In this paper, the authors present estimates of Tobin's Q for a panel of Spanish firms over the period 1983-87 and test the Q theory of investment. The results are threefold. First, Q is significant in the investment equation but a variable proxying for liquidity constraints is also significant....

The present study performs rationality tests on the survey of money announcements. As the money announcement follows a nonstationary process, traditional tests for rationality are not applicable. A different set of procedures that incorporated this time-series property would be used to test for...

This paper considers the consistency and efficiency of two-step estimators of a structural equation when the auxiliary equation is misspecified. Underspecification generally leads to the two-step estimator and the estimator of the error variance being inconsistent. When the errors of the...