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Technological heterogeneity and corporate investment
Institution:1. Swiss Finance Institute, Switzerland;2. University of Lausanne, Institut de banque et finance (IBF), HEC Lausanne, Extranef 237, 1015 Lausanne, Switzerland;3. Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213, USA;1. Instituto de Economía, Pontificia Universidad Católica de Chile, Chile;2. Department of Economics, University of Washington, 305 Savery Hall, Box 353330, Seattle, WA 98195, United States;1. Senshu University, 2-1-1 Higashimita, Tama-ku, Kawasaki, Kanagawa 214-8580, Japan;2. The Canon Institute for Global Studies, 1-5-1 Marunouchi, Chiyoda-ku, Tokyo 100-6511 Japan;1. University of Arkansas, United States;2. Economic Science Institute, Chapman University, United States;3. University of Alaska Anchorage, United States;1. Finance Center Muenster, University of Muenster, Universitaetsstr. 14-16, 48143 Muenster, Germany;2. Mercator School of Management, University of Duisburg–Essen, Lotharstr. 65, 47057 Duisburg, Germany;1. Finance Center Muenster, University of Muenster, Universitätsstr. 14-16, D-48143 Münster, Germany;2. House of Finance, Goethe University Frankfurt, Theodor-W.-Adorno-Platz 3, D-60323 Frankfurt am Main, Germany;3. Oliver Wyman, Friedrich-Ebert-Anlage 49, D-60308 Frankfurt am Main, Germany
Abstract:We propose an importance-sampling procedure to improve the computational performance of the simulated method of moments (SMM) for the estimation of structural models with fixed parameter heterogeneity. The main advantage of the procedure is that it does not require to simulate observations every time that the structural parameters change during the minimization of the SMM criterion function. We illustrate the use of our method by estimating a neoclassical model of investment for a sample of US manufacturing companies, allowing the technological parameters to vary across firms.
Keywords:Parameter heterogeneity  Structural estimation  Corporate investment
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