| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15675 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w15675 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573348 |
| 推荐引用方式 GB/T 7714 | Russell Cooper,John C. Haltiwanger,Jonathan L. Willis. Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15675.pdf（252KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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