Dealing with Heteroskedasticity, Autocorrelation and Endogeneity in German Audit Fee Panel Data - Comparing Approaches

34 Pages Posted: 2 Apr 2016  

Balthasar Hoehn

University of Wuerzburg

Florian Schuberth

University of Würzburg - Business Administration & Economics

Manuel Steiner

University of Würzburg - Business Administration & Economics

Date Written: November 25, 2014

Abstract

In this paper we provide an extensive comparison between commonly used linear econometric methods in the audit fee literature and explicitly address their underlying assumptions. As opposed to common practice in similar papers we explicitly consider violations of the strict exogeneity assumption in terms of unobserved firm-specific effects and argue that endogeneity is likely to be present in audit fee data sets. This leads to significantly different results for magnitude and significance level of most explanatory variables. Additionally, we encourage researchers to use the in the audit fee literature not so widely-spread Hausman-Taylor estimator to benefit from its efficiency.

Keywords: audit fees, panel data, endogeneity, Hausman-Taylor estimator

JEL Classification: M40, M42, C21, C23, C26

Suggested Citation

Hoehn, Balthasar and Schuberth, Florian and Steiner, Manuel, Dealing with Heteroskedasticity, Autocorrelation and Endogeneity in German Audit Fee Panel Data - Comparing Approaches (November 25, 2014). Available at SSRN: https://ssrn.com/abstract=2756338 or http://dx.doi.org/10.2139/ssrn.2756338

Balthasar Hoehn

University of Wuerzburg ( email )

Sanderring 2
Würzburg, D-97070
Germany

Florian Schuberth (Contact Author)

University of Würzburg - Business Administration & Economics ( email )

Sanderring 2
Wuerzburg, D-97070
Germany

Manuel Steiner

University of Würzburg - Business Administration & Economics ( email )

Sanderring 2
Wuerzburg, D-97070
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
193
rank
142,987
Abstract Views
699
PlumX