A Variance Decomposition Primer for Accounting Researchers

Posted: 9 Mar 2009

See all articles by Jeffrey L. Callen

Jeffrey L. Callen

University of Toronto - Rotman School of Management

Dan Segal

Interdisciplinary Center (IDC) Herzliyah

Multiple version iconThere are 2 versions of this paper

Date Written: March 7, 2009

Abstract

This pedagogical note introduces the accounting-based variance decomposition methodology of Vuolteenaho (2002) in a relatively simple format for the edification of accounting scholars and Ph.D. students who wish to use variance decomposition in their research. In addition to presenting an example that explicates the variance decomposition approach, we provide well-documented SAS and STATA programs for estimating variance decompositions from cross-sectional time-series data.

Keywords: Variance Decomposition, SAS, STATA

JEL Classification: A23, M41, G14

Suggested Citation

Callen, Jeffrey L. and Segal, Dan, A Variance Decomposition Primer for Accounting Researchers (March 7, 2009). Journal of Accounting, Auditing and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1355286

Jeffrey L. Callen (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-946-5641 (Phone)
416-971-3048 (Fax)

Dan Segal

Interdisciplinary Center (IDC) Herzliyah ( email )

P.O. Box 167
Herzliya, 46150
Israel

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