Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Appplication

Russell Cooper, J. Haltiwanger, Jonathan L. Willis
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引用次数: 7

Abstract

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 accumulation. 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.
离散选择模型的欧拉方程估计:一个资本积累的应用
本文研究的是设立层面的资本调整。我们的目标是描述资本调整成本,这对于理解总投资的动态和各种政策对资本积累的影响都很重要。我们的估计策略搜索欧拉方程中最小事后误差的参数。这种策略在每个时期发生调整的模型中非常常见。在这里,我们将该逻辑扩展到动态优化问题的参数估计,其中非凸性导致延长的投资不活动期。在此过程中,我们创建了一种方法来考虑间歇性投资产生的审查观察结果。这种方法允许我们将结构模型直接用于数据,避免了耗时的基于模拟的方法。为了研究这种方法的有效性,我们首先使用结构模型生成的数据进行了几次蒙特卡罗练习。然后,我们估计了美国制造业在两个部门的资本调整成本。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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