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来源类型Working Paper
规范类型报告
DOI10.3386/w15675
来源IDWorking Paper 15675
Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application
Russell Cooper; John C. Haltiwanger; Jonathan L. Willis
发表日期2010-01-21
出版年2010
语种英语
摘要This paper studies capital adjustment at the establishment level. Our goal is to characterize capital adjustment costs, which are important for understanding both the dynamics of aggregate investment and the impact of various policies on capital accu- mulation. Our estimation strategy searches for parameters that minimize ex post errors in an Euler equation. This strategy is quite common in models for which adjustment occurs in each period. Here, we extend that logic to the estimation of parameters of dynamic optimization problems in which non-convexities lead to extended periods of investment inactivity. In doing so, we create a method to take into account censored observations stemming from intermittent investment. This methodology allows us to take the structural model directly to the data, avoiding time-consuming simulation- based methods. To study the effectiveness of this methodology, we first undertake several Monte Carlo exercises using data generated by the structural model. We then estimate capital adjustment costs for U.S. manufacturing establishments in two sectors.
主题Econometrics ; Estimation Methods ; Macroeconomics ; Consumption and Investment
URLhttps://www.nber.org/papers/w15675
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/573348
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GB/T 7714
Russell Cooper,John C. Haltiwanger,Jonathan L. Willis. Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application. 2010.
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