02868cam a22003497 4500001000700000003000500007005001700012006001900029007001500048008004100063100002100104245015400125260006600279300005700345490004200402500001800444520109900462530006001561538007201621538003601693588002501729690008901754690014901843690016601992690011702158700002502275700002402300710004202324830007702366856003802443856003702481w15675NBER20200405163752.0m o d cr cnu||||||||200405s2010 mau fo 000 0 eng d1 aCooper, Russell.10aEuler-Equation Estimation for Discrete Choice Models:bA Capital Accumulation Application /cRussell Cooper, John C. Haltiwanger, Jonathan L. Willis. aCambridge, Mass.bNational Bureau of Economic Researchc2010. a1 online resource:billustrations (black and white);1 aNBER working paper seriesvno. w15675 aJanuary 2010.3 aThis 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. aHardcopy version available to institutional subscribers aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.0 aPrint version record 7aC15 - Statistical Simulation Methods: General2Journal of Economic Literature class. 7aC24 - Truncated and Censored Models • Switching Regression Models • Threshold Regression Models2Journal of Economic Literature class. 7aC25 - Discrete Regression and Qualitative Choice Models • Discrete Regressors • Proportions • Probabilities2Journal of Economic Literature class. 7aE22 - Investment • Capital • Intangible Capital • Capacity2Journal of Economic Literature class.1 aHaltiwanger, John C.1 aWillis, Jonathan L.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w15675.40uhttp://www.nber.org/papers/w1567540uhttp://dx.doi.org/10.3386/w15675