for firm i, x,-., the vector of explanatory variables, including time dummies, and ß the vector of coefficients including the time effects A,.

66
KALCKREUTH, ULF VON (2000), "Exploring the Role of Uncertainty for Corporate Investment Decisions in Germany", Discussion Paper, 5/00, September 2000, Economic
Total in-text references: 1
  1. In-text reference with the coordinate start=28574
    Prefix
    More recent studies however, most notably the work by EVANS (1987a,b) and HALL (1987), suggest that the law does not hold. As one of two stylised 10. Of course, sales uncertainty is not the only type of uncertainty relevant for a firm. A prior version of this paper, VON
    Exact
    KALCKREUTH (2000),
    Suffix
    also considers cost uncertainty. The cost uncertainty indicators were discarded as the results lacked robustness with respect to GMM estimation. THE ROLE OF UNCERTAINTY FOR CORPORATE INVESTMENT DECISIONS 181 facts for the relationship between size and growth, SUTTON (1997, p. 46) proposes instead: (a) The probability of survival increases with f

68
KALCKREUTH, ULF VON (2001), "Monetary Transmission in Germany: New Perspectives on Financial Constraints and Investment Spending", Discussion Paper, 19/01, December 2001, Economic Research Centre of the Deutsche Bundesbank.
Total in-text references: 2
  1. In-text reference with the coordinate start=10197
    Prefix
    CHIRINKO and SCHALLER (2002) attempt to test for the existence of an irreversibility premium using a structural model. 5. See, for example, CHIRINKO, FAZZARI and MEYER (1999). However, HARHOFF and RAMB (2001), as well as VON
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    KALCKREUTH (2001)
    Suffix
    find a rather solid interest rate channel in Germany using the Bundesbank data set. For French firms, CHÂTELAIN and TIOMO (2001) find rather small and fragile user cost effects, whereas GAIOTTI and GENERALE (2001) pictures Italian firms as somewhere in between.

  2. In-text reference with the coordinate start=18117
    Prefix
    This discussion draws on DEUTSCHE BUNDESBANK (1998), FRIDERICHS and SAUVÉ (1999), and STÖSS (2001), which contain more detailed descriptions of the UBS data. With respect to investment demand, the UBS has been utilized by HARHOFF and RAMB (2001) in a user cost study, by VON
    Exact
    KALCKREUTH (2001)
    Suffix
    in a study on the monetary transmission process, by CHIRINKO and VON KALCKREUTH (2002) on financial constraints, by BEHR and BELLGARDT (2002) on a dynamic Q equation and by BREITUNG, CHIRINKO and VON KALCKREUTH (2003) in a panel study on the interaction of investment and finance. 178 ULF VON KALCKREUTH the Bundesbank's branch offices, in the context of t

69
KNIGHT, FRANK (1921), Risk, Uncertainty and Profit, Boston.
Total in-text references: 2
  1. In-text reference with the coordinate start=2193
    Prefix
    American Economic Association Meetings in Atlanta, the 2001 Annual Conference of the Royal Economic Society in Durham, the Conference on Fixed Investment at the City University in London, the 49th International Atlantic Conference in Munich and on seminars at the University of Mannheim and the Deutsche Bundesbank are gratefully acknowledged. 1-
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    KNIGHT (1921)
    Suffix
    argues that the absence of objective probabilities is constitutional for genuinely economic decisions, as opposed to situations of statistical "risk". The latter, he maintains, can be diversified away by pooling ("homogeneous grouping"), whereas the readiness to assume the former type of uncertainty on the part of the entrepreneurs is the true foundation for

  2. In-text reference with the coordinate start=2669
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    The latter, he maintains, can be diversified away by pooling ("homogeneous grouping"), whereas the readiness to assume the former type of uncertainty on the part of the entrepreneurs is the true foundation for the existence of profits in a market economy; see
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    KNIGHT (1921),
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    Chapters VIII and IX. It is not clear, however, whether KNIGHT himself really believed in "Knightian uncertainty" as defined above and elsewhere - the use of subjective probabilities seems perfectly compatible with his account.

72
MAILAND, WILHELM (1998), "Zum Einfluß von Unsicherheit auf die gesamtwirtschaftliche Investitionstätigkeit", HWWA Diskussionspapier, 57.
Total in-text references: 1
  1. In-text reference with the coordinate start=17689
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    Nevertheless, aggregation will be much less of a problem using firm-level data, and our data set contains many very small firms. 7. Using aggregate data and time series methodology,
    Exact
    MAILAND (1998) and WERNER (2001)
    Suffix
    find negative effects of uncertainty on investment in Germany. 8. This discussion draws on DEUTSCHE BUNDESBANK (1998), FRIDERICHS and SAUVÉ (1999), and STÖSS (2001), which contain more detailed descriptions of the UBS data.

80
PATILLO, CATHERINE (1998), "Investment, Uncertainty and Irreversibility in Ghana", IMF Staff
Total in-text references: 1
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    Prefix
    low adjustment rates.6 There is a relatively recent but growing literature that investigates the significance of uncertainty by means of firm level data, of a very diverse nature. LEAHY and WHITED (1996), MINTON and SCHRAND (1999), and DRIVER, YIP and DAKHIL (1996) use data on US firms. Guiso and PARIGI (1999) work on a panel of Italian companies,
    Exact
    PATILLO (1998)
    Suffix
    utilises a panel of Ghanaian firms and Bo (2002) as well as STERKEN, LENSINK and Bo (2002) work on panels of listed Dutch firms. PEETERS (2001) investigates and compares panels of Belgian and Spanish firms, and BLOOM, BOND and VAN REENEN (2001) use data on companies quoted on the UK stock market.

81
PEETERS, MARGA (2001), "Do Demand and Price Uncertainty affect Belgian and Spanish Corporate Investment?", Recherches Economiques de Louvain ("Louvain Economie Review"), 67, p. 235-255.
Total in-text references: 3
  1. In-text reference with the coordinate start=15127
    Prefix
    Guiso and PARIGI (1999) work on a panel of Italian companies, PATILLO (1998) utilises a panel of Ghanaian firms and Bo (2002) as well as STERKEN, LENSINK and Bo (2002) work on panels of listed Dutch firms.
    Exact
    PEETERS (2001)
    Suffix
    investigates and compares panels of Belgian and Spanish firms, and BLOOM, BOND and VAN REENEN (2001) use data on companies quoted on the UK stock market. BUTZEN, FUSS and VERMEIDEN (2002) work on a large panel of Belgian firms.

  2. In-text reference with the coordinate start=15925
    Prefix
    Using a measure of market turbulence, DRIVER, YIP and DAKHIL (1996) find that uncertainty on its own has a significant negative effect in only one out of twelve industries, which could be accounted for by a Type I error. Interacting uncertainty with a proxy for vertical market integration results in significant negative effects in four industries.
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    PEETERS (2001)
    Suffix
    finds negative effects of price uncertainty, but no effects of sales uncertainty. BLOOM, BOND and VAN REENEN (2001) find no long-run effect on the capital, but uncertainty will slow down the reaction of firms to sales shocks.

  3. In-text reference with the coordinate start=24908
    Prefix
    Finally, one can generate uncertainty indicators from annual or quarterly financial statements of individual firms, measuring the volatility of operating profits, cash flow and other variables. This is the route that will be taken here. GHOSAL and LOUNGANI (1996, 2000), MINTON and SCHRAND (1999),
    Exact
    PEETERS (2001), Bo (2002) and
    Suffix
    BUTZEN, Fuss and VERMEULEN (2002) proceed in the same fashion. Balance sheet or income statement data naturally yield firm-specific indicators and thus can exploit the individual variability of a large panel data set. 180 ULF VON KALCKREUTH 3.2.

86
SINN, HANS WERNER (1983), Economic Decisions under Uncertainty, Amsterdam/New York/Oxford.
Total in-text references: 1
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    Prefix
    An exception is the study of NISHIMURA and OZAKI (2002), comparing the effect of risk and Knightian uncertainty within the framework of the same model. 3. SCOTT (1976), p. 1-3. 4. For a discussion of decisions under uncertainty with lexicographic preferences, see
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    SINN (1983),
    Suffix
    p. 59. THE ROLE OF UNCERTAINTY FOR CORPORATE INVESTMENT DECISIONS 175 try might be graver - and the resulting constraints severer - if the prospects of the firm look more uncertain from the outside.

87
SUTTON, JOHN (1997), "Gibrat's Legacy", Journal of Economic Literature, 35, p. 40-59.
Total in-text references: 2
  1. In-text reference with the coordinate start=28232
    Prefix
    Thus the absolute increment to a firm's size in each period will be proportional to the current size of the firm. Since its inception in the early 1930s, GIBRAT'S law has received a lot of attention among industrial economists; see the survey article by
    Exact
    SUTTON (1997).
    Suffix
    More recent studies however, most notably the work by EVANS (1987a,b) and HALL (1987), suggest that the law does not hold. As one of two stylised 10. Of course, sales uncertainty is not the only type of uncertainty relevant for a firm.

  2. In-text reference with the coordinate start=28897
    Prefix
    The cost uncertainty indicators were discarded as the results lacked robustness with respect to GMM estimation. THE ROLE OF UNCERTAINTY FOR CORPORATE INVESTMENT DECISIONS 181 facts for the relationship between size and growth,
    Exact
    SUTTON (1997,
    Suffix
    p. 46) proposes instead: (a) The probability of survival increases with firm (or plant) size. (b) The proportional rate of growth of a firm (or plant) conditional of survival is decreasing in size.

91
WINDMEIJER, FRANK (2000), "A Finite Sample Correction for the Variance of Linear
Total in-text references: 3
  1. In-text reference with the coordinate start=62977
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    We report the second step results on the basis of an asymptotically efficient weighting matrix for the orthogonality conditions. The standard deviations are corrected for the small sample bias reported in ARELLANO and BOND (1991); see
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    WINDMEIJER (2000).
    Suffix
    The Sargan-Hansen statistics are insignificant both with and without uncertainty, and so is the Lagrange Multiplier statistic that tests for autocorrelation of second order in the residuals of the transformed equation.

  2. In-text reference with the coordinate start=67757
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    , the instruments are all available lags of length 1 and higher for the first differences of 7^)/A',-,/-i, A log 5',,/, CFu/I<u-i, apart from a constant and time dummies; additionally all available lags of length 0 and higher of U(3) for the estimation in column (4). Windmeijer-corrected, robust standard errors are in parentheses; see
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    WINDMEIJER (2000).
    Suffix
    SH is the p-value for the Sargan-Hansen statistic testing overidentifying restrictions. LM is the p-value for the Lagrange Multiplier statistic testing for qth-order autocorrelation of the error terms: columns (1) and (2), q = 2; columns (3) and (4), q = 1.

  3. In-text reference with the coordinate start=73941
    Prefix
    The instruments, apart from a constant and time dummies, are lags of length 1 and higher for the first differences of IU)/KU-\, A log Sut, CF^/A^-i, and all available lags of length 0 and higher for the relevant uncertainty variable. Windmeijer-corrected, robust standard errors are in parentheses, see
    Exact
    WINDMEIJER (2000).
    Suffix
    SH is the p-value for the Sargan-Hansen statistic testing overidentifying restrictions. LM(1) is the p-value for the Lagrange Multiplier statistic testing first order autocorrelation of the error terms.