Corporate investment, irreversibilities and lumpiness : an empirical model

Corporate investment, irreversibilities and lumpiness : an empirical model - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.
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
...