Corporate investment, irreversibilities and lumpiness : an empirical modelReportar como inadecuado




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Issued date: 2008-02-15

Sponsor: We acknowledgeresearch funding from Ministry of Education, Grants No. SEJ2006-05710-ECON and SEJ2006-04957-ECON, respectively. The second author also thanks funding form Comunidad de Madrid,Grant No. CCG07-UAM-HUM-1918

Keywords: Capital adjustment costs , Irreversible investment , Structural estimation , Discrete choice models , Dynamic programming , Nested algorithms

JEL Classification: C25 , C23 , C13 , D21

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:We study the role of irreversibility and non convexities in firm investment decisions. For such purpose, we posit a dynamic structural investment model with irreversibility and nonconvex adjustment costs. We focus on the firm decision about whether to invest oWe study the role of irreversibility and non convexities in firm investment decisions. For such purpose, we posit a dynamic structural investment model with irreversibility and nonconvex adjustment costs. We focus on the firm decision about whether to invest or not, which is characterized by means of a discrete choice dynamic programming problem. The adjustment cost parameters behind the investment decision are estimated with a longitudinal sample of Spanish manufacturing firms between 1990 and 2002. For these firms, we confirm that inaction and investment episodes account for a significant fraction of them. As estimation procedure, we apply the Nested Pseudo-Likelihood NPL algorithm by Aguirregabiria and Mira 2002.+-





Autor: Alonso-Borrego, César; Sánchez Mangas, Rocío

Fuente: http://e-archivo.uc3m.es


Introducción



Universidad Carlos III de Madrid Repositorio institucional e-Archivo http:--e-archivo.uc3m.es Departamento de Economía DE - Otros documentos 2008-02-15 Corporate investment, irreversibilities and lumpiness : an empirical model Alonso-Borrego, César http:--hdl.handle.net-10016-15707 Descargado de e-Archivo, repositorio institucional de la Universidad Carlos III de Madrid Corporate Investment, Irreversibilities and Lumpiness: An Empirical Model¤ César Alonso-Borrego Rocío Sánchez-Mangasy Universidad Carlos III de Madrid Universidad Autónoma de Madrid February 15, 2008 Abstract We study the role of irreversibility and non convexities in firm investment decisions.
For such purpose, we posit a dynamic structural investment model with irreversibility and nonconvex adjustment costs.
We focus on the firm decision about whether to invest or not, which is characterized by means of a discrete choice dynamic programming problem.
The adjustment cost parameters behind the investment decision are estimated with a longitudinal sample of Spanish manufacturing firms between 1990 and 2002.
For these firms, we confirm that inaction and investment episodes account for a significant fraction of them.
As estimation procedure, we apply the Nested Pseudo-Likelihood (NPL) algorithm by Aguirregabiria and Mira (2002). JEL Codes: C25, C23, C13, D21 Keywords: Capital adjustment costs, Irreversible investment, Structural estimation, Discrete choice models, Dynamic programming, Nested algorithms ¤ We thank Victor Aguirregabiria, Pedro Mira, Alfonso R.
Sánchez and seminar participants at Universidad Carlos III de Madrid, Universitat Autonoma de Barcelona, Universidad de Navarra, Universidad de Vigo and Universitat de les Illes Balears for helpful comments.
We acknowledge research funding from Ministry of Education, Grants No.
SEJ2006-05710-ECON and SEJ200604957-ECON, respectively.
The second author also thanks funding form Comunidad de Madrid, Grant No.
CCG07-UAM-HUM-1918. y ...





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